SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 21-426

Organization: NEX SEF Limited ("NEXSEF")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 09/17/21 Filing Description: Amendments to Rules 802(1) (“Fixed 

for Floating IRS”) and 802(4) (“Non Deliverable Swaps”) in Connection with the 

Implementation of the 2021 IDSA Interest Rate Derivatives Definitions.

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: See filing. 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: Rule Numbers:
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

September 17, 2021

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Amendments to Rules 802(1) (“Fixed for 

Floating IRS”) and 802(4) (“Non Deliverable Swaps”) in Connection with the 

Implementation of the 2021 IDSA Interest Rate Derivatives Definitions.

NEX SEF Submission No. 21-426

Dear Mr. Kirkpatrick:

NEX SEF Limited (“NEX SEF”) is certifying to the Commodity Futures Trading Commission (“CFTC” or 

“Commission”) amendments to NEX SEF Rules 802(1) (“Fixed for Floating IRS”) and 802(4) (“Non Deliverable 

Swaps”) (collectively, the “Rule Amendments”) as a result of ISDA’s recently published 2021 Interest Rate 

Derivatives Definitions (the “2021 Definitions”) which update and replace the 2006 ISDA Definitions (the “2006 

Definitions”), and contain standardized terms for the documentation of privately negotiated interest rate swap 

transactions, effective concurrently with the 2021 Definitions on trade date Monday, October 4, 2021.

ISDA has informed market participants that the Floating Rate Options (“FROs”) that set out the interest rate 

benchmarks used to determine floating amounts have been reformatted under the 2021 Definitions.

1

The 2021 Definitions will change the naming convention for certain of the FROs which market participants 

currently utilize to effect transactions in certain interest rate swaps on NEX SEF. Therefore, NEX SEF is 

implementing the Rule Amendments to enable market participants to effect transactions in interest rate swaps 

using the FRO naming conventions that are available under either the 2006 Definitions or the 2021 Definitions. 

Appendix A below provides the Rule Amendments with additions underscored and deletions struck through.

NEX SEF has reviewed the Swap Execution Facility core principles (“Core Principles”) as set forth in the 

Commodity Exchange Act (“CEA” or “Act”) and has identified that the Rule Amendments may have some bearing 

on the following Core Principle:

SEF Core Principle 2 - Compliance with Rules: CEA Section 5h(f)(7) requires a swap execution facility 

to establish and enforce rules and procedures for ensuring the financial integrity of swaps entered on or 

through its facilities. While the 2006 ISDA Definitions will continue to be available for use, ISDA has 

stated that it will not be updating these definitions after the implementation of the 2021 Definitions. 

Because the 2006 Definitions may cease to reflect new market developments, the Rule Amendments 

should ensure the financial integrity of the transactions that are effected on NEX SEF by permitting 

market participants to utilize FROs that are updated to reflect new developments in the interest rate 

derivatives markets. 

1 https://www.isda.org/a/BNEgE/Key-Changes-in-the-2021-ISDA-Interest-Rate-Derivatives-Definitions-June2021.pdf.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), NEX SEF hereby certifies that the Rule 

Amendments comply with the Act, including the regulations under the Act. There were no substantive opposing 

views to the proposal. 

NEX SEF certifies that this submission has been concurrently posted on the CME Group website at 

http://www.cmegroup.com/market-regulation/rule-filings.html. If you require any additional information regarding 

this submission, please contact the undersigned at 212-299-2000 or via email at 

CMEGSubmissionInquiry@cmegroup.com. 

Sincerely,

Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachment: Appendix A: NEX SEF Rulebook – Rules 802(1) and 802 (4) (blackline format)
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Appendix A

NEX SEF Rulebook

(additions underscored; deletions struck through)

***

Rule 802(1) — Fixed for Floating IRS

A Fixed f or Floating IRS is an Interest Rate Swap for which settlement is in the form of periodic fixed interest

payments and a stream of periodic floating interest payments based on an interest rate over a term to

maturity. The interest rate payments are exchanged for a specified period based on a notional amount.

Currencies

AUD SGD NZD

ZAR CAD HKD

JPY MXN THB

USD KRW MYR

Specifications

Trading Conventions

• Buyer (Payer) pays fixed interest rate and receives floating interest rate.

• Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg Conventions

• The terms of Fixed versus Floating Interest RateSwaps are based on a number

of combinations of the criteria below.

▪ Fixed Leg

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it

will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

▪ Floating Leg

• Reset Frequency

o Monthly, Quarterly, Semi-Annual

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention
4

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it

will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

• Interest Rate Benchmark

AUD-BBR-BBSW

SGD-SOR-VWAP

NZD-BBR-FRA

ZAR-JIBAR-SAFEX

CAD-BA-CDOR

HKD-HIBOR-HKAB

JPY-LIBOR-BBA

MXN-TIIE-Banxico

THB-THBFIX-Reuters

MYR-KLIBOR-BNM

USD-LIBOR-BBA

KRW-CD-KSDA-Bloomberg

AUD-BBSW

CAD-CDOR

HKD-HIBOR

JPY-LIBOR

KRW-CD 91D

MXN-TIIE

MYR-KLIBOR

NZD-BKBM FRA

SGD-SOR

THB-THBFIX

USD-LIBOR

ZAR-JIBAR

[r

[Remainder of Rule is unchanged.]

***

Rule 802(4) — Non Deliverable Swap

***

Specifications

Trading Conventions
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o Buyer (Payer) pays fixed interest rate and receives floating interest rate.

o Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg Conventions

o The terms of Non Deliverable Swaps are based on a number of combinations of the criteria

below.

▪ Fixed Leg

• Payment Frequency

o Weekly, Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it

will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

▪ Floating Leg

• Reset Frequency

o Weekly, Monthly or Quarterly

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,Actual 

Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denotedfor

the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it will 

be the next day that is a business day on both calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

• Interest Rate Benchmark

o KLIBOR

o CNREPOFIX

o KRW-CD-KSDA-Bloomberg

o THBFIX

o CNY-Fixing Repo Rate

o KRW-CD 91D

[Remainder of Rule unchanged.]