June 21, 2023 

Submitted via CFTC Portal 

Secretary of the Commission 

Office of the Secretariat 

Commodity Futures Trading Commission 

Three Lafayette Centre 

1155 21st Street, N.W. 

Washington, D.C. 20581 

Re: TeraExchange, LLC – Regulation 40.6 Delisitng of USD LIBOR v SOFR Basis Swap

Ladies and Gentlemen: 

TeraExchange, LLC (“TeraExchange”) hereby notifies the Commodity Futures Trading Commission (the 

“Commission”) of its intent to delist USD LIBOR v SOFR Basis Swap from the TeraExchange swap execution 

facility. TeraExchange intends to delist this Contract effective June 26, 2023. 

Pursuant to Commission Regulation 40.6, this submission includes: 

1. A copy of the submission cover sheet in accordance with the instructions provided in Appendix D to 

Part 40 of the Commission’s regulations, attached as Exhibit A. 

2. The intended delisting date is June 26, 2023. 

3. A certification by TeraExchange that (a) the Contract complies with the Commodity Exchange 

Act, as amended (the “Act”), and the Commission regulations thereunder; and (b) concurrent 

with this submission, TeraExchange posted on its website (i) a notice of pending certification 

of the Contract and (ii) a copy of this submission, attached as Exhibit B; 

4. The Contract’s terms and conditions, attached as Exhibit C; and 

5. An explanation of the purpose of the delisting of the Contract, attached as Exhibit D. 

Questions regarding this submission should be directed to Todd Langdon, Chief Compliance Officer, at 908-273-

8277 or by e-mail at tlangdon@teraexchange.com. 

Sincerely, 

 Christopher Rossman 

Christopher Rossman 

Chief Operating Officer 

 
EXHIBIT A 
EXHIBIT B 

CERTIFICATIONS PURSUANT TO SECTION 5c OF THE COMMODITY 

EXCHANGE ACT, 7 U.S.C. §7A-2 AND COMMODITY FUTURES TRADING 

COMMISSION REGULATION 40.2, 17 C.F.R. §40.2

TeraExchange, LLC (“TeraExchange”) hereby certifies that: a) the USD LIBOR v SOFR Basis 

Swap Contract complies with the Commodity Exchange Act, 7 U.S.C. §1 et seq. and the 

Commodity Futures Trading Commission (the “Commission”) regulations thereunder; and b) 

concurrent with this submission, TeraExchange, posted on its website: (i) a notice of delisting 

of the Contract with the Commission; and (ii) a copy of this submission.

TeraExchange, LLC 

By: Christopher Rossman 

Name: Christopher Rossman 

Title: Chief Operating Officer 

Date: June 21, 2023 

 
EXHIBIT C 

Terms and Conditions 

 

Swap Structure A fixed notional, float for float Interest Rate Swap whose value is based upon the difference between a stream of 

floating interest payments that are tied to a floating reference rate, over a term to maturity.

Currency USD

Clearing Venue Specifications CME available at http://www.cmegroup.com/trading/interest‐rates/cleared‐otc.html 

LCH available at https://www.lch.com/index.php/services/swapclear/what‐we‐clear

*Quoting Convention Standard: Float Leg 2 Spread in basis points (000.0) 

Upfront: NPV per hundred million notional

*Price Increment 0.001 points = 0.1 basis points 

*Minimum Notional Size $1,000

*Minimum Notional Size Increment $1,000

Trading Conventions Buy = Pay Spread 

Sell=Receive Spread

Trading Hours 00:01 ‐ 24:00 Sunday ‐ Friday (Eastern Time)

Last Trade Day Available to trade on every US business day 

*Effective Date

The Effective Date is the first date for which fixed and floating payments accrue. For spot starting instruments the 

Effective Date is Trade Date + 2, subject to adjustment based on Modified Following convention. For forward 

starting instruments, the Effective Date is Trade Date + 2 + Forward Starting Period, subject to adjustment based 

on Modified Following convention. 

*Maturity Date The Maturity Date (also referred to as the Termination Date) is the final date to which fixed and floating 

amounts accrue. For spot starting instruments, this date is Effective Date + Tenor. 

*Forward Starting Date Up to 10 Years

*Tenor Up to 50 Years

*Upfront Payment Standard: None 

Upfront: Determined by the price of execution

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Settlement Procedure As determined by the Clearing Venue

Position Accountability As may be determined and published by TeraExchange under CFTC Regulation 37.600 (c)

*Reset Frequency

Monthly (1M USD‐ICE‐LIBOR) 

Quarterly (3M USD‐ICE‐LIBOR) 

Semiannually (6M USD‐ICE‐LIBOR) 

*Payment Frequency

Monthly (1M USD‐ICE‐LIBOR) 

Quarterly (3M USD‐ICE‐LIBOR) 

Semiannually (6M USD‐ICE‐LIBOR) 

*Compounding None

*Day Count Convention Act/360

*Business Day Convention Modified Following

*Reset Dates

Reset Dates define the beginning and end of accrual periods. Floating Rate Reset Dates facilitate the 

determination of the Reference Rate Fixing Dates. Each Reset Date is subject to adjustment based on 

Modified Following.

Fixing Date Two London Business Days prior to the Reset Date, subject to Preceding Business Day adjustment

*Floating Rate Index USD‐ICE‐LIBOR (1, 3, 6 Month)

*Fixing Date Holiday Calendar New York (USNY), London (GBLO)

*Reset Frequency Daily (USD‐SOFR‐COMPOUND)

*Payment Frequency Monthly Quarterly Semiannually

*Compounding Flat

*Day Count Convention Act/360

*Business Day Convention Modified Following

*Reset Dates

Reset Dates define the beginning and end of accrual periods. Floating Rate Reset Dates facilitate the 

determination of the Reference Rate Fixing Dates. Each Reset Date is subject to adjustment based on 

Modified Following.

Fixing Date London Business Day that coincides with the Reset Date

*Floating Rate Index USD‐SOFR‐COMPOUND

*Fixing Date Holiday Calendar US Government Securities (USGS), London (GBLO)

USD LIBOR vs SOFR BASIS IRS

General

Float Leg 1

Float Leg 2

*The above items represent the customary attributes of the swap agreements; those marked with an asterisk "*" may be customized but only in conformance with 

the Clearing Venue Specifications.
EXHIBIT D 

EXPLANATION OF THE DELISTING OF THE CONTRACT 

As required by Commission Regulation § 40.6(a)(7)(v), TeraExchange presents the following explanation, in 

narrative form, regarding the decision to delist USD LIBOR v SOFR Basis Swap. 

LIBOR was phased out at the end of 2021 and as of late 2022 parts of LIBOR have been discontinued. The 

remainder of LIBOR is scheduled to end within 2023. As this contract references LIBOR which is set to be 

discontinued presently and since TeraExchange has no open interest in the contracts, the decision has been made 

to delist the contract.