November 7, 2017

Via CFTC Portal

Christopher J. Kirkpatrick

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

RE: Weekly Notification of Rule Amendments (trueEX LLC submission #2017-08S)

Dear Mr. Kirkpatrick: 

Pursuant to Commodity Futures Trading Commission (“CFTC”) Regulation 40.6(d), 

trueEX LLC (“trueEX”) submits this weekly notification of the following rule amendments made 

effective on the date set forth below during the calendar week preceding the date of this notice.

trueEX made the following amendments:

trueEX Rule Natre of Amendment

RFQ Schedule – Interest rate swaps denominated in BRL

already listed on PTC are now available to trade on Core 

RFQ. RFQ Product Schedule (specifically Schedule 1001 

(RFQ)) has been updated to reflect this. A redline is 

attached.

CFTC Regulation 40.6(d)

If you have questions regarding this notice, please contact me at (312) 320-8934 or by email 

at fran@trueex.com.

Sincerely,

Fran Kenck

Chief Compliance Officer
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

2 -2 Standard, 

EOM GBLO USNY, GBLO 50 N/A 6M 3M 3M 3M

N/A -2 Standard, 

EOM GBLO USNY, GBLO 50

All forward periods up to the 

max tenor that land on a 

good business day

6M 3M 3M 3M

N/A -2 IMM GBLO USNY, GBLO 50 N/A 3M, 12M 3M 3M 3M

N/A -2 IMM GBLO USNY, GBLO 50 N/A 6M 3M 3M 3M

2 -2 Standard EUTA EUTA 50 N/A 12M 3M, 6M 3M, 6M 3M, 6M

N/A -2 Standard EUTA EUTA 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 12M 3M, 6M 3M, 6M 3M, 6M

N/A -2 IMM EUTA EUTA 30 N/A 12M 6M 6M 6M

0 0 Standard GBLO GBLO 50 N/A 6M 6M 6M 6M

N/A 0 Standard GBLO GBLO 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 6M 6M 6M 6M

N/A 0 IMM GBLO GBLO 30 N/A 6M 6M 6M 6M

EUR EUR-EURIBORReuters IRS

GBP GBP-LIBOR-BBA IRS

Holiday Business Day 

Convention

CME

USD USD-LIBOR-BBA IRS
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Holiday Business Day 

Convention

CME

1 -1 None MXMC MXMC 21 N/A 28D 28D 28D 28D
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

1W, 1M, 2M, 

3M, 6M, 12M ACT/360 30/360 50 N/A 6M 3M 3M 3M 1W, 1M, 2M, 3M, 6M, 12M ACT/360 30/360

1W, 1M, 2M, 

3M, 6M, 12M ACT/360 30/360 50

All forward periods up to the 

max tenor that land on a good 

business day

6M 3M 3M 3M 1W, 1M, 2M, 

3M, 6M, 12M ACT/360 30/360

N/A ACT/360 ACT/360 50 N/A 3M, 12M 3M 3M 3M N/A ACT/360 ACT/360

N/A ACT/360 30/360 50 N/A 6M 3M 3M 3M N/A ACT/360 30/360

N/A ACT/360 30/360 50 N/A 12M 3M, 6M 3M, 6M 3M, 6M N/A ACT/360 30/360

N/A ACT/360 30/360 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 12M 3M, 6M 3M, 6M 3M, 6M N/A ACT/360 30/360

N/A ACT/360 30/360 30 N/A 12M 6M 6M 6M N/A ACT/360 30/360

N/A ACT/365.FIXED ACT/365.FIXED 50 N/A 6M 6M 6M 6M N/A ACT/365.FIXED ACT/365.FIXED

N/A ACT/365.FIXED ACT/365.FIXED 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 6M 6M 6M 6M N/A ACT/365.FIXED ACT/365.FIXED

N/A ACT/365.FIXED ACT/365.FIXED 30 N/A 6M 6M 6M 6M N/A ACT/365.FIXED ACT/365.FIXED

LCH
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

LCH

N/A ACT/360 ACT/360 10.5 N/A 28D 28D 28D 28D N/A ACT/360 ACT/360
Schedule 1001 Fixes/Floating Interest Rate Swaps (DCM CLOB)

Effective Date Spot Starting: Trade Date + 2

Maturity Date CLOB:

Outrights: Spot starting tenors of 2, 3, 4, 

5, 6, 7, 8, 9, 10, 12, 15, 20, 25, and 30 

years. Calendar end/roll date only.

Switches: Combinations of spot starting 

tenors of 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 

20, 25, or 30 years. Calendar end/roll date 

only.

Butterflies: Not Available

Block (DCM)*:

Outrights: Spot starting whole year tenors 

of 1 through 30, 35, 40, 45, and 50 years

Switches: Not Available

Butterflies: Not Available

Quotes

• Outrights and Custom Outrights 

quoted in percentage yield

• Switches quoted in basis points

• Butterflies quoted in basis points

Fixed Frequency Semiannual (6 Month)

Fixed Day Count 30/360

Float Frequency Quarterly (3 Month)

Float Day Count Actual/360

Interest Rate Benchmark 3 Month LIBOR

Holiday Schedules USNY and GBLO

Business Day Convention Modified following
Schedule 1002: USD MAC Interest Rate Swaps (DCM CLOB)

Effective Date CLOB:

• Outrights: Current and upcoming IMM 

start dates

• Calendar Switches/Rolls: Not Available

• Tenor Switches: Not Available

• Butterflies: Not Available

Block (DCM):

Outrights: IMM start dates since March 

2013

• Calendar Switches/Rolls: Not Available

• Tenor Switches: Not Available

• Butterflies: Not Available

Maturity Date CLOB:

Outrights: Tenors of 1, 2, 3, 4, 5, 7, 10, 15, 

20, and 30 years

• Calendar Switches/Rolls: Not Available

• Tenor Switches: Not Available

• Butterflies: Not Available

Block (DCM)*:

• Outrights: Tenors of 1, 2, 3, 4, 5, 7, 10, 

15, 20, and 30 years (4 year not available 

prior to March 2014)

• Calendar Switches/Rolls: Not Available

• Tenor Switches: Not Available

• Butterflies: Not Available

Roll Date

Calendar roll date (standard rolls, not 

IMM rolls)

Settlement Fee Date Trade date + 1

Quotes

• CLOB/Block Outrights quoted in 

decimal price (ex. A quote of 100.253 on a 

notional of 100M will yield an upfront fee 

of $253,000.00)

• Calendar Switches/Rolls quoted in 

NPV (upfront fee)

Fixed Frequency Semiannual (6 Month)

Fixed Day Count 30/360

Float Frequency Quarterly (3 Month)

Float Day Count Actual/360

Interest Rate Benchmark 3 Month LIBOR

Holiday Schedules USNY and GBLO
Business Day Convention Modified following