NEX SEF-2020-R-1

December 18, 2019

Submitted via CFTC Portal

Division of Market Oversight

U.S. Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: NEX SEF Limited – Regulation 40.6(a) Certification – Market Regulation Advisory Notice & Amended 

Rulebook

Ladies and Gentlemen:

Pursuant to Section 5c(c) of the Commodity Exchange Act (the “Act”) and Section 40.6(a) of the 

regulations of the Commodity Futures Trading Commission (the “Commission”), NEX SEF Limited (“NEX 

SEF”) hereby notifies the Commission this it is self-certifying the issuance of NEX SEF Market Regulation 

Advisory Notice 2020-01 (“MRAN 2020-01”). NEX SEF is also self-certifying that it has amended its 

Rulebook, specifically Rule 901.

A concise explanation and analysis of MRAN 2020-01 and the amendment to the Rulebook and their

compliance with applicable provisions of the Act and the Commission’s regulations thereunder is attached 

hereto as Exhibit A. 

A clean copy of MRAN 2020-01 is attached hereto as Exhibit B and a copy of MRAN 2020-01 marked to 

show changes against MRAN 2019-01 is attached hereto as Exhibit C. A clean copy of the amended 

Rulebook is attached hereto as Exhibit D and a copy of the Rulebook marked to show changes against 

the version most recently submitted to the Commission is attached hereto as Exhibit E. A request for 

confidential treatment of Exhibit B, Exhibit C, Exhibit D and Exhibit E is being simultaneously submitted to 

the Commission and a copy of that request for confidential treatment is included with this submission. 

MRAN 2020-01 and the Rulebook amendment will become effective on January 3, 2020. NEX SEF 

certifies that each of MRAN 2020-01 and the Rulebook amendment complies with the requirements of the 

Act and the rules and regulations promulgated thereunder. NEX SEF has reviewed the swap execution 

facility core principles (“Core Principles”) as set forth in the Act and has determined that the issuance of 

MRAN 2020-01 and the Rulebook amendment impact the Core Principles identified in Exhibit A.

NEX SEF is not aware of any substantive opposing views expressed with respect to this filing and 

certifies that, concurrent with this filing, a copy of this submission was posted on the NEX SEF website 

and may be accessed at: http://www.nexsef.com. 

Please contact the undersigned at (212) 521-4609 with any questions regarding this matter.

Very truly yours,

Nirup Ramalingam, Chief Operating Officer

NEX SEF LIMITED

London Fruit and Wool Exchange
2

1 Duval Square

London E1 6PW

United Kingdom
3

Exhibit A

Explanation and Analysis

MRAN 2020-01

MRAN 2020-01 amends previously issued MRAN 2019-01 by eliminating the previously established 

Quote Fill Ratio (QFR) Thresholds for the USD/CNY and USD/MYR currency pairs. In addition, MRAN 

2020-01 clarifies that the relevant QFR Threshold applies to Participants together with their Affiliates,

regardless of the method by which a Participant’s Affiliates access the NEX SEF Dealing Service. This 

amendment is intended to prevent inadvertent enforcement of Rule 406 violations against Participants 

who, together with their Affiliates, meet the QFR Threshold(s) then in effect. The MRAN does not 

otherwise change the Maintenance of Orderly Markets protocol (the “Market Protocol”) previously 

established by MRAN 2019-01, as authorized pursuant to Rule 901, that is intended to ensure 

Participants are transacting on the NEX SEF Order Book in accordance with the trading standards set 

forth in Chapter 4 of the Rulebook which, among other things, prohibit disruptive trading practices. NEX 

SEF determined that liquidity considerations, the low risk of market disruptions and Participant demand 

does not justify maintaining QFR Thresholds for the affected currencies.

These amendments are consistent with Core Principle 2.

Rulebook Amendment

NEX SEF has revised Rule 901 to provide the Market Regulation Staff the discretion to calculate any 

QFR and/or HFR on an aggregate basis, taking into account the Bids/Offers submitted to the Order Book 

by the Participant (via EBS Ai) and by any Affiliate of the Participant (regardless of access method).

This amendment is consistent with Core Principle 2.

ACTIVE 251984845