August 14, 2018 

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; Submission Pursuant to Regulation 40.6(d)

(trueEX LLC submission #2018-06S and 2018-03D)

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. 

• On August 6, 2018, trueEX revised its rulebook as follows:

Amended Rule 1001(b), Rule 1002(b), Rule 1003(b), and Rule 1004(b) by revising the

Trading Hours applicable to the contracts described in those Rules. Effective August 06,

2018, the trueEX Platform opens for trading at 03:00 AM EST [08:00 AM GMT] with a preopen at 02:00 AM EST [07:00 AM GMT]. There is no change to the Platform closing time,

which will remain at 05:00 PM EST/EDT for the DCM Trading System and Core RFQ, and

06:00 PM EST/EDT for PTC. trueEX notified its marketplace of the updated Trading Hours

on August 02, 2018 by publishing trueEX Advisory 2018-06, attached hereto as Exhibit B.

Amendments to the Rulebook that add or delete text are underlined or overstruck, respectively, in 

Exhibit A attached hereto. 

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 Regulatory Officer

Chief Compliance Officer
trueEX LLC

Rulebook

April 23August 6, 2018

Exhibit A
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CHAPTER 10

INTEREST RATE SWAP CONTRACTS

RULE 1001. Fixed for Floating Interest Rate Swap Contracts

(a) Contract Description. Fixed for Floating Interest Rate Swap. This 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 floating rate index over a term to maturity. The interest rate payments are 

exchanged for a specified period based on a notional amount. This Rule 1001 contains general information 

about the Contract terms and conditions. Contracts eligible for trading on the DCM Trading System and 

SEF Trading System as Cleared Transactions or Uncleared Transactions (SEF only), as well as the specific 

terms available for each Currency can be found on Schedule 1001, which forms an integral part of this Rule, 

at www.trueex.com. Contracts traded on the SEF Trading System may be traded as Cleared Transactions or 

as Uncleared Transactions if not subject to a clearing mandate or if the market participant qualifies for a 

clearing exception/exemption. 

(b) Trading Hours. 

(i) DCM Trading Hours. The Trading Hours of the DCM Trading System that are 

applicable to the Contract described in this Rule 1001 will commence each Business Day at 11:00 

AM Singapore time (SGT) [10:00 PM EST] 8:00 am London Time (BST/GMT) and end each 

Business Day at 5:00 p.m. New York time (EST/EDT).

(ii) SEF Trading Hours. The Trading Hours of the SEF Trading System that are 

applicable to the Contract described in this Rule 1001 will be as follows:

• The RFQ Trading Hours will commence each Business Day at 8:00 am London Time 

(BST/GMT) 11:00 AM Singapore time (SGT) [10:00 PM EST] and end each Business 

Day at 5:00 p.m. New York time (EST/EDT).

• The PTC Trading Hours will commence each Business Day at 8:00 am London Time 

(BST/GMT) 11:00 AM Singapore time (SGT) [10:00 PM EST] and end each Business 

Day at 6:00 p.m. New York time(EST/EDT).

(c) Currency. 

(i) Super-Major Currencies

• United States dollar (USD)

• European Union Euro Area euro (EUR)

• Japan yen (JPY)

• United Kingdom pound sterling (GBP)

(ii) Major Currencies

• Australia dollar (AUD)

• Canada dollar (CAD)

• Denmark krone (DKK)

• Kingdom of Norway krone (NOK),

• Kingdom of Sweden krona (SEK)

• New Zealand dollar (NZD) 

• Republic of South Africa rand (ZAR)

• Switzerland franc (CHF)
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RULE 1001A Fixed for Floating Swaption Contracts

(a) Contract Description. A swaption is an option to establish a position in an interest rate swap 

at a future date. It grants the buyer the right, but not the obligation to enter into a swap which is exercisable 

only on at a future time. This Rule 1001A pertains to swaption on an underlying fixed/floating swap as 

described in Rule 1001 and contains general Contract terms and conditions. Contracts eligible for trading 

on the Exchange, as well as the specific terms for each currency can be found on Schedule 1001, which 

forms an integral part of this Rule, at www.trueex.com. 

(b) Trading Hours. The trading hours of the SEF Trading System that are applicable to the 

Contract described in this Rule 1001A will be as follows:

• PTC Trading Hours on the SEF Trading System will commence each Business Day at 

8:00 am London Time (BST/GMT) 11:00 AM Singapore time (SGT) [10:00 PM EST]

and end each Business Day at 6:00 p.m. New York time (EST/EDT). 

(c) Currency. 

Super Major Currencies

• United States dollar (USD) 

• European Union Euro Area Euro (EUR)

• United Kingdom pound sterling (GBP)

(d) Underlying Swap. Fixed-to-Floating Interest Rate Swap Contract as described in Rule 

1001.

(e) Trading Conventions. There are two types of swaptions. The buyer of swaption can elect 

to pay fixed (payer) or receive fixed (receiver). The seller of swaption is obligated to enter into the 

underlying swap with the buyer upon exercise.

(i) The buyer of a Payer Option gives the buyer the right to enter into the underlying 

swap where they pay the fixed rate and receive the floating rate. 

(ii) The buyer of a Receiver Option gives the buyer the right to enter into a swap in 

which they receive the fixed rate and pay the floating rate. 

(f) Swaption Conventions. 

(i) Traded Price (Premium). The traded price on Trade Date, quoted and settled in the 

currency of the Underlying Swap

(ii) Premium Settlement. T+2 (up to T+5 as agreed by the counterparties)

(iii) Strike Price. Fixed Rate of the Underlying Swap

(iv) Exercise Type. European

(v) Expiration Date. From T+1 to 2 years, as agreed by the counterparties

(vi) Swaption Settlement. Physical Delivery upon exercise
90

(g) Block Trades. The Exchange has established minimum Block Trade sizes in accordance 

with Appendix F to Part 43 of the CFTC Regulations as set forth in trueEX Rule 1001(t).

(h) All Swaptions traded pursuant to this Rule 1001A shall be Uncleared.

RULE 1002. Market Agreed Coupon (“MAC”) Interest Rate Swap Contracts

(a) Contract Description. This Contract is a forward starting Fixed for Floating Interest Rate 

Swap that exchanges periodic fixed interest payments at a rate equal to the market agreed coupon 

recommended by the Securities Industry and Financial Markets Association Asset Management Group 

(SIFMA AMG) for the relevant Tenors and Currencies. This Rule 1002 contains general information about 

the Contract terms and conditions. Contracts eligible for trading on the DCM Trading System and SEF 

Trading System, as well as the attributes related to each Currency can be found on Schedule 1002 on the 

Web Site (www.trueex.com). 

(b) Trading Hours. 

(i) DCM Trading Hours. The Trading Hours of the DCM Trading System that are 

applicable to the Contract described in this Rule 1002 will commence each Business Day at 8:00 am 

London Time (BST/GMT) 11:00 AM Singapore time (SGT) [10:00 PM EST] and end each 

Business Day at 5:00 p.m. New York time (EST/EDT).

(i) SEF Trading Hours. The Trading Hours of the SEF Trading System that are 

applicable to the Contract described in this Rule 1002 will be as follows:

• The RFQ Trading Hours will commence each Business Day at 11:00 AM 

Singapore time (SGT) [10:00 PM EST] 8:00 am London Time (BST/GMT) and 

end each Business Day at 5:00 p.m. New York time (EST/EDT).

• The PTC Trading Hours will commence each Business Day at 11:00 AM Singapore 

time (SGT) [10:00 PM EST] 8:00 am London Time (BST/GMT) and end each 

Business Day at 6:00 p.m. New York time (EST/EDT).

(c) Currency. US Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen

(d) Listing/Trading Conventions. The terms of a MAC Swap are based on the criteria below. 

(i) Series. The Exchange will list four MAC Swap Series each year on a quarterly 

cycle, in connection with quarterly International Monetary Market (IMM) dates, in March, June, 

September and December. Each Series will be identified by the month and year of their applicable 

IMM start date.

Prior to December 2014:

(A) On-the-Run. The two most current Series will be listed concurrently for 

trading at any one time. 

(B) Off-the-Run. After the Last Trading Day of an On-the-Run MAC Swap 

Series, the Series will be listed as Off-the-Run for one year after its Last Trading Day as an 

On-the-Run Swap. Transactions in Other Tenors (with the exception of Block Trades), are 

executed through the System’s Off-the-Run trading functionality. All such trades will be 

subject to the requirements of Exchange Rule 524(c).
95

(vii) Roll Day Convention. The date used for determining all fixed and floating Reset 

Dates for the life of the swap after its Effective Date. Roll Days define the beginning and end of 

Fixed and Floating interest accrual periods. Roll Day marks the start of a new interest accrual period, 

and is the day on which a Reset Rate takes effect. For a MAC Swap, Roll Day is the same date of 

the month as the Effective Date.

(viii) Floating Reset Dates. Dates utilized to determine the Floating Rate amounts for 

each interest accrual period during the life of the swap after its Effective Date. The Reset Date is 2 

London business days prior to the Roll Date that begins the applicable interest accrual period.

(ix) First Period Fixing Date. The Fixed Rate is the MAC Fixed Rate as described in 

(d)(vii) above. The Floating Rate for the first interest period is fixed 2 business days prior to the 

Effective Date. 

RULE 1003. Overnight Index Swap (“OIS”) Contracts

(a) Contract Description. Fixed rate is swapped against a daily overnight reference rate for an 

agreed period. This is an interest rate swap for which settlement is in the form of periodic fixed interest 

payments and a stream of a predetermined daily compounding rate published over a term to maturity. The 

interest rate payments are exchanged for a specified period based on a notional amount. This Rule 1003 

contains general information about the Contract terms and conditions. Contracts eligible for trading on the 

SEF Trading System as Cleared Transactions or Uncleared Transaction, as well as the specific terms 

available for each Currency can be found on Schedule 1003, which forms an integral part of this Rule, at 

www.trueex.com. Contracts traded on the SEF Trading System may be traded as Cleared Transactions or 

as Uncleared Transactions if not subject to a clearing mandate or if the market participant qualifies for a 

clearing exception/exemption. 

(b) Trading Hours. 

The Trading Hours of the SEF Trading System that are applicable to the Contract described 

in this Rule 1003 will be as follows:

• The RFQ Trading Hours will commence each Business Day at 8:00 am London Time 

(BST/GMT) 11:00 AM Singapore time (SGT) [10:00 PM EST] and end each Business 

Day at 5:00 p.m. New York time (EST/EDT).

• The PTC Trading Hours will commence each Business Day at 8:00 am London Time 

(BST/GMT) 11:00 AM Singapore time (SGT) [10:00 PM EST] and end each Business 

Day at 6:00 p.m. New York time(EST/EDT).

(c) Currency.

(i) Super-Major Currencies

• United States dollar (USD)

• European Union Euro Area euro (EUR)

• Japan yen (JPY)

• United Kingdom pound sterling (GBP)

(ii) Major Currencies

• Australia dollar (AUD)

• Canada dollar (CAD)

• Switzerland franc (CHF)
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(b) Trading Hours. 

SEF Trading Hours. The Trading Hours of the SEF Trading System that are applicable to 

the Contract described in this Rule 1004 will be as follows:

• The PTC Trading Hours will commence each Business Day at 8:00 am London Time 

(BST/GMT) 11:00 AM Singapore time (SGT) [10:00 PM EST] and end each Business 

Day at 6:00 p.m. New York time (EST/EDT). 

(c) Currency.

(i) Super-Major Currencies

• United States dollar (USD)

• European Union Euro Area euro (EUR)

• Japan yen (JPY)

• United Kingdom pound sterling (GBP)

(ii) Major Currencies

• Australian dollar (AUD)

• Canada dollar (CAD)

• Danish krone (DKK)

• Norwegian krone (NOK)

• New Zealand dollar (NZD)

• Swedish krona (SEK)

• Switzerland franc (CHF)

• South African rand (ZAR)

(iii) Non-Major Currencies

• Czech Republic koruna (CZK)

• Hong Kong dollar (HKD)

• Hungarian forint (HUF)

• Polish zloty (PLN)

• Singapore dollar (SGD)

(d) Trading Conventions. 

Buyer (payer) of a FRA believes the rate at which the agreement is executed will be higher 

on the agreed upon start date. If the Traded rate is higher than the Benchmark rate, the payer 

will receive the interest differential from the seller (receiver). 

(e) Swap Leg Convention

(i) Traded Rate. The agreed upon interest rate yield on Trade Date

(ii) Benchmark Rate. The rate associated with the Benchmark Index (dependent on 

Currency).

(iii) Payment frequency. One time coupon payment. The coupon period is the number 

of days between the Effective Date and Maturity Date of the FRA. The differential between the