SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 21-079

Organization: NEX SEF Limited ("NEXSEF")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 02/09/21 Filing Description: AMENDMENT TO NEX SEF 

LIMITED RULEBOOK RELATING TO SUMMARY FINES, AUDIT TRAIL REQUIRMENTS 

AND ERROR CORRECTION PROCESSES; ISSUANCE OF NEX SEF LIMITED MARKET 

REGULATION ADVISORY NOTICES MRAN 2021-01 AND 2021-02

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:
Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

February 9, 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: AMENDMENTS TO NEX SEF LIMITED RULEBOOK RELATING TO SUMMARY FINES, AUDIT

TRAIL REQUIREMENTS AND ERROR CORRECTION PROCESSES; ISSUANCE OF NEX SEF

LIMITED MARKET REGULATION ADIVSORY NOTICES MRAN 2021-01 AND MRAN 2021-02

PURSUANT TO CFTC REGULATION 40.6 

NEX SEF Submission No. 21-079

Dear Mr. Kirkpatrick:

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

“Commission”) that it is self-certifying amendments to its Rulebook (the “Rulebook Amendments”) to: (1) 

include additional violations of NEX SEF rules that will be subject to the summary fine process under NEX 

SEF Rule 516 and revise the appeal procedure that applies to this process; (2) update certain NEX SEF 

rules relating to audit trail requirements and error correction process; and (3) change certain references in 

the NEX SEF Rulebook to reflect the withdrawal of the United Kingdom from the European Union. In 

addition, NEX SEF is self-certifying the issuance of NEX SEF Market Regulation Advisory Notice 2021-01 

(“MRAN 2021-01”) to provide market participants with clarity on NEX SEF’s error trade review process and 

a related form of trade review request (the “Trade Review Request Form”). Further, NEX SEF is selfcertifying the issuance of NEX SEF Market Regulation Advisory Notice 2021-02 (“MRAN 2021-02”) to 

provide market participants with guidance on NEX SEF’s audit trail review process and the potential 

consequences of non-compliance with these requirements. All of the foregoing are being self-certified 

effective Wednesday, February 24, 2021 for trade date Thursday, February 25, 2021. 

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

Commodity Exchange Act (“CEA” or “Act”) and identified that the Rulebook Amendments, MRAN 2021-01 

and MRAN 2021-02 may have some bearing on the following Core Principles:

Compliance with Rules: CEA Section 5h(f)(2)(A) requires a swap execution facility to establish 

and enforce compliance with its rules. The CFTC has implemented this statutory requirement by 

adopting: (1) CFTC Regulation 37.203(e), which requires a swap execution facility to have the 

authority to adjust trade prices or cancel trades when necessary to mitigate errors in orders 

submitted by members and market participants, and to make any related trade price adjustments 

or trade cancellations transparent to the market; (2) CFTC Regulation 37.206, which generally 

requires a swap execution facility to take effective disciplinary action against Participants that 

violate its rules. The Rulebook Amendments are intended to enhance NEX SEF’s compliance with 

these rules, and the issuance of the MRANs are intended to assist market participants in remaining 

in compliance with these rules. Accordingly, the foregoing items are in compliance with this Core 

Principle.

Availability of General Information: CEA Section 5h(f)(5) requires a swap execution facility to 

enforce rules that will allow the it to obtain any necessary information to perform any of the functions 

described in Section 5h of the Act. As required by this Core Principle, NEX SEF is publicly issuing 

MRAN 2021-01 and MRAN 2021-02 to ensure that market participants have updated guidance and 

1
information attendant to the Rulebook Amendments. These MRANs will also be available on the 

NEX SEF website.

. 

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

Rulebook Amendments and the MRANs discussed above 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 its websites at 

http://www.cmegroup.com/market-regulation/rule-filings.html and nexsef.com. 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

Attachments: Appendix A: NEX SEF Rulebook (attached under separate cover) (blackline format)

Appendix B: NEX SEF MRAN 2021-01

Appendix C: NEX SEF Trade Review Request Form

Appendix D: NEX SEF MRAN 2021-02

2
Appendix A

NEX SEF Rulebook

(attached under separate cover) (blackline format)

3
Appendix B

MARKET REGULATION ADVISORY NOTICE

From NEX SEF Limited (“NEX SEF”)

To All EBS NDF Platform Participants

Subject Error Trade Review Request Process

Rule References 315(b), 315(c), 315(d), 318

Effective Date [January 13, 2021]

Notice Date [January 29, 2021]

Notice Number 2020-01

NEX SEF | Error Trade Review Request Process

Overview

It is important to NEX SEF that all Participants have a rewarding experience on the NEX SEF Platform. It 

benefits the market participants to better understand the rules set out in NEX SEF Rulebook as well as 

NEX SEF processes. In order to continue to maintain an orderly and transparent market, NEX SEF is 

outlining its Error Trade Review Request process, pursuant to NEX SEF Rule 315(b). 

Error Trade Review Process

NEX SEF REVIEW REQUEST

Participants who wish to dispute a price to a trade executed on NEX SEF and would like NEX SEF to 

review the transaction’s price under Rule 315(b) must contact EBS Customer Support (see Exhibit A for 

contact information) within 8 minutes of the trade execution. To be eligible for NEX SEF Review, the trade 

must be in a product listed in Exhibit A. 

If NEX SEF determines to review the trade price, NEX SEF will notify all Participants that the trade is 

under review. 

FAIR VALUE PRICE CALCULATION

In reviewing the trade price, pursuant to Rule 315(c), NEX SEF will assess the fair value price at the time 

of the transaction under review. Please see Exhibit A for an example of how the fair value price is 

calculated. EBS Customer Support will ultimately notify all Participants whether the trade will stand, be 

adjusted, or cancelled. 

BILATERAL ERROR TRADE RESOLUTION

Alternatively, Participants may settle the price dispute bilaterally pursuant to Rule 315(d), provided the 

Participants follow the relevant procedures outlined in Exhibit A.

Counterparty Information

Upon request, and subject to NEX SEF Rule 318, EBS Customer will provide counterparty details.

4
EXHIBIT A

NEX SEF TRADE REVIEW REQUEST PROCEDURES

5
Appendix C

NEX SEF TRADE REVIEW REQUEST - NDF 

To comply with CFTC and MiFID II rules, the SEF NDF trading offered by NEX SEF Limited through the EBS 

Market platform is required to have a trade review procedure to address potential erroneous trades. 

Customers are required to contact EBS Customer Support within 8 minutes of the disputed trade if they 

wish for Rule 315(b) (Determination to Review a Transaction's Price) of the NEX SEF Limited Facility 

Rulebook (“Rulebook”) to be invoked. Under Rule 315(c), NEX SEF will assess the fair value price at the 

time of the transaction under review. Please see below for an example of how the fair value price is 

calculated. 

Subject to NEX SEF Rule 318, EBS Customer Support can provide counterparty contact details on 

request. 

EBS Customer Support Contact Information:

Email: customersupport@ebs.com 

T UK 0800 012 8011 | US 8772780643 | Japan 00531 122527 

Click here for international numbers 

Fair Value Range 

Tier 1 Liquid pairs or hours 0.5% from market reference price

Tier 2 Illiquid pairs or hours 1.0% from market reference price

Products

ON SEF NDF 00:00 GMT to 10:59 GMT 11:00 GMT to 23:59 GMT

ARS 1MS Tier 2 Tier 2

BRL EOMS Tier 2 Tier 2

CLP 1MS Tier 2 Tier 2

CNY 1MS Tier 2 Tier 2

CNY 1YS Tier 2 Tier 2

CNY 3MS Tier 2 Tier 2

CNY 6MS Tier 2 Tier 2

COP 1MS Tier 2 Tier 2

EGP 1MS Tier 2 Tier 2

EGP 2MS Tier 2 Tier 2

EGP 3MS Tier 2 Tier 2

GHS 1MS Tier 2 Tier 2

6
IDR 1MS Tier 2 Tier 1

INR 1MS Tier 2 Tier 1

INR EOMS Tier 2 Tier 2

KES 1MS Tier 2 Tier 2

KRW 1MS Tier 2 Tier 1

MYR 1MS Tier 2 Tier 1

NGN 1MS Tier 2 Tier 2

PEN 1MS Tier 2 Tier 2

PEN 61DS Tier 2 Tier 2

PHP 1MS Tier 2 Tier 1

RUB 1MS Tier 2 Tier 2

TRY 1MS Tier 2 Tier 2

TWD 1MS Tier 2 Tier 1

VND 1MS Tier 2 Tier 2

ZMW 1MS Tier 2 Tier 2

Calculation Example: 

a. Disputed trade: USDKRW executed at 1099.00 at 12:00 GMT

b. EBS Market Trade prior to Error Trade that;

• Was completed within the preceding 5 minutes

• Was not part of the same sweep/Error Trade event

• Is not also under an Error Trade Process review

• Is eligible for Market Data publication (i.e. not Intra Floor, not mid-PD etc.)

If b) is unavailable;

1) EBS Market Mid immediately prior to Error Trade assuming;

• Two-way price is available

c. Relevant Tier to apply: Tier 1. 0.5% from reference rate.

d. Calculation from the 1095.00 reference:

7
0.5% above reference rate: 1095 x 1.005 = 1100.475 

0.5% below reference rate: 1095 x 0.995 = 1089.525 

As the executed rate of 1099.00 is within 0.5% from the reference rate this trade would not be escalated 

to NEX SEF Compliance function for review. 

Alternative Resolution to Price Discrepancy 

Rule 315(d)(1) permits Counterparties to mutually decide to amend or cancel a trade. Counterparties 

doing so must: (i) report such action to the same SDR to which NEX SEF reported the original 

transaction, in accordance with Part 45 of the CFTC’s Regulations and Rule 316; and (ii) inform EBS 

Customer Support in writing as soon as possible and no later than within one (1) Business Day (and 

maintain a record of such adjustment) as per Rule 315(d)(4) of the Rulebook. 

8
Appendix D

MARKET REGULATION ADVISORY NOTICE

From NEX SEF Limited (“NEX SEF”)

To All EBS NDF Platform Participants

Subject Audit Trail Review Process and Violations

Rule References 201(b)(3), 203(a), 208, 210(f)(1) and 302, 

309(d), 516

Effective Date [January 21, 2021]

Notice Date [February 5, 2021]

Notice Number 2020-02

NEX SEF | Audit Trail Review Process and Violations

Overview

It is important to NEX SEF that all Participants have a rewarding experience on the NEX SEF Platform. It 

benefits market participants to better understand the rules set out in the NEX SEF Rulebook as well as 

NEX SEF processes. In order to continue to maintain an orderly and transparent market, NEX SEF is 

outlining its Audit Trail Review process, pursuant to NEX SEF Rule 309(d) as well as its approach to 

handling audit trail violations, pursuant to NEX SEF Rule 516. 

Audit Trail Review Process:

Consistent with NEX SEF Rule 309(d), NEX SEF conducts Audit Trail reviews to ensure compliance with 

Rules 201(b)(3), 203(a), 208, 210(f)(1) and 302. The reviews are being conducted by the Market 

Regulation Department of CME Group (“Market Regulation”), as NEX SEF’s Regulatory Service Provider. 

As part of the review process, NEX SEF requests its participants to: 

1. provide specified data and all relevant data elements;

2. attest to complying with the recordkeeping requirements outlined in NEX SEF Rule 208(c); and 

3. attest to its current Eligible Contract Participant status in compliance with NEX SEF Rules 203(a) 

and 210(f)(1), as well as provide its annual financial statements to validate this status pursuant to 

NEX SEF Rule 201(b)(3). 

Approach to Violations of Audit Trail Requirements:

In the event audit trail recordkeeping violations are identified, NEX SEF expects Participants to take 

immediate corrective action to comply with NEX SEF recordkeeping rules. Depending on the gravity of 

the violation and the Participant’s disciplinary history, NEX SEF Compliance may also pursue action 

against the Participant, including issuing a Warning Letter, assessing a Summary Fine pursuant to Rule 

516, or requesting the issuance of charges pursuant to Rule 502 and 503. 

9