D-1 

600773380v2 

Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000 

New York, NY 10022 bloombergsef.com 

June 7, 2023 

Submitted via Portal 

U.S. Commodity Futures Trading Commission 

Three Lafayette Centre 

1155 21st Street, N.W. 

Washington, D.C. 20581 

Re: CFTC Regulation 40.6(c) Certification Delisting of Two (2) LIBOR-related 

Contracts. 

 BSEF Submission No. 2023-R-06

Ladies and Gentlemen: 

Bloomberg SEF LLC (“Bloomberg SEF”) is certifying to the U.S. Commodity Futures Trading 

Commission (“CFTC” or “Commission”) the delisting of two contracts which reference LIBOR 

(“Contracts”) in line with regulatory guidance to transition from existing LIBOR benchmarks to 

risk-free rates as set forth in the table below, effective on June 10, 2023. There is no open 

interest on BSEF in the Contracts.1 

Contract Title Rulebook 

Chapter 

SGD SOR Fixed-to-Floating Swap Contract Rule 1355 

THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap 

Contract 

Rule 1367 

Exhibit A provides amendments to the applicable BSEF Rulebook Chapters in redline format. 

Bloomberg SEF reviewed the designated contract market core principles (“Core Principles”) as 

set forth in the Commodity Exchange Act (“Act” or “CEA”) and identified that the delisting 

may have some bearing on the following Core Principles: 

• Emergency Authority: Contracts are not subject to the mandatory trading determination 

under CFTC Rule 37.12 and can be traded outside BSEF until full cessation of LIBOR. 

Therefore, there will be no market disruption related to their delisting. 

1 SGD SOR Fixed‐to‐Floating Swap Contract was last traded on SEF on January 9, 2023. THB Thai Baht Interest Rate

Fixing (6M) Fixed‐to‐Floating Swap Contract has never been traded on SEF.
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• Availability of General Information: Bloomberg SEF will make publicly available the 

details of the delisting by publishing this submission on Bloomberg SEF’s website. 

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), Bloomberg SEF hereby 

certifies that the delisting of the Contracts complies with the Act, including regulations under the 

Act. There were no substantive opposing views to the proposal. 

Bloomberg SEF certifies that this submission has been concurrently posted on the Bloomberg 

SEF website at https://www.bloomberg.com/professional/product/sef-compliance/. 

Please contact the undersigned at (212) 617-7331 with any questions regarding this matter. 

Chief Compliance Officer 

Bloomberg SEF LLC 

731 Lexington Avenue 

New York, NY 10022 

Enclosure 

 
600773380v2 

Exhibit A 

Bloomberg SEF Rulebook 

(deletions struckthrough) 

RULE 1355. SGD SOR Fixed-to-Floating Swap Contract [Reserved] 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.  

Ticker SGD SWAP vs [Floating Index Maturity]

Currency SGD

Floating Rate Index SOR

Floating Rate Index

Maturity

6 months

Fixed Rate Par; custom coupon  

Quoting Convention and

Minimum Increment

As agreed by the counterparties  

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg  

o Payment: Monthly, Quarterly, Semi‐Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi‐Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).  

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.  

Payments are settled in accordance with the payment frequency of the swap.  

First Fixing Date The first SOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non‐Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

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

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

   
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RULE 1367. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract 

[Reserved] 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.  

Ticker THB NDIRS vs [Floating Index Maturity]

Currency THB

Floating Rate Index Thai Baht Interest Rate Fixing (THBFIX)

Floating Rate Index Maturity 6 months

Fixed Rate   Par; custom coupon  

Quoting Convention and

Minimum Increment

As agreed by the counterparties  

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg  

o Payment: Weekly, Monthly, Quarterly, Semi‐Annually, Annually  

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: Thailand

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Weekly, Monthly, Quarterly, Semi‐Annually, Annually  

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: Thailand

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).  

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.  

Payments are settled in accordance with the payment frequency of the swap.  

First Fixing Date The first Thai Baht Interest Rate Fixing Date is two Thai business days prior to the Effective Date of the

swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non‐Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

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

Clearing House LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03