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

New York, NY 10022 bloombergsef.com

June 15, 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(a) Certification. Product-Related Amendments to the BSEF 

LLC Rulebook 

BSEF Submission No. 2023-R-07

Ladies and Gentlemen:

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

(“CFTC” or “Commission”) the: (i) delisting of three contracts which reference LIBOR, (ii) 

amending Rules 1327, 1328, 1331, and 1333; and (iii) adding Rule 1368 to the Rulebook

(collectively, “Rule Amendments”). Rule Amendments are effective on June 30, 2023. A concise 

explanation of the Rule Amendments is in the below table. 

Contract Rulebook 

Chapter

Amendment Explanation

USD LIBOR Fixedto-Floating Swap 

Contract

Rule 1314 Delisting the contract referencing LIBOR in line with 

regulatory guidance to transition from existing LIBOR 

benchmarks to risk-free rates.

USD Basis Swap 

Contract

Rule 1315 Delisting the contract referencing LIBOR in line with 

regulatory guidance to transition from existing LIBOR 

benchmarks to risk-free rates, while retaining the 

contracts under Rule 1315 which reference BSBY, SOFR, 

and Fed Funds benchmarks in the contract.

CAD CDOR CBA 

(3M) Fixed-toFloating Swap 

Contract

Rule 1327 Amending to correct the First Fixing Date reference such 

that it references CDOR instead of LIBOR.

Interest Rate MXN 

TIIE (28D) FixedRule 1328 Amending to correct the First Fixing Date reference such that it references TIIE instead of LIBOR.
To-Floating Swap 

Contract

AUD OIS RBACOR 

Fixed-to-Floating 

Swap Contract

Rule 1331 Amending to correct the First Fixing Date reference such 

that it references AONIA instead of LIBOR, and that it is 

equal to the effective date of the swap, not T+1.

GBP OIS SONIA 

Fixed-to-Floating 

Swap Contract

Rule 1333 Amending to correct the First Fixing Date reference such 

that it references SONIA instead of LIBOR, and that it is 

equal to the effective date of the swap, not the trade date.

Option – USD 

LIBOR Fixed-toFloating Swap 

Contract

Rule 1334 Delisting the contract referencing LIBOR in line with 

regulatory guidance to transition from existing LIBOR 

benchmarks to risk-free rates.

Option - USD SOFR 

OIS Fixed-toFloating Swap 

Contract 

Rule 1368 Adding the contact to the BSEF Rulebook, noting that its 

certification under CFTC Regulation 430.2(a) became 

effective on November 3, 2022.

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

Bloomberg SEF reviewed the swap execution facility core principles (“Core Principles”) as set 

forth in the Commodity Exchange Act (“Act” or “CEA”) and CFTC Regulations and identified that 

the delisting of the Contracts in Rule 1314, Rule 1315, and 1334, the amendment of terms in 

Rules 1327, 1328, 1331, and 1333, and adding Rule 1368 may have some bearing on the 

following Core Principles: 

• Swaps Not Readily Susceptible to Manipulation (Core Principle 3): BSEF believes that

Rule Amendments do not change the prior determination that swaps listed in Rules

1327, 1328, 1331, and 1333, and adding Rule 1368 are not readily susceptible to

manipulation.

• Emergency Authority (Core Principle 6): Since the delisting of LIBOR contracts is in line

with regulatory guidance to transition from LIBOR to risk-free rates, and as all market

participants are aware that LIBOR is no longer supported after June 30, 2023, there will

be no undue market disruption related to the delisting of these contracts.

1

• Availability of General Information (Core Principle 7): BSEF will make publicly available

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

1

 USD LIBOR Fixed-to-Floating Swap Contract was last traded on BSEF on June 13, 2023, and it is expected to be 

traded until it is delisted. USD Basis Swap Contract was last traded on BSEF on May 10, 2023. Option – USD 

LIBOR Fixed-to-Floating Swap Contract has never been traded on BSEF.
Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), BSEF hereby certifies that the 

Rule Amendments comply with the Act, including all regulations thereunder. There were no 

substantive opposing views to the proposal. 

BSEF certifies that this submission has been concurrently posted on the BSEF website at 

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

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

Bloomberg SEF LLC 

731 Lexington Avenue 

New York, NY 10022 

Enclosure 
Exhibit A

BSEF Rulebook 

(deletions struckthrough)

RULE 1314 USD LIBOR 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 USD SWAP VS [Floating Index Maturity]

Currency USD

Floating Rate Index LIBOR

Floating Rate Index 

Maturity

1, 3, 6, 12 months

Fixed Rate • Par

• Custom Coupon

• Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Contract Size Fixed notional, 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 

• Payment: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: 30/360, ACT/360/ ACT/365

• Holiday Calendar: London, New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-Annual

• Day Count Conventions: ACT/360

• Holiday Calendar: London, New York

• Fixing Calendar: London

• Business Day Conventions: Modified Following

Swap Tenor • The duration of time from the effective date to the maturity date. A non-MAT USD LIBOR Fixed-to-Floating

Swap Contract can have a Tenor from 28 days to up to 50 years.

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

payments. This is also known as 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 LIBOR Fixing Date is two (2) London business days prior to the Effective Date

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

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

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft 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

____________________________________

* Certain USD LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
RULE 1315 USD Basis Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified 

notional over a term to maturity. 

Ticker USD SWAP [floating rate 1] V [floating rate 2] [tenor]

Currency USD

Floating Rate Index 1 Month USD-LIBOR

3 Month USD-LIBOR

6 Month USD-LIBOR

1 Month USD-BSBY

3 Month USD-BSBY

SOFR

Fed Funds

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Spread

Sell = Receive Spread 

Swap Conventions LIBOR Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual

Day Count Conventions: ACT/360, or as agreed by the counterparties

Compounding Method: Flat, Exclude Spread 

Holiday Calendar: England, US, or as agreed by the counterparties

Fixing Calendar: England 

Business Day Conventions: Modified Following

BSBY Floating Leg

Payment/Resets: Monthly, Quarterly

Day Count Conventions: ACT/360, or as agreed by the counterparties 

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: USGS

Business Day Conventions: Modified Following

SOFR Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

Day Count Conventions: ACT/360, or as agreed by the counterparties 

Holiday Calendar: England, US, or as agreed by the counterparties

Fixing Calendar: USGS 

Business Day Conventions: Modified Following

Fed Funds Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

Day Count Conventions: ACT/360, or as agreed by the counterparties 

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: US 

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

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment 

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

Floating Leg 2: The payment amount of the Floating Leg 2 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 LIBOR Fixing Date is two London business days prior to the Effective Date. 

If BSBY is one of the index leg tenors, the First Fixing Date is two U.S. Government Securities business days 

prior to the Effective Date of the swap. 

If Fed Funds or SOFR is one of the index leg tenors, the first Fixing Date will equal 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 

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time

Clearing House Tenor LIBOR Basis: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft 

or Bilateral

SOFR v LIBOR: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

• SOFR v Fed Funds: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing 

Aktiengesellschaft or Bilateral

• SOFR v BSBY: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

• Tenor BSBY Basis: LCH.Clearnet Ltd. or Bilateral

Fed Funds v LIBOR: 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
RULE 1327 CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract

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 CAD SWAP 3M [Trade Start Type] [tenor]

Currency CAD

Floating Rate Index 3 Month CDOR

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Semi-Annual

• Day Count Conventions: ACT/365F

• Holiday Calendar: Canada 

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: Quarterly, Semi-Annual

• Day Count Conventions: ACT/365F

• Holiday Calendar: Canada 

• Business Day Conventions: Modified Following 1.

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

long as 50 years.

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

Also known as 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 Libor CDOR 

Fixing Date

The first CDOR Fixing Date is equal to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 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
RULE 1328 Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract

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 MXN SWAP vs. 28D [tenor]

Currency MXN

Floating Rate 

Index

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio)

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: 28 Days

• Day Count Conventions: ACT/360

• Holiday Calendar: Mexico 

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: 28 Days

• Day Count Conventions: ACT/360

• Holiday Calendar: Mexico 

• 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 3 months to as 

long as 260 months.

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

Also known as 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 TIIELibor

Fixing Date

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date. 

Trade Start Types Spot: 

• A new swap where the Effective Date is T+1 from the trade date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc

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
RULE 1331 AUD OIS RBACOR Fixed-to-Floating Swap Contract

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 AUD OIS SWAP [Trade Start Type] [Tenor]

Currency AUD

Floating Rate Index RBACOR (Interbank Overnight Cash Rate)

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual

• Day Count Conventions: ACT/365 

• Holiday Calendar: Australia

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets : Annual

• Day Count Conventions: ACT/365

• Holiday Calendar: Australia

• Fixing Calendar: Australia

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 24 

months.

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

known as 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 Libor AONIA Fixing Date is equal to the effective date of the swap T+1.

Trade Start Types Spot: 

• A new swap where the Effective Date is T+1 from the trade date.

Non Spot

• Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue

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 in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000

New York, NY 10022 bloombergsef.com

RULE 1333 GBP OIS SONIA Fixed-to-Floating Swap Contract

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 GBP SWAP vs SON [tenor]

Currency GBP

Floating Rate Index SONIA

Fixed Rate Par; Custom coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Quarterly, Annual, Semi-Annual

• Day Count Conventions: ACT/365, ACT/360, 30/360

• Holiday Calendar: London

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets: Quarterly, Annual, Semi-Annual

• Day Count Conventions: ACT/365, ACT/360, 30/360

• Holiday Calendar: London

• Fixing Calendar: London

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 5 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. Also 

known as 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 Libor SONIA Fixing Date is equal to the effective date of thetrade dateswap. 

Trade Start Types Spot: 

• A new swap where the Effective Date is T+0 from the trade date.

Non Spot

• Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

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

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000

New York, NY 10022 bloombergsef.com

RULE 1334 Option – USD LIBOR Fixed-to-Floating Swap Contract [Reserved]

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit 

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker IRS USD [Underlying Tenor] [Strike] [Expiry Date]

Underlying Swap USD LIBOR Fixed-to-Floating Swap Contract

Index of 

Underlying Swap

LIBOR (3M) 

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and receive 

the floating leg.

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed leg 

and pay the floating leg.

Option Strike Price Fixed coupon of the underlying swap

Option Expiry Date As agreed by the parties

Option Settlement 

Type

Cash or a delivery of a cleared swap

Exercise method The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during 

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery). 

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise by 

physical delivery, the counterparties must submit the Swap for clearing to the Clearing House. 

Trading Hours and 

Venue

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000

New York, NY 10022 bloombergsef.com

RULE 1368 Option – USD SOFR OIS Fixed-to-Floating Contract

Contract Overview An agreement granting the buyer the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. 

Ticker USD SWAP vs SOFR [Underlying Tenor] [Strike] [Expiry Date]

Underlying Swap USD SOFR OIS Fixed-to-Floating Swap Contract

Index of Underlying 

Swap

SOFR

Tenor of Underlying 

Swap

Any

Currency USD

Quoting Convention 

and Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading Conventions A payer option gives the buyer of the option the right to enter into a swap where they pay the fixed leg and receive 

the floating leg. 

A receiver option gives the buyer of the option the right to enter into a swap in which they will receive the fixed leg 

and pay the floating leg.

Option Strike Price Fixed coupon of the underlying swap

Option Expiry Date As agreed by the parties

Option Settlement 

Type

Cash or delivery of a cleared or non-cleared swap

Exercise method The buyer of the option must notify the seller of the option of the buyer’s intent to exercise the option during 

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery). Notice 

shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise by 

physical delivery, the counterparties must submit the Swap for clearing to the Clearing House.

Trading Hours and 

Venue

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying Swap

Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing AG or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap