SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): ___________________________ 

Organization: ______________________________________________________________________ 

Filing as a: DCM SEF DCO SDR Please note - only ONE choice allowed. 

Filing Date (mm/dd/yy): ___________ Filing Description:

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: ____________________________________________________________________ 

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

 Official Product Name: _____________________________________________________________ 

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(b)

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: ______________________________________________________________________ 
1

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

New York, NY 10022 bloombergsef.com

August 1, 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-09

Ladies and Gentlemen:

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

(“CFTC” or “Commission”) the amending of Rules 1318 and 1333 (collectively, “Rule 

Amendments”). The Rule Amendments are effective on August 14, 2023. A concise explanation 

of the Rule Amendments is in the below table. 

Contract Rulebook 

Chapter

Amendment Explanation

USD SOFR OIS Compound 

Fixed-to-Floating Swap 

Contract

Rule 1318 Amending the contract in light of the 

Commission’s approval of a made-available-totrade (MAT) determination.

GBP OIS SONIA Compound

Fixed-to-Floating Swap 

Contract

Rule 1333 Amending the contract in light of the 

Commission’s approval of a made-available-totrade (MAT) determination.

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 amendment of terms in Rules 1318 and 1333 may have some bearing on the following core 

principle: 

• 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

1318 and Rule 1333 are not readily susceptible to manipulation.
2

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 
3

Exhibit A
A-1

Swap Conventions Fixed Leg

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

 Day Count Conventions: ACT/360 or as agreed by the counterparties., ACT/365.FIXED,

ACT/ACT.ISDA, 30/360

 Holiday Calendars: U.S. Government Securities Business Day Business Calendars: New

York/USNY; selected other calendars supported by a clearing house

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

Following, Preceding, None

Floating Leg

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

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

 Business Calendar: New York/USNY; selected calendars supported by a clearing house

 HolidayFixing Calendars: U.S Government Securities Business Day

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

Following, Preceding, None

Fixed Rate

Swap Tenor

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

The duration of time from the effective date to the maturity date. A contract can have a tenor from 287

days to up to 50 years.

Currency

Effective Date

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.

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).

Notional

USD

Trade Start Types

Fixed Notional/Constant Notional Schedule

 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.

RULE 1318. USD SOFR OIS Compound Fixed-to-Floating Swap Contract

Fixing offset 0 to 10 days

Quoting Convention and

Minimum Increment

Maturity/Expiration Date

As agreed by the counterpartiesCoupon/fixed rate; Upfront fee and coupon/fixed rate

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

FloatingReference Rate

Index

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

SOFR (Secured Overnight Financing Rate)

Periodic Settlement:

Payment and Resets

 CLOB: $100,000

 Non-CLOB: $0.01

 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.

 No optionality.

Ticker

Payment Lag  Fixed Leg: 0 or 2 days

 Floating Leg: 2 days

Minimum Size

Delivery Type

As agreed by the counterparties

 CLOB: $100,000

 Non-CLOB: $0.01

Physical

Reference Rate Term Value

First Fixing Date

USD SOFR OIS Compound [Tenor]

The first SOFR Fixing Date is equal to the effective date of the swap.

Trading Conventions

1 day

Trade Start Types

Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

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

Contract Overview
A-2

Trading Hours

Settlement Currency

00:01 -– 24:00 Sunday- – Friday (Eastern Time)

USD

Clearing Venue Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd.,; Eurex Clearing Aktiengesellschaft; or

Bilateral

Block Size

“Made Available to Trade”

Determination

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

Settlement Procedure

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made

Available to Trade

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

As determined by the Clearing House or bilateral

Reportable Levels

Mandatory Clearing

Determination

As set forth in CFTC Regulation 15.03.

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to

Clearing requirements

Non-Spot: Any date where the Effective Date is a date other than the spot date.
A-3

Trading Conventions Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

Fixed Rate

Swap Conventions

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

Currency

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.

Notional

GBP

Fixed Notional/Constant Notional Schedule

Swap Tenor

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

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 57 days

to up to 50 years.

Effective Date

Quoting Convention

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

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

Coupon/fixed rate; Upfront fee and coupon/fixed rate

Trade Start Types

FloatingReference Rate

Index

 Spot: A new swap where the Effective Date is T+0 from the trade date.

 Non Spot: Any date other than the effective date.

Fixing offset

Minimum Increment

0 to 10 days

SONIA

 CLOB: GBP 100,000

 Non-CLOB: GBP 0.01

Maturity/Expiration Date

Ticker

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

Final Contractual

Settlement Date

Contract Size

Expiration Date

As agreed by counterparties

Periodic Settlement:

Payment and Resets

Reference Rate Term Value

 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.

 No optionality.

GBP SWAP vs SON Compound [tenor]Tenor]

Payment Lag

Minimum Size

 Fixed Leg: 0 days

 Floating Leg: 0 days

1 day

As agreed by counterparties

 CLOB: GBP 100,000

 Non-CLOB: GBP 0.01

Delivery Type

Contract Overview

Physical

Fixed Leg

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

 Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/360ACT.ISDA, 30/360

 Holiday Calendar: LondonBusiness Calendars: London/GBLO; selected other calendars

supported by a clearing house

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

Following, Preceding, None



Floating Leg

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

 Day Count Conventions: ACT/365, ACT/360, 30/360.FIXED

 HolidayBusiness Calendar: London/GBLO; selected other calendars supported by a

clearing house

 Fixing Calendar: London/GBLO

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

Following, Preceding, None
A-4

Mandatory Clearing

Determination

Settlement Procedure

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to

Clearing requirements

As determined by the Clearing VenueHouse or Bilateral

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

Clearing House

Settlement Currency

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

Trade Start Types

GBP

Block Size

First Fixing Date

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

Spot:

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

Non Spot

 Any date other than the effective date.

Speculative Limits

“Made Available to Trade”

Determination

As set in Part 150 of the CFTC Regulations.

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to

Trade

Reportable Levels As set in CFTC Regulation 15.03.

The first SONIA Fixing Date is equal to the effective date of the swap.
RULE 1318. USD SOFR OIS Compound 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 USD SOFR OIS Compound [Tenor] 

Currency USD

Reference Rate SOFR(Secured Overnight Financing Rate) 

Reference Rate Term Value 1 day

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

Notional Fixed Notional/Constant Notional Schedule

Quoting Convention Coupon/fixed rate; Upfront fee and coupon/fixed rate

Minimum Increment • CLOB: $100,000

• Non-CLOB: $0.01

Minimum Size • CLOB: $100,000

• Non-CLOB: $0.01

Trading Conventions • Pay Fixed, Receive Float.

• Receive Fixed, Pay Float.

Swap Conventions Fixed Leg 

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

• Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/ACT.ISDA, 30/360

• Business Calendars: New York/USNY; selected other calendars supported by a clearing 

house

• Business Day Conventions: Modified Following, Following, Preceding, None

Floating Leg 

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

• Day Count Conventions: ACT/360

• Business Calendar: New York/USNY; selected calendars supported by a clearing house

• Fixing Calendars: U.S Government Securities Business Day 

• Business Day Conventions: Modified Following, Following, Preceding, None

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 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).

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.

Fixing offset 0 to 10 days

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

Final Contractual 

Settlement Date

Expiration Date

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.

• No optionality.

Payment Lag • Fixed Leg: 0 or 2 days

• Floating Leg: 2 days

Delivery Type Physical

Settlement Procedure As determined by the Clearing House or bilateral

Settlement Currency USD

“Made Available to Trade” 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available 

to Trade

Mandatory Clearing 

Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to 

Clearing requirements

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

Clearing Venue 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.

A-5
RULE 1333. GBP OIS SONIA Compound 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 Compound [Tenor]

Currency GBP

Reference Rate SONIA

Reference Rate Term Value 1 day

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

Notional Fixed Notional/Constant Notional Schedule

Quoting Convention Coupon/fixed rate; Upfront fee and coupon/fixed rate

Minimum Increment • CLOB: GBP 100,000

• Non-CLOB: GBP 0.01

Minimum Size • CLOB: GBP 100,000

• Non-CLOB: GBP 0.01

Trading Conventions • Pay Fixed, Receive Float.

• Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

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

• Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/ACT.ISDA, 30/360

• Business Calendars: London/GBLO; selected other calendars supported by a clearing house

• Business Day Conventions: Modified Following, Following, Preceding, None

Floating Leg 

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

• Day Count Conventions: ACT/365.FIXED

• Business Calendar: London/GBLO; selected other calendars supported by a clearing 

house

• Fixing Calendar: London/GBLO

• Business Day Conventions: Modified Following, Following, Preceding, None

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 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). 

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.

Fixing offset 0 to 10 days

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

Final Contractual 

Settlement Date

Expiration Date

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.

• No optionality.

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Delivery Type Physical

Settlement Procedure As determined by the Clearing House or Bilateral

Settlement Currency GBP

“Made Available to Trade” 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to 

Trade

Mandatory Clearing 

Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

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.

A-6
Reportable Levels As set in CFTC Regulation 15.03.

A-7