June 21, 2023 

Submitted via CFTC Portal 

Secretary of the Commission 

Office of the Secretariat 

Commodity Futures Trading Commission 

Three Lafayette Centre 

1155 21st Street, N.W. 

Washington, D.C. 20581 

Re: TeraExchange, LLC – Regulation 40.6 Delisitng of USD LIBOR v NZD BBR-FRA Basis Swap

Ladies and Gentlemen: 

TeraExchange, LLC (“TeraExchange”) hereby notifies the Commodity Futures Trading Commission (the 

“Commission”) of its intent to delist USD LIBOR v NZD BBR-FRA Basis Swap from the TeraExchange swap 

execution facility. TeraExchange intends to delist this Contract effective June 26, 2023. 

Pursuant to Commission Regulation 40.6, this submission includes: 

1. A copy of the submission cover sheet in accordance with the instructions provided in Appendix D to 

Part 40 of the Commission’s regulations, attached as Exhibit A. 

2. The intended delisting date is June 26, 2023. 

3. A certification by TeraExchange that (a) the Contract complies with the Commodity Exchange 

Act, as amended (the “Act”), and the Commission regulations thereunder; and (b) concurrent 

with this submission, TeraExchange posted on its website (i) a notice of pending certification 

of the Contract and (ii) a copy of this submission, attached as Exhibit B; 

4. The Contract’s terms and conditions, attached as Exhibit C; and 

5. An explanation of the purpose of the delisting of the Contract, attached as Exhibit D. 

Questions regarding this submission should be directed to Todd Langdon, Chief Compliance Officer, at 908-273-

8277 or by e-mail at tlangdon@teraexchange.com. 

Sincerely, 

 Christopher Rossman 

Christopher Rossman 

Chief Operating Officer 

 
EXHIBIT A 
EXHIBIT B 

CERTIFICATIONS PURSUANT TO SECTION 5c OF THE COMMODITY 

EXCHANGE ACT, 7 U.S.C. §7A-2 AND COMMODITY FUTURES TRADING 

COMMISSION REGULATION 40.2, 17 C.F.R. §40.2

TeraExchange, LLC (“TeraExchange”) hereby certifies that: a) the USD LIBOR v NZD BBRFRA Basis Swap Contract complies with the Commodity Exchange Act, 7 U.S.C. §1 et seq. and 

the Commodity Futures Trading Commission (the “Commission”) regulations thereunder; and 

b) concurrent with this submission, TeraExchange, posted on its website: (i) a notice of 

delisting of the Contract with the Commission; and (ii) a copy of this submission.

TeraExchange, LLC 

By: Christopher Rossman 

Name: Christopher Rossman 

Title: Chief Operating Officer 

Date: June 21, 2023 

 
EXHIBIT C 

Terms and Conditions 

 

Swap Structure A fixed notional, float for float Interest Rate Swap whose value is based upon the difference between a stream of 

floating interest payments that are tied to a floating reference rate, over a term to maturity.

Currency NZD

Quoting Convention Spread over Floating Leg 1 (000.0)

Price Increment 0.001 points = 0.1 basis points 

Minimum Notional Size NZD 1,000.00

Minimum Notional Size Increment NZD 1,000.00

Trading Conventions Buy = Pay Spread 

Sell=Receive Spread

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

Last Trade Day Available to trade on every US business day 

Effective Date

The Effective Date is the first date for which fixed and floating payments accrue. For spot starting instruments, the 

Effective Date is the Trade Date. For forward starting instruments, the Effective Date is Trade Date + Forward 

Starting Period, subject to adjustment based on Modified Following convention. 

Maturity Date The Maturity Date (also referred to as the Termination Date) is the final date to which fixed and 

 floating amounts accrue. For spot starting instruments, this date is Effective Date + Tenor. 

Forward Starting Date As agreed by the counterparties

Tenor As agreed by the counterparties

Upfront Payment Standard: None

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

Settlement Procedure Bilateral settlement, as agreed by the counterparties

Position Accountability As may be determined and published by TeraExchange under CFTC Regulation 37.600 (c)

Reset Frequency 1 Month, 3 Month

Payment Frequency 1 Month, 3 Month

Compounding None

Day Count Convention ACT/360

Business Day Convention Modified Following

Reset Dates

Reset Dates define the beginning and end of accrual periods. Floating Rate Reset Dates facilitate the 

determination of the Reference Rate Fixing Dates. Each Reset Date is subject to adjustment based on 

Modified Following.

Fixing Date Wellington Business Day that coincides with the Reset Date

Floating Rate Index USD-ICE-LIBOR (3 Month)

Fixing Date Holiday Calendar New York (USNY), London (GBLO), Wellington (NZWE)

Reset Frequency 1 Month, 3 Month

Payment Frequency 1 Month, 3 Month

Compounding None

Day Count Convention Act/365.FIXED

Business Day Convention Modified Following

Reset Dates

Reset Dates define the beginning and end of accrual periods. Floating Rate Reset Dates facilitate the 

determination of the Reference Rate Fixing Dates. Each Reset Date is subject to adjustment based on 

Modified Following.

Fixing Date Wellington Business Day that coincides with the Reset Date

Floating Rate Index NZD-BBR-FRA (3 Month)

Fixing Date Holiday Calendar Wellington (NZWE), Auckland (NZAU)

USD LIBOR vs NZD BBR-FRA BASIS IRS

General

Float Leg 1

Float Leg 2
EXHIBIT D 

EXPLANATION OF THE DELISTING OF THE CONTRACT 

As required by Commission Regulation § 40.6(a)(7)(v), TeraExchange presents the following explanation, in 

narrative form, regarding the decision to delist USD LIBOR v NZD BBR-FRA Basis Swap. 

LIBOR was phased out at the end of 2021 and as of late 2022 parts of LIBOR have been discontinued. The 

remainder of LIBOR is scheduled to end within 2023. As this contract references LIBOR which is set to be 

discontinued presently and since TeraExchange has no open interest in the contracts, the decision has been made 

to delist the contract.