SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 21-488

Organization: NEX SEF Limited ("NEX SEF")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 11/08/21 Filing Description: Amendments to Rules 802(2) (“Basis 

Swaps”), 802(3) (“Forward Rate Agreements (FRA)”), and 802(4) (“Non Deliverable Swaps”) 

in Connection with the CFTC Market Risk Advisory Committee Best Practice Advisory re 

Transition from LIBOR TO SOFR

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:
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

November 8, 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: CFTC Certification. Amendments to Rules 802(2) (“Basis Swaps”), 802(3)

(“Forward Rate Agreements (FRA)”), and 802(4) (“Non Deliverable Swaps”) 

in Connection with the CFTC Market Risk Advisory Committee Best Practice 

Advisory re Transition from LIBOR TO SOFR.

NEX SEF Submission No. 21-488

Dear Mr. Kirkpatrick:

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

“Commission”) amendments to Rules 802(2) (“Basis Swaps”), 802(3) (“”Forward Rate Agreements (FRA)”),

and 802(4) (“Non Deliverable Swaps”) to provide for new benchmark pursuant to the CFTC’s Market Risk 

Advisory Committee (“MRAC”) recent adoption of a best practice for the industry to switch from the London 

Inter-Bank Offered Rate (“LIBOR”) to the Secured Overnight Financing Rate (“SOFR”) for USD derivatives

dated July 13, 20211(collectively, the “Rule Amendments”) effective on trade date November 24, 2021.

Appendix A below provides the Rule Amendments with additions underscored and deletions struck through.

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

Commodity Exchange Act (“CEA” or “Act”) and identified that the Rule Amendments may have some 

bearing on the following Core Principle:

Compliance with Rules: CEA Section 5h(f)(7) requires a swap execution facility to establish and 

enforce rules and procedures for ensuring the financial integrity of swaps entered on or through its 

facilities. While LIBOR will continue to be available for use through 2023, the CFTC expects market 

participants to cease entering into new contracts that use USD LIBOR as a reference rate by 

December 2021. 

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

Amendments comply with the Act, including the regulations under the Act. There were no substantive 

opposing views to the proposal. 

1 https://www.cftc.gov/PressRoom/PressReleases/8409-21
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

NEX SEF certifies that this submission has been concurrently posted at http://www.cmegroup.com/marketregulation/rule-filings.html. 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,

 /s/Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachment: Appendix A: NEX SEF Rulebook - Rules 802(2), 802(3), and 802(4) (blackline format)
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Appendix A

NEX SEF Rulebook

(additions underscored; deletions struck through)

****

Rule 802(2) — Basis Swaps

A Basis Swap is an Interest Rate Swap for which settlement is in the form of periodic floating interest

payments and periodic floating interest payments based on interest rate benchmarks over a term to maturity. The

interest rate payments are exchanged for a specified period based on a notional amount.

Currencies

USD

EUR

Specifications

Trading Conventions

o Buyer (Payer) pays floating interest rate plus/minus a spread and receives floating interest

rate.

o Seller (Receiver) receives floating interest rate plus/minus a spread and pays floating interestrate.

Swap Leg Conventions

o The terms of Basis Swaps are based on a number of combinations of the criteria below.

▪ Floating Leg 1

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Money Market Basis (actual/360), actual/365,

actual/actual, actual/366, 360/360, 30/360, 30E/360 or

AFI/365

• Holiday Calendar

o Applied in accordance for the country currency denoted for

the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days on both the calendars. If not, it will be the next day that 

is a business day on both calendars.

• Floating Rate

o The floating interest rate yield or basis points on Trade

Date

▪ Floating Leg 2

• Reset Frequency

o Monthly, Quarterly, Semi-Annual or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar.

o Applied in accordance for the currency denoted for the

instrument

• Business Day Convention

o Modified Following with adjustment to period end dates
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▪ Business days in this convention must be valid

business days on both calendars

▪ If not, it will be the next day that is a business

day on calendars.

• Floating Rate

o The floating interest rate yield or basis points on Trade

Date

Effective Date

▪ Interest Rate Benchmark

• LIBOR, EURIBOR, SOFR, FED FUNDS. The Interest Rate 

Benchmarks are applied as the observed rate for the payment 

frequency of the transaction. In the case where the observed 

rates are shorter than the payment frequency, such as SOFR, 

FED FUNDDS either a weighted average of the observed daily 

rates over the Tenor is used in determining the Floating Rate 

Payment, or a compounding of the rates to make the floating rate 

payment. This is shown by the difference in SOFR as either a 

weighted average over the Tenor (“SOFR-Weighted Average”) or 

as compounded over the Tenor (“SOFR-Compound). EURIBOR, 

SOFR, FED FUNDS, SOFR. The Interest RateBenchmarks are

applied as a weighted average of the observed daily rates over the

Tenor in determining the Floating Rates, withthe exception of SOFR,

where the parties may determine to apply SOFR as either a 

weighted average over the Tenor (“SOFR-Weighted Average”) or as

compounded over the Tenor (“SOFR-Compound”).

o The first date from which floating interest amounts accrue. It is also referred to as the StartDate 

or the Value Date. The Effective Date of the Swap must be a business day subject to the

appropriate Business Day Convention.

Trade Start Type

o Spot Starting

▪ A swap whose Effective Date is 2 business days from the Trade Date

(T+2).

o Forward Starting

▪ A swap whose Effective Date is anything after the Effective Date for a

Spot Starting swap.

Maturity Date

o The final date until which floating amounts accrue. The Maturity Date may also be referred toas

the Termination Date or End Date.

Tenor

o The duration of time from the Effective Date to the Maturity Date. The SEF will support

Tenors of any duration greater than 0 years to 50 years.

o Listed Tenors, also referred to as On-the-Run, are whole calendar year Spot Starting or

Same Day Starting Swaps with a Tenor of 1 through 50 years.

o Other Tenors means any whole year Tenors other than the Listed Tenors and any partialyear

Tenor.

Roll Day Convention

o The date used for determining all Floating Reset Dates (other than for Daily Overnight Rates(as 

defined below), which are daily rates). Roll Days define the beginning and end of Floating

interest accrual periods.

o For On-the-Run swaps, the Roll Day is the same date of the month as the Effective Date. For 

Off-the-Run swaps, it can be any date of the month, subject to the provisions of the Business Day 

Convention. Roll Day marks the start of a new interest accrual period and is the date on which a 

Reset Rate takes effect (other than for Daily Overnight Rates, which aredaily rates).
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Floating Reset Dates ▪ Note: Subject to good local days – as with all instruments, will never roll

forward to the following month.
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o Dates utilized to determine the Floating Rate amounts for each interest accrual period during the 

Tenor of the swap. Except in the case of a Stub Period or in the case of any Daily Overnight Rate

leg, the Reset Date is 2 business days (USD or EUR) prior to the Roll Day forthat interest accrual

period. In the case of any Daily Overnight Rate leg, the Reset Date is the day prior to the Roll Day

that ends the interest accrual period.

First Period Fixing Date

o For Spot Starting and Same Day Starting swaps, the Interest Rate for the first interest periodis 

fixed on the Trade Date, for both Floating Rates (other than with respect to Overnight Rates), for

which the Floating Rates are not ascertainable at such time.

o For Forward Starting swaps, the Floating Rate for the first interest period is fixed on the Trade

Date, and the Floating Rate for the first interest period is fixed 2 business days prior to the 

Effective Date (other than with respect to Daily Overnight Rates, for which the FloatingRates are

not ascertainable at such time).

Stub Period Rate

o For swaps with partial year Tenors, an interest period that is shorter than the standard underlying 

Floating index interest periods may occur between the Effective Date and the first or last Roll Date 

(knows as a Stub Period). In these cases, the Interest Rate for such Stub Period is determined 

using linear interpolation based on the two index rates that surround theStub Period this can be 

applied either at the start or end of that period: Front or Back. This is not applicable to Daily

Overnight Rates, which are daily rates.

Daily Overnight Rate Legs:

o Certain swap legs use daily overnight interest rates observed on business days during the interest

accrual period (“Daily Overnight Rates”). Those interest rates may compounded overthe interest 

accrual period (e.g., SOFR-Compound) or use a weighted average of the observed rates (e.g.,

FED FUNDS, SOFR-Weighted Average). As a result, the rate applicable to the relevant interest 

accrual period cannot be determined until the end of that period and certain conventions 

applicable to accruals where the rate is set in advance do notapply.

Trade Types

o The Platform may support the following trade types:

▪ Outrights

• An Outright swap is where one party is the payer of the Floating

Rate 1 plus/minus a spread and receiver of the Floating Rate 2and 

the other party is the receiver of the Floating Rate 1 plus/minus a

spread and payer of the Floating Rate 2.

▪ Switches

• Switches are the simultaneous purchase and sale of two

different Tenors of the yield curve (e.g. 2 year by 10 year).

▪ Butterflies

• Butterflies are the simultaneous purchase(s) and sale(s) of three

different tenors of the yield curve (e.g. 2 year by 5 year by 10 year).

Instrument minimum and incremental Size.

o Minimum notional size is dependent on currency and tenor

o Block Trades

Quoting Convention

▪ Minimum notional size as stated by the Commission and increments

dependent on currency and tenor.
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o Outrights are quoted in interest rate yield is dependent on currency.

o Spreads and Butterflies are quoted in interest rate yield differential in minimum 1/10th basispoint

increments.

▪ Spot Starting

• Close of business on Trade Date.

▪ Forward Starting

• Close of business three business days prior to the Effective Date

of the swap.

▪ Block Trades must occur outside the Order Book and in a quantity that

meets or exceeds Appropriate Minimum Block Sizes set by the

Commission.

Clearing

o Contracts are eligible to be cleared at LCH, Clearnet and CME. Please seeclearable

contract definitions at http://www.lchclearnet.com/ and

http://www.cmegroup.com/

Rule 802(3) — Forward Rate Agreement (FRA)

A Forward Rate Agreement is an Interest Rate Swap for which settlement is in the form of one fixed interest

payment and one floating interest payment based on an interest rate benchmark to be paid or received onan 

obligation beginning at a future start date. The interest rate payments are exchanged based on a notional

amount.

Currencies

USD DKK

EUR NOK

GBP PLN

CHF CZK

SEK HUF

Specifications

Trading Conventions

o Buyer (Payer) pays fixed interest rate and receives floating interest rate.

o Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg Conventions

o The terms of FRAs are based on a number of combinations of the criteria below.

▪ Fixed Leg

• Payment Frequency

o Once

• Day Count Convention

o Money Market Basis (actual/360), or actual/365, 30/360,

30E/360, AFI/360, 360/360

• Holiday Calendar

o Applied in accordance with the country relating to the

currency of the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days on both the holiday calendars of that country. If not, it

will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

▪ Floating Leg
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• Reset Frequency

o Once

• Day Count Convention

o Money Market Basis (actual/360), or actual/365, 30/360,

30E/360, AFI/360, 360/360

• Holiday Calendar

o Applied in accordance with the country relating to the

currency of the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days on both the calendars for each country. If not, it

Effective Date

will be the next day that is a business day on bothrespective

country holiday calendars.

• Interest Rate Benchmark

o LIBOR, SOFR, EURIBOR, PRIBOR, CIBOR2, BUBOR,

NIBOR,WIBOR, STIBOR

o The first date from which fixed and floating interest amounts accrue. It is also referred to asthe 

Start Date or the Value Date. The Effective Date of the Swap must be a business day subject to

the appropriate Business Day Convention.

Trade Start Type

o Spot Starting

▪ A swap whose Effective Date is 2 business days from the Trade Date

(T+2).

o Forward Starting

▪ A swap whose Effective Date is anything after the Effective Date for a

Spot Starting swap.

Maturity Date

o The final date until which Fixed and Floating amounts accrue. The Maturity Date may also beref

erred to as the Termination Date or End Date.

Tenor

o The duration of time from the Effective Date to the Maturity Date Tenors will be support forany

duration greater than 0 month to 12 months.

o Listed Tenors, also referred to as On-the-Run, means whole year Spot Starting or Same Day

Starting Instruments with a Tenor of an integer number of months.

o Other Tenors means any Tenors other than the Listed Tenors.
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Floating Reset Dates

o Dates utilized to determine the Floating Rate amount for the interest accrual period during the

Tenor of the Instrument. Except in the case of a Stub Period, the Reset Date is adjusted business

days dependent on the currency prior to the Roll Date for that interest accrual period.

First Period Fixing Date

o The Fixed Rate for the first interest period is fixed on the Trade Date, and the Floating Ratefor

the first interest period is fixed 2 business days prior to the Effective Date

Trade Types

o The Platform may support the following trade types:

▪ Outrights

• An Outright swap is where one party is the payer of the fixed rate

and receiver of the floating rate and the other party is the receiver of

the fixed rate and payer of the floating rate.

▪ Switches also known as Spreads

• These are the simultaneous purchase and sale of two different

Tenors of the yield curve (e.g.3x6 by 9x12).

Instrument minimum and incremental Size.

o Minimum notional size is dependent on currency and tenor

o Block Trades. Minimum notional size as stated by the Commission and increments

Dependent on currency and tenor

Quoting Convention

o Outrights are quoted in interest rate yield is dependent on currency.

o Spreads/Switches will be quoted in basis points dependent in multiples of the increments ofthe

underlying Outrights

Last Trading Day

o Spot Starting

▪ Close of business on Trade Date.

o Forward Starting

Clearing

▪ Close of business three business days prior to the Effective Date of the

swap.

o Contracts are eligible to be cleared at LCH. Clearnet and ASX. Contracts in certain

currencies, as indicated by the Facility, are eligible to be cleared at Eurex. Please see

clearable contract definitions at http://www.lchclearnet.com/,

http://www.asx.com.au/services/clearing/asx-clear-futures.htm and

https://www.eurexclearing.com/clearing-en/resources/rules-and-regulations.

o Eurex does not provide express or implied warranties or representations to swap counterparties

executing Swaps on the Facility’s platform relating to any of the services or facilities provided by 

the Facility, including but not limited to, the warranties of merchantabilityand fitness for a particular 

purpose or use. Eurex shall not have any liability or obligation to any swap counterparty using the

Facility’s platform.
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Rule 802(4) — Non Deliverable Swaps

An ND IRS trade has many trade terms. For example, notional amount, fixed interest rate, floating rate, reference

rate, holiday convention, etc. The deal is agreed on the basis that net settlement will be made inUSD, or another 

fully convertible currency, to reflect any differential between the agreed fixed rate and theactual floating rate on 

the settlement dates. ND IRS are quoted as Offer/Bid. For ND IRS the fixed leg isquoted, hence it is Fixed

Income Swap.

ND IRS

o An agreement between two parties (known as counterparties) where one stream of future interest

payments is exchanged for another based on a specified principal amount. Interest rate swaps

often exchange a fixed payment for a floating payment that is linked to an interest rate (most often

the LIBOR, SOFR). The interest rate cash flows are net settled in a major currency on fixing date.

A company will typically use interest rate swaps to limit or manage exposure to fluctuations in 

interest rates, or to obtain a marginally lower interest rate than it would havebeen able to get

without the swap.

o Interest rate swaps are simply the exchange of one set of cash flows (based on interest rate

specifications) for another. Because they trade OTC, they are really just contracts set up

between two or more parties, and thus can be customized in any number of ways.

Currencies

MYR CNY

KRW THB

Specifications

Trading Conventions

o Buyer (Payer) pays fixed interest rate and receives floating interest rate.

o Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg Conventions

o The terms of Non Deliverable Swaps are based on a number of combinations of the criteria

below.

▪ Fixed Leg

• Payment Frequency

o Weekly, Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denotedfor

the instrument

• Business Day Convention

o Modified following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it will 

be the next day that is a business day on both calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

▪ Floating Leg

• Reset Frequency

o Weekly, Monthly or Quarterly
11

Effective Date

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,Actual 

Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denotedfor

the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it will 

be the next day that is a business day on both calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

• Interest Rate Benchmark

o KLIBOR

o SOFR

o CNREPOFIX

o KRW-CD-KSDA-Bloomberg

o THBFIX

o CNY-Fixing Repo Rate

o KRW-CD 91D

o The first date from which fixed and floating interest amounts accrue. It is also referred to as

the Start Date or the Value Date. The Effective Date of the Swap must be a business day

subject to the appropriate Business Day Convention.

Trade Start Type

o Spot Starting.

▪ A swap whose Effective Date is 2 business days from the Trade 

Date(T+2).

o Forward Starting

▪ A swap whose Effective Date is anything after the Effective Date for 

aSpot Starting swap.

Maturity Date

o The final date until which Fixed and Floating amounts accrue

Tenor

o The duration of time from the Effective Date to the Maturity Date. Tenors of any duration,

greater than 0 months to 3 months.

Roll Day Convention

o The date used for determining all fixed and floating Reset Dates. Roll Days define

thebeginning and end of Fixed and Floating interest accrual periods.

▪ For On-the-Run Contracts, the Roll Day is the same date of the month 

asthe Effective Date.

▪ For Off-the-Run Contracts, it can be any date of the month, subject to the

provisions of the Business Day Convention

o Roll Day marks the start of a new interest accrual period, and is the date on which a

ResetRate takes effect.

Trade Types

o The Platform may support the following trade types:

▪ Outrights

• An Outright swap is where one party is the payer of the fixed 

rateand receiver of the floating rate and the other party is the
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receiver of the fixed fate and payer of the floating rate.

Clearing

o Non Deliverable Swaps traded on NEX SEF are generally not cleared; however, Contracts 

forKRW and THB are clearable at the election of the counterparties on the Effective Date.