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

New York, NY 10022 bloombergsef.com

September 8, 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) Product Delisting (No Open Interest)

BSEF Submission No. 2023-R-14 

Ladies and Gentlemen:

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

Commission (“CFTC” or “Commission”) the delisting of four credit default swap (“CDS”)

contracts as set forth in the table below, effective on September 8, 2023. The underlying 

indexes, LCDX and MCDX, are no longer supported by the index publisher. There is no open 

interest on BSEF in the Contracts.1

Contract Title Rulebook Chapter

CDS Index Contract – LCDX Rule 1223

CDS Index Contract – MCDX Rule 1224

Option – CDS Index Contract – LCDX Rule 1226

Option – CDS Index Contract – MCDX Rule 1227

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 identified that the delisting may 

have some bearing on the following Core Principles: 

1 As of August 31, 2023, LCDX no longer has securities with maturities outstanding. MCDX still does have maturities 

outstanding. Neither LCDX nor MCDX have been traded on BSEF since January 1, 2018. 
Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000

New York, NY 10022 bloombergsef.com

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

determination under CFTC Rule 37.12. Therefore, there will be no market disruption

related to their delisting.

• 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. 

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

New York, NY 10022 bloombergsef.com

Exhibit A
RULE 1223. [Reserved] CDS Index Contract – LCDX

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 100 reference entities, referencing first 

lien leveraged loans CDS.

Ticker LCDX [series number] [tenor]

Index LCDX: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on price

Fixed coupon payments are calculated at a spread of 250 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed 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.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 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 the CFTC Regulation 15.03
RULE 1224. [Reserved] CDS Index Contract – MCDX

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 50 CDS contracts referencing municipal 

issuers as the Reference Entity.

Ticker MCDX [series number] [tenor] 

Index MCDX: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed 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.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 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 the CFTC Regulation 15.03
RULE 1226. [Reserved]Option – CDS Index Contract – LCDX

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 LCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – LCDX

Index of 

Underlying Swap

LCDX: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying 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 SA. 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
RULE 1227. [Reserved] Option – CDS Index Contract – MCDX

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 MCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – MCDX

Index of 

Underlying Swap

MCDX: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying 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 SA. 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