December 31, 2017

Via CFTC Portal

Christopher J. Kirkpatrick

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

RE: trueEX LLC Amendment of Product Terms and Conditions (trueEX LLC 

submission #2017-12S)

Dear Mr. Kirkpatrick: 

Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended (the “Act”), and 

Commission Regulation 40.6(a), trueEX LLC (“trueEX” or the “Exchange”) hereby submits 

to the U.S. Commodity Futures Trading Commission (the “Commission”) certain 

amendments to terms and conditions of Overnight Index Swaps (“OIS”) offered for trading 

on trueEX. 

Summary of Amendments

trueEX Rule Nature of Amendment

Rule 1003 and Schedule 1003 CFTC Regulation 40.6(a)

Removing the float index for CHF 

denominated OIS and replacing it with the 

following:

o Deleting CHF-TOIS-OISCOMPOUND as the overnight index 

rate for CHF OIS

o Adding CHF-SARON-OISCOMPOUND as the overnight index 

rate for CHF OIS
Exhibit 1 contains redlined amendment to trueEX Rule 1003. Exhibit 2contains a relined 

amendment to Schedule 1003 of trueEX’s PTC Product Schedule (Schedule 1003; column 

B).

trueEX certifies that these amendments comply with the Act and the Commission’s 

regulations thereunder. trueEX’s analysis of the operation, purpose and effect of the proposed 

rule change and its compliance with the Act, core principles and Commission’s regulations 

thereunder is included in the chart above. There were no substantive opposing views 

expressed by the trueEX governing board or market participants to the rule amendments.

trueEX certifies that this certification has been concurrently posted on the Exchange’s Web 

Site at http://www.trueex.com/rules-and-notices. These amendments will be effective on 

January 16, 2018.

If you have questions regarding this notice, please contact me at (312) 320-8934 or by 

email at fran@trueex.com.

Sincerely,

Fran Kenck

Chief Compliance Officer
1

EXHIBIT 1

RULE 1003. Overnight Index Swap (“OIS”) Contracts

. . . . 

(d) Swap Leg Conventions. The terms of Fixed vs. Overnight Index Swaps are based on a 

number of combinations of the criteria below. Approved contracts available for trading on the Exchange are 

itemized in Schedule 1003.

(i) Fixed Leg

(A) Payment Frequency. Monthly, Quarterly, Semi-Annually, Annually or a 

One Time Bullet payment

(B) Day Count Convention. 

• Bond Basis (30/360)

• Money Market Basis (ACT/360)

• ACT/365.FIXED

• ACT/ACT.ISDA

• 30E/360

• 30E/360.ISDA

• ACT/ACT.ICMA

(C) Holiday Calendar. 

• USD – New York (USNY)

• EUR – Target (EUTA)

• JPY – Tokyo (JPTO)

• GBP – London (GBLO)

• AUD – Sydney (AUSY)

• CAD – Toronto (CATO).

• CHF – Zurich (CHZU)

• COP – Bogota (COBO) and USNY

• INR – Mumbai (INMU) and USNY

(D) Business Day Convention. Modified Following with adjustment to period 

end dates. Business days in this convention must be valid business days in respect to 

Holiday Calendar associated to each Currency. If not, it will be the next day that is a 

business day and if the adjusted end dates falls at the end of the month the day rolls to the 

preceding day.

(E) Fixed Rate. The traded interest rate yield or basis points on Trade Date

(ii) Floating Leg

(A) Reset Frequency. Daily

(B) Day Count Convention. 

• Bond Basis (30/360)

• Money Market Basis (ACT/360)
• ACT/365.FIXED

• ACT/ACT.ISDA

• 30E/360

• 30E/360.ISDA

• ACT/ACT.ICMA

(C) Holiday Calendar. 

• USD – New York (USNY)

• EUR – Target (EUTA)

• JPY – Tokyo (JPTO)

• GBP – London (GBLO)

• AUD – Sydney (AUSY)

• CAD – Toronto (CATO)

• CHF – Zurich (CHZU)

• COP – Bogota (COBO) and USNY

• INR – Mumbai (INMU) and USNY

(D) Business Day Convention. Modified Following with adjustment to period 

end dates. Business days in this convention must be valid business days in respect to 

Holiday Calendar associated with each Overnight Interest Rate for the fixing date and the 

Holiday Center calendar associated with the Currency for payment date. If not, it will be 

the next day that is a business day. If the adjusted end dates fall at the end of the month, the 

day rolls to the preceding day.

(E) Overnight Interest Rate. 

• USD-Federal Funds-H.15-OIS-COMPOUND

• EUR-EONIA-OIS-COMPOUND

• JPY-TONA-OIS-COMPOUND

• GBP-WMBA-SONIA-COMPOUND

• AUD – AONIA – OIS - COMPOUND

• CAD-CORRA-OIS-COMPOUND 

• CHF-TOIS-OIS-COMPOUND

• CHF-SARON-OIS-COMPOUND

• COP-IBR-OIS-COMPOUND

• INR-FBIL-MIBOR-OIS-COMPOUND

. . . .
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

AUD AUD-AONIA-OISCOMPOUND OIS 0 0 Standard, 

None AUSY AUSY n/a n/a n/a n/a n/a n/a

CAD CAD-CORRA-OISCOMPOUND OIS 1 0 Standard, 

None CATO CATO n/a n/a n/a n/a n/a n/a

CHF

CHF-TOIS-OISCOMPOUND 

CHF-SARON-OISCOMPOUND

OIS 2 0 Standard, 

None CHZU CHZU n/a n/a n/a n/a n/a n/a

COP COP-IBR-OISCOMPOUND OIS 2 0 Standard, 

None COBO COBO, USNY n/a n/a n/a n/a n/a n/a

EUR EUR-EONIA-OISCOMPOUND OIS 2 0 Standard, 

None EUTA EUTA n/a 30 1M, 3M, 6M, 12M, 1T 1D 1M, 3M, 6M, 12M, 1T

1M, 3M, 6M, 

12M, 1T

GBP

GBP-WMBASONIACOMPOUND 

OIS 0 0 Standard, 

None GBLO GBLO n/a 30 1M, 3M, 6M, 

12M, 1T 1D 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

Schedule 1003

IRS Overnight Index Swaps ("OIS") eligible for Portfolio 

Terminations and Compactions ("PTC") on The SEF Trading 

System. Holiday Business Day Convention

CME

EXHIBIT 2
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Schedule 1003 

IRS Overnight Index Swaps ("OIS") eligible for Portfolio 

Terminations and Compactions ("PTC") on The SEF Trading 

System. Holiday Business Day Convention

CME

INR INR-FBIL-MIBOROIS-COMPOUND OIS 1 0

Standard, 

None, IMM, 

EOM

INMU INMU, USNY n/a n/a n/a n/a n/a n/a

JPY JPY-TONA-OISCOMPOUND OIS 2 0 Standard, 

None JPTO JPTO n/a 30 1M, 3M, 6M, 12M, 1T 1D 1M, 3M, 6M, 12M, 1T

1M, 3M, 6M, 

12M, 1T

USD

USD-Federal 

Funds-H.15-OISCOMPOUNDOIS 2 0 Standard, 

None USNY USNY n/a 30 1M, 3M, 6M, 

12M, 1T 1D 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

n/a n/a n/a 5.5 12M or 1T 1D 12M or 1T 12M or 1T 1D ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

n/a n/a n/a

n/a n/a n/a 2 6m, 12M or 

1T 1D 6m, 12M or 1T 12M or 1T 1D ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

n/a n/a n/a

n/a n/a n/a 2 12M or 1T 1D 12M or 1T 12M or 1T 1D ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

n/a n/a n/a

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 2 1M, 3M, 6M, 

12M 1T 1D

1D

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30 12M or 1T 1D 12M or 1T 12M or 1T 1D ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

n/a n/a n/a

1D

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30 12M or 1T 1D 12M or 1T 12M or 1T 1D ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

n/a n/a n/a

LCH
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

LCH

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T 1D

1D

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30 12M or 1T 1D 12M or 1T 12M or 1T 1D ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

n/a n/a n/a

1D

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30 12M or 1T 1D 12M or 1T 12M or 1T 1D ACT/360

30/360

30E/360

ACT/360

ACT/365.FIXED

30E/360.ISDA

n/a n/a n/a
Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

n/a n/a n/a n/a n/a n/a n/a n/a n/a

n/a n/a n/a n/a n/a n/a n/a n/a n/a

n/a n/a n/a n/a n/a n/a n/a n/a n/a

1M, 3M, 6M, 

12M 1T

1M, 3M, 6M, 

12M, 1T 1D

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

30/360

30E/360

ACT/360

ACT/365.Fixed

30E/360.ISDA 

n/a n/a n/a n/a

n/a n/a n/a n/a n/a n/a n/a n/a n/a

n/a n/a n/a n/a n/a n/a n/a n/a n/a

UNCLEARED
Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T 1D ACT/365.FIXED

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA 

n/a n/a n/a n/a

n/a n/a n/a n/a n/a n/a n/a n/a n/a

n/a n/a n/a n/a n/a n/a n/a n/a n/a