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

New York, NY 10022 bloombergsef.com

August 23, 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-1212

Ladies and Gentlemen: 

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

(“CFTC” or “Commission”) the amending of Rule 1331. The Rule Amendment is effective on 

September 7, 2023. A concise explanation of the Rule Amendment is in the below table. 

Exhibit A provides amendments to the applicable BSEF Rulebook Chapter 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 1331 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 Rule

1331 are not readily susceptible to manipulation.

Contract Rulebook 

Chapter

Amendment Explanation

Rule 1331 Amending the contract to reflect the extension of "Swap 

Tenor" range.

AUD OIS RBACOR Fixed-toFloating Swap Contract
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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 

cc: Brian Robinson, Division of Market Oversight, U.S. Commodity Futures Trading

Commission
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Exhibit A
A-1

RULE 1331. AUD OIS RBACOR 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 AUD OIS SWAP [Trade Start Type] [Tenor]

Currency AUD

Floating Rate 

Index

RBACOR (Interbank Overnight Cash Rate)

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual

• Day Count Conventions: ACT/365 

• Holiday Calendar: Australia

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

Floating Leg 

• Payment/Resets : Annual

• Day Count Conventions: ACT/365

• Holiday Calendar: Australia

• Fixing Calendar: Australia

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 24 months

30 years.

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

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. 

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

Trade Start Types Spot: 

• A new swap where the Effective Date is T+1 from the trade date.

Non Spot

• Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue

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

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. 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 CFTC Regulation 15.03