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

 New York, NY 10022 bloombergsef.com

November 09, 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. Amendments to the BSEF LLC Rulebook 

BSEF Submission No. 2023-R-16 

Ladies and Gentlemen:

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

“Commission”) the: (i) addition of Rules 1223,1224; (ii) amending Rules 532(d), 1315; and (iii) delisting 

Rule 1367 (collectively, “Rule Amendments”). The Rule Amendments are effective on November 27, 

2023. A concise explanation of the Rule Amendments is in the below table.

Title Rulebook 

Chapter

Amendment Explanation

BSEF Rulebook Rule 532(d) Amended to clarify how BSEF will report Block 

Trades to SDR

CDS Index Product Rule 1223 Adding Rule 1223 CDS Index Product - CDX 

Emerging Markets IG Index

CDS Index Contract Rule 1224 Adding Rule 1224 CDS Index Contract - CDX 

Emerging Markets HY Index

USD Basis Swap Contract Rule 1315 Modifying USD Basis Swap Contract to remove 

reference to BSBY

USD BSBY Fixed-to-Floating 

Swap Contract

Rule 1367 Delisting USD BSBY Fixed-to-Floating Swap 

Contract

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 of the Contract in Rule 

1367, the amendment of terms in Rule 532(d), Rules 1223, 1224, and 1315 may have some bearing 

on the following Core Principles: 

• 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 1315 are not

readily susceptible to manipulation.

• Emergency Authority (Core Principle 6): 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 (Core Principle 7): 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), BSEF hereby certifies that the Rule 

Amendments and delisting comply with the Act, including all regulations thereunder. There were no 

substantive opposing views to the proposal.

Bloomberg SEF 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.

Enclosure 

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

 New York, NY 10022 bloombergsef.com

cc: Brian Robinson, Special Counsel 

 Division of Market Oversight

 U.S. Commodity Futures Trading Commission
	
	

		 			
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108

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America

with an investment grade rating.

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as

the start date of the swap.

Index Factor

CDX Emerging Markets Investment Grade; all series

Maturity Date/Expiration Date

Current factor

The final date on which the obligations no longer accrue, and the final payment occurs.

RULE 1223. [Reserved]CDS Index Contract – CDX Emerging Markets Investment Grade

Delivery Type Cash

Currency

Settlement

USD

Contingent payment – Payments related to credit event settlement will be determined pursuant to the

2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.

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.

Index Type

Settlement Date Same as Expiration Date

Quoting Convention

Corporate; Untranched

Settlement Currency

Price

USD

Ticker

“Made Available to Trade”

Determination

None

Minimum Increment

Mandatory Clearing Determination

Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

None

Index Version

Trading Hours

CDX EM IG CDSI [series number] [tenor]

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

Minimum Size

Current version

Settlement Procedure

Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Bilateral

Contract Overview

Clearing House Bilateral

Trading Conventions

Block Size

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.

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set forth in CFTC Regulation 15.03

Index
109

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America

with credit ratings below “BBB-” or “Baa3” that trade in the CDS market.

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as

the start date of the swap.

Index Factor

CDX Emerging Markets High Yield; all series

Maturity Date/Expiration Date

Current factor

The final date on which the obligations no longer accrue and the final payment occurs.

RULE 1224. [Reserved] CDS Index Contract – CDX Emerging Markets High Yield

Delivery Type Cash

Currency

Settlement

USD

Contingent payment – Payments related to credit event settlement will be determined pursuant to the

2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.

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.

Index Type

Settlement Date Same as Expiration Date

Quoting Convention

Corporate; Untranched

Settlement Currency

Price

USD

Ticker

“Made Available to Trade”

Determination

None

Minimum Increment

Mandatory Clearing Determination

Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

None

Index Version

Trading Hours

CDX EM HY CDSI [series number] [tenor]

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

Minimum Size

Current version

Settlement Procedure

Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Bilateral

Contract Overview

Clearing House Bilateral

Trading Conventions

Block Size

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.

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set forth in CFTC Regulation 15.03

Index
126

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to

50 years.

Ticker

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

(i.e., the start date of the swap).

Quoting

Convention and

Minimum

Increment

USD SWAP [floating rate 1] V [floating rate 2] [tenor]

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

Periodic

Settlement:

Payment and

Resets

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index, and Floating Reset Dates.

Floating Leg 2: The payment amount of the Floating Leg 2 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.

Minimum Size

First Fixing Date

As agreed by the counterparties

If BSBY is one of the index leg tenors, the First Fixing Date is two U.S. Government Securities business days prior

to the Effective Date of the swap.

If Fed Funds or SOFR is one of the index leg tenors, the

 The first Fixing Date will equal the effective date of the swap.

Currency

Trade Start Types

An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over

a term to maturity.

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Trading

Conventions

USD

Settlement

Procedure

Buy = Pay Spread

Sell = Receive Spread

As determined by the Clearing House

RULE 1315. USD Basis Swap Contract

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

Swap Conventions

Clearing House

BSBY Floating Leg

Payment/Resets: Monthly, Quarterly

Day Count Conventions: ACT/360, or as agreed by the counterparties

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: USGS

Business Day Conventions: Modified Following

SOFR Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity

Day Count Conventions: ACT/360, or as agreed by the counterparties

Holiday Calendar: England, US, or as agreed by the counterparties

Fixing Calendar: USGS

Business Day Conventions: Modified Following

Fed Funds Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity

Day Count Conventions: ACT/360, or as agreed by the counterparties

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: US

Business Day Conventions: Modified Following

 SOFR v Fed Funds: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing

Aktiengesellschaft or Bilateral

 SOFR v BSBY: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

 Tenor BSBY Basis: LCH.Clearnet Ltd. or Bilateral



Floating Rate

Index

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

Swap Tenor

1 Month USD-BSBY

3 Month USD-BSBY

SOFR

Fed Funds
165

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

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

payments (i.e., the start date of the swap).

Currency

Maturity Date

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.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

USD

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

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.

RULE 1367. USD BSBY Fixed-to-Floating Swap Contract[Reserved]

First Fixing Date The first BSBY Fixing Date is two U.S. Government Securities business days prior to the Effective Date

of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

BSBY

Trading Hours

As agreed by the counterparties

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

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

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

Floating Rate Index Maturity

Speculative Limits

USD SWAP vs [BSBY 1M]; USD SWAP vs [BSBY 3M]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1M, 3M

Reportable Levels

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: 30/360, ACT/360, ACT/365

o Holiday Calendar: New York

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly

o Day Count Conventions: ACT/360

o Holiday Calendar: New York

o Fixing Calendar: U.S. Government Securities

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview