SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

 

 

 

 

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: ____________________________________________________________________ 

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

 Official Product Name: _____________________________________________________________ 

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(b)

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: ______________________________________________________________________ 

 

New Product

✔

Fixed-for-Floating IRS - EUR EURIBOR

Registered Entity Identifier Code (optional): ___________________________

Organization: _

R_T__X F_in__te_ch___& Re___sea___rch___LLC__________________________________________________

Filing as a: DCM ✔ SEF DCO SDR Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 08/27/23___________ Filing Description:
RTX Fintech & Research LLC

90 Broad Street, Suite 402

New York, NY 10004

August 27, 2023

By Upload to CFTC Portal

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

Re: Class Certification of Interest Rate Swaps Under 17 CFR 40.2(d)

Dear Secretary Kirkpatrick:

On August 24, 2023, RTX Fintech & Research LLC (“RTX SEF”) submitted its class certification 

of interest rate products (“IRS Products”) that it intended to list, in accordance with 17 CFR 40.2(d), 

on August 28, 2023. The IRS Products only included cleared products at LCH Ltd. or CME Inc. for 

USD, EUR, GBP, and JPY fixed/floating IRS or basis swaps. At the request of CFTC Staff, RTX 

SEF has withdrawn the submission to break out the single filing into separate submissions, which 

include:

• Fixed-for-Floating IRS—USD SOFR

• Fixed-for-Floating IRS—EUR EURIBOR

• Fixed-for-Floating IRS—EUR EuroSTR

• Fixed-for-Floating IRS—GBP SONIA

• Fixed-for-Floating IRS—JPY TONA

• Basis Swap—USD SOFR vs. Fed Funds

• Basis Swap—EUR EURIBOR vs. EuroSTR

This submission covers the following product: Fixed-for-Floating IRS—EUR EURIBOR (the

“Product”).

RTX SEF hereby notifies the Commodity Futures Trading Commission (“CFTC”) that it intends to 

list the product identified above in accordance with 17 CFR 40.2(d). RTX SEF intends to list the 

Product on Tuesday, August 29, 2023.

In accordance with 17 CFR 40.2, this submission includes the following:

• the certifications required under 17 CFR 40.2(d);

• a copy of the submission cover sheet required under 17 CFR 40.2(a)(3)(i); and

• the certifications required under 17 CFR 40.2(a)(iv) and 17 CFR 40.2(a)(vi).
In addition, in accordance with 17 CFR 40.2(a)(1), RTX SEF is filing this submission electronically 

in the format and manner specified by the Secretary of the Commission with the Secretary of the 

Commission. As required under 17 CFR 40.2(a)(2), the CFTC has received the submission (in its 

original form) by the open of business on the business day preceding the Product’s listing on August 

29, 2023.

The attachments to this letter, which include additional items than those referenced above, are listed 

below.

List of Attachments

Atachment Descripton

Atachment A Certfcatons

Atachment B Terms and Conditons of Product

Please direct questions about this submission to Glenn Chaleff, RTX SEF’s CCO, at (917) 694-4856 

or glenn@rtxfintech.com.

Sincerely,

Glenn Chaleff, 

Chief Compliance Officer, RTX SEF
Atachment A

Certifications Required Under 17 CFR 40.2(d), 17 CFR 40.2(a)(iv), and 17 CFR 40.2(a)(vi)

RTX Fintech & Research LLC (“RTX SEF”) hereby certifies the following:

17 CFR 40.2(d)

• that each particular swap within the certified class of swaps is based upon an excluded 

commodity specified in 17 CFR 40.2(d)(1);

• that each particular swap within the certified class of swaps is based upon an excluded 

commodity with an identical pricing source, formula, procedure, and methodology for 

calculating reference prices and payment obligations;

• that the pricing source, formula, procedure, and methodology for calculating reference prices 

and payment obligations in each particular swap within the certified class of swaps is 

identical to a pricing source, formula, procedure, and methodology for calculating reference 

prices and payment obligations in a product previously submitted to the CFTC and certified 

or approved pursuant to 17 CFR 40.2 or 17 CFR 40.3; 

• that each particular swap within the certified class of swaps is based upon an excluded 

commodity involving an identical currency or identical currencies;

17 CFR 40.2(a)(iv)

• that the products to be listed comply with the Commodity Exchange Act and CFTC 

regulations thereunder; and

17 CFR 40.2(a)(vi)

• that, concurrent with this submission, RTX SEF posted on its website (1) a notice of 

pending certification of the products with the CFTC and (2) a copy of this submission.

RTX Fintech & Research LLC

Glenn Chaleff

Chief Compliance Officer

August 27, 2023
Atachment B

Product Terms and Conditions
" FIXED-FOR-FLOATING IRS—EUR EURIBOR

2 Fixed-for-Floating IRS—EUR EURIBOR

2.1 Discussion: Contracts Not Readily Susceptible to Manipulation

The interest rate swap (IRS) market is considered the largest derivative market in the world,

with an estimated &#" trillion in notional principal outstanding as of June "*"" according to

the Bank for International Settlements.

'

IRS are cash-settled, so there is no deliverable supply to be manipulated. IRS are widely used

by corporations, insurance companies, banks, and governments to transfer and manage interest

rate risk. Interest-rate-linked financial instruments (e.g., bonds, loans, government interestbearing instruments, and interest-rate-sensitive instruments) are not easily susceptible to manipulation because of the size and liquidity of the cash market for such instruments. Furthermore, IRS-associated interest rate futures contracts, loans, cleared swaps, and cash and futures

markets for government debt securities offer a deep liquidity pool to hedge and risk-manage

swaps based on such rates indexes.

RTX SEF will monitor trading in these swaps. RTX SEF has a comprehensive surveillance

program and rules to prevent RTX SEF Participants from engaging in manipulative activity

and possesses discretion to impose fines and disciplinary sanctions on its Participants.

2.1.1 Discussion of Index Reference Prices: EURIBOR

RTX SEF limits the indexes underlying its interest rate swap offerings to well-established,

publicly available third-party interest rate market benchmarks. Some are published by central

banks (such as the United States Federal Reserve Secured Overnight Financing Rate (SOFR)

rate), while others are calculated and published by reliable independent providers (such as trade

associations, exchanges, or other third parties). The interest rate reference prices underlying

swaps on RTX SEF are the timeliest, most widely recognized, and reliable benchmarks for interest rates in their respective markets. The index levels are readily available and commercially

acceptable as benchmarks for borrowers, lenders, investors, portfolio managers, governments,

and public policy makers.

The Euro Interbank Offered Rate (EURIBOR) provides an indication of the average rate at

which Eurozone banks offer to lend unsecured funding to other banks in the Euro wholesale

money market for a given period of time. The European Money Market Institute (EMMI) has

been granted authorization by the Belgian Financial Services and Markets Authority (FSMA)

for the provision and administration of EURIBOR in compliance with the EU Benchmark

Regulation. A representative sample of panel banks that are active participants in the Euro

money markets provide daily quotes for five defined tenors (one week, one month, three

'https://www.bis.org/publ/otc_hy!!"".pdf

'
" FIXED-FOR-FLOATING IRS—EUR EURIBOR

months, six months, and twelve months) at which interbank term deposits, denominated in

Euro, are being offered within the euro zone between prime banks. The EMMI EURIBOR

Steering Committee defines and reviews the size and composition of the panel and monitors

ongoing compliance with and adequacy of both the panel criteria and the EURIBOR Governance Framework, including the EURIBOR Benchmark Determination Methodology. Panel

banks submit their contribution data each day, rounded to two decimal places. The highest and

lowest !%% of the final contribution rates of all panel banks are eliminated for each tenor. The

remaining rates are then arithmetically averaged and rounded to three decimal places. The

published EURIBOR rates follow euro money market convention for spot settlement (T+")

and an actual/#&* day-count convention.

The EURIBOR rate has been published since December #*, !))(. The EURIBOR is widely

accepted as a reliable interbank rate for the Euro money market and is widely distributed by

Thomson Reuters. Additional information regarding the selection of panel banks, the calculation of EURIBOR rates, systemic safeguards in place to ensure the reliability of the published

rates, and the governance framework may be accessed on EMMI’s website.

(

RTX SEF believes that the large number of participants in each market and the calculation

of each index by well-known, independent third parties further limits the susceptibility of

manipulation of these indexes. RTX SEF believes that such benchmark indexes (many of which

also underlie liquid interest rate futures contracts on major Designated Contract Markets) are

not readily susceptible to manipulation due to the large number of index participants, ubiquity,

and broad-market nature.

2.2 MAT Contracts: Swaps Subject to the Trade Execution Requirement

For interest rate swaps that are Made Available Trade (MAT)—that is, subject to the Trade

Execution Requirement under CEA section "(h)(()—see the industry filings posted on the

CFTC’s website.

)

(https://www.emmi-benchmarks.eu/euribor-org/about-euribor.html

)https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm

(
" FIXED-FOR-FLOATING IRS—EUR EURIBOR

2.3 Product Description

Participants can trade the product below as of August "), "*"#.

P!"#$%& C$!!'(%) I(#'* A$&+"!,-'# DCO

IRS, Fixed/Floating EUR EURIBOR LCH Ltd./CME Inc.

An IRS is where two parties agree to exchange interest rate cash flows, based on a specified

notional amount from a fixed rate to a floating rate (or vice versa) or from one floating rate

to another for a predetermined term. In a Fixed-for-Floating IRS, one party pays a fixed

rate for the term of the IRS at specific intervals, such as monthly, quarterly, semiannually, or

annually. The other party will make floating rate payments indexed to reference rates, such as

EURIBOR. Generally fixed and floating rate payments are compounded and paid net on the

longer coupon date.

Note that fixed rate payments can be made on several different day count conventions (e.g.,

money market = no. of days/#&%; bond basis = #*/#&* fixed; adjusted bond basis = actual no. of

days/#&% or #&&).

2.4 Clearing Required

The listed specifications for this product represent the customary attributes of the swap agreements. Because RTX SEF only permits trading in cleared products, all attributes must conform

to the specifications of the authorized DCOs.

)
" FIXED-FOR-FLOATING IRS—EUR EURIBOR

2.5 General Definitions

Unless stated otherwise in the product specifications or terms and conditions, below are the

general definitions for products listed on RTX SEF.

I!"# D"$%&'(!')*

Swap Transaction Any transaction that is a rate swap, basis swap, or similar transaction

(and any combination thereof ).

Fixed-Rate Payer A party obligated to make payments calculated by reference to a fixed

rate.

Floating-Rate Payer A party obligated to make payments calculated by reference to a floating rate.

Floating-Rate Index Depends on currency and as agreed by Participants.

Quoting Convention/Min. Increment Depends on Currency, Index, and Tenor for Electronic Order Book

or as agreed by Participants for Voice Order Book.

Min. Size Depends on Currency, Index, and Tenor for Electronic Order Book

or as agreed by Participants for Voice Order Book.

Confirmation Documents or other confirming evidence exchanged between the

counterparties that confirm all the terms of the Swap Transaction.

Business Day A day on which banks settle payments.

Day-Count Convention The convention used for adjusting any relevant date that would otherwise fall on a non-Business Day. Day count will be specific to the

individual product specification.

Holiday Calendar Applied in accordance with the country currency denoted for the instrument.

Term (Tenor) The total period of the Swap Transaction, starting on the Effective

Date and ending on the Termination Date.

Notional Types Bullet = notional remains constant over term of swap; amortizing = notional declines over term of swap; accreting = notional increases over

term of swap.

Effective (Start) Date The first date of the Term of the Swap Transaction, Spot or Forward

starting, subject to the agreed Day-Count Convention.

Termination Date The last day of the Term of the Swap Transaction.

Maturity Date Start Date + Term (Tenor).

First Fixing Date The first Index Fixing Date is zero, one, or two business days (depends

on that Currency’s market standard and according to agreed Holiday

calendars) prior to the Start Date of the Swap.

!*
" FIXED-FOR-FLOATING IRS—EUR EURIBOR

I!"# D"$%&'(!')*

Trade Types The following swap types may be executed: Outright (Spot and Forward starting),

Curve (tenor) Spreads, Butterflies, Spreads between different floating Indices, Spreads

to Futures, Spreads to Treasuries, and combinations thereof.

Trade Start Types Spot = a swap where the Effective Date is T+# (e.g., GBP), T+! (e.g., USD, EUR,

JPY) from the trade date, depending on Currency and floating Index market standard;

forward = a swap where the Effective Date is after the Effective Date for a Spot Starting

swap of that Currency and floating Index.

Settlement Procedure As determined by the Clearing Organization.

Block Trades Block Trades may be submitted pursuant to RTX SEF Rule &"#.

Position Limits Parts "&# and "&" of the Commission’s regulations, as applicable, set forth the Commission’s rules regarding speculative position limits. The CFTC does not require speculative position limits for IRS.

Trading Hours The operating hours of RTX SEF, published on RTX SEF’s website.

Table: General Definitions Cont’d

!!
" FIXED-FOR-FLOATING IRS—EUR EURIBOR

2.6 Product Specifications & Terms and Conditions

I!"# D"$%&'(!')*

Contract Definition 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.

IRS Type Fixed Rate vs. Floating Rate Index (EURIBOR).

Trading Conventions Buy/pay = pay fixed, receive floating index; sell/receive = receive

fixed, pay floating index; swap price is quoted as an outright percentage rate in increments of fractions or decimals of a basis point.

Specific Trade Types The following swap types may be executed: Outright (Spot and

Forward starting), Curve (tenor) Spreads, Butterflies, Spreads between different floating Indices, Spreads to Futures, Spreads to

Treasuries and combinations thereof.

Trade Start Dates Spot or Forward Start Date or as agreed by the Participants, subject

to DCO rules.

Swap Term (Tenor) From $ days to &" years, as agreed by the Participants.

S+,( C)*-"*!')*$

Fixed Leg

Fixed-Leg Payment Annual, Semiannual, Quarterly, or as agreed by Participants.

Day-Count Conventions As agreed by Participants and suitable to the Currency’s market

standards (e.g., '#/'(#, Act/'(&, etc.).

Holiday Calendar As agreed by Participants and suitable to the Currency’s market

standards.

Business-Day Conventions Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency’s market standards.

Floating Leg

Floating-Leg Index As agreed by Participants and suitable to the Currency’s market

standards (EURIBOR).

Payment/Resets Annual, Semiannual, Quarterly, Monthly, Daily, or as agreed by

Participants.

Day-Count Convention As dictated by market standard forthe Floating Index (e.g., Act/'(#,

Act/'(&, etc.)

Holiday Calendar As agreed by Participants and suitable to the Currency’s market

standards.

Fixing Calendar As agreed by Participants and suitable to the Currency’s market

standards.

Business-Day Conventions Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency’s market standards.

P"&').'% S"!!/"#"*! P,0#"*!/R"$"!$ Payments are settled in accordance with the payment frequency of

the swap.

Fixed Leg The payment amount of the Fixed Leg is based on Notional, Payment Frequency, Day Count Convention, and Fixed Interest Rate.

Floating Leg The payment amount of the Floating Leg is based on Notional, Payment Frequency, Day Count Convention, Floating Interest Rate

Index and Floating Reset Dates.

!"