SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested

Registered Entity Identifier Code (optional): 21-110 (1 of 7)

Organization: NEX SEF Limited ("NEX SEF")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 02/22/21 Filing Description: Initial Listing of Seven (7) 

Single Period Swap Contracts (CZK, DKK, EUR, HUF, NOK, SEK, PLN)

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: DKK, EUR, NOK, SEK, CZK, HUF and PLN Single Period Swaps.

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(c)

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: 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

February 22, 2021

VIA ELECTRONIC PORTAL

Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.2(a) Certification. Notification of the Initial Listing of Seven (7) 

Single Period Swap Contracts (CZK, DKK, EUR, HUF, NOK, SEK, PLN).

NEX SEF Submission No. 21-110 (1 of 7)

Dear Mr. Kirkpatrick:

NEX SEF Limited (“NEX SEF”) is certifying to the Commodity Futures Trading Commission (“CFTC” or 

“Commission”) the initial listing of seven (7) single period swap contracts (the “Contracts”) for trading

effective Tuesday, February 23, 2021 for trade date Wednesday, February 24, 2021 as more specifically 

described below.

NEX SEF is amending 802(6) (“Single Period Swaps”) in connection with the initial listing of the Contracts.

Specifically, NEX SEF is adding the following currencies: (1) CZK; (2) DKK; (3) EUR; (4) HUF; (5) NOK; 

(6) SEK; and (7) PLN.

NEX SEF reviewed the Swap Execution Facility core principles (“Core Principles”) as set forth in the 

Commodity Exchange Act (“CEA” or “Act”) and identified that listing the Contracts may have some bearing 

on the following Core Principles.

• Compliance with Rules: Trading in the Contracts will be subject to all NEX SEF Rules, including

the rules on trading procedures set forth in Chapter 3 of its rulebook, the prohibitions against

fraudulent, noncompetitive, unfair and abusive practices as outlined in Chapter 4 of its rulebook,

and the dispute resolution and arbitration procedures of Chapter 5 of its rulebook. As with all

products listed for trading on NEX SEF, trading activity in the Contracts will be subject to monitoring

and surveillance by NEX SEF’s market regulation staff, which has the authority to exercise its

investigatory and enforcement power where potential rule violations are identified.

• Contract Not Readily Subject to Manipulation: The Contracts are not readily subject to

manipulation because of the underlying market and reliance on a well administered index. Further

analysis of this matter is set forth on Exhibit B attached hereto.

• Prevention of Market Disruption: Trading in the Contracts will be subject to the Rules of NEX

SEF, which include prohibitions on manipulation, price distortion, and disruption to the cash

settlement process. As with any contract listed for trading on NEX SEF, trading activity in the

Contracts proposed herein will be subject to monitoring and surveillance by NEX SEF’s market

regulation staff.

• Availability of General Information: NEX SEF will publish on its website information in regard to

contract specifications, terms, and conditions, as well as daily trading volume and price information

for the Contracts. In addition, NEX SEF will advise the marketplace of the launch of the Contracts

by releasing a notice to its participants.

• Daily Publication of Trading Information: NEX SEF will publish contract trading volumes and

price information daily on its website.

• Protection of Market Participants: NEX SEF Rulebook Chapter 4 sets forth multiple prohibitions

that preclude intermediaries from disadvantaging their customers. These rules apply to trading in

all of the Exchange’s competitive trading venues.

1
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

• Disciplinary Procedures: Chapter 5 of the Rulebook contains provisions that allow NEX SEF to

discipline, suspend or expel members or market participants that violate the Rulebook. Trading in

the Contracts will be subject to Chapter 5, and the NEX SEF market regulation staff has the

authority to exercise its enforcement power in the event rule violations in these products are

identified.

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.2(a), NEX SEF hereby certifies that listing 

the Contracts complies with the Act, including regulations under the Act. There were no substantive 

opposing views to the proposal. 

NEX SEF certifies that this submission has been concurrently posted on its website at 

http://www.cmegroup.com/market-regulation/rule-filings.html. If you require any additional information 

regarding this submission, please contact the undersigned at 212-299-2000 or via email at 

CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A: NEX SEF Rule 802(6) (blackline format)

Exhibit B: Core Principle Analysis (additional information)

2
EXHIBIT A

NEX SEF Rule 802 (6)

(additions underlined, deletions overstruck)

3
Product Descriptions – Single Period Swaps

Rule 802(6) — Single Period Swaps

Contract 

Specification

Details

Product 

Description

A Single Period Swap is an interest rate swap for which settlement is in the form of 

one fixed interest payment and one floating interest payment based on an interest 

rate benchmark to be paid or received on an obligation beginning at the trade date. 

The interest rate payments are exchanged based on a notional amount.

Currencies

Available Currencies

USD GBP CHF DKK EUR NOK SEK

CZK HUF PLN

Trading 

Conventions

• Buyer (Payer) pays fixed interest rate and receives floating interest rate.

• Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg 

Conventions

• The terms of Single Period Swaps are based on a number of combinations of 

the criteria below.

▪ Fixed Leg

• Payment Frequency

o Once (annually)

• Day Count Convention

o Money Market Basis (actual/360) for USD, CHF, CZK, 

DKK, EUR, HUF, NOK and SEK; Actual/365(fixed) for 

GBP and PLN

• Holiday Calendar

o Applied in accordance with the country relating to the 

currency of the Contract.

• Business Day Convention

o Modified Following with adjustment to period end 

dates. Business days in this convention must be valid 

business days on both the holiday calendars of that 

country. If not, it will be the next day that is a business 

day on both calendars.

• Fixed Rate

o The traded interest rate yield or basis points on the 

trade date.

▪ Floating Leg

• Payment Frequency

o Once. Semi-annually (6-month Tenor) or quarterly (3-

month Tenor), or monthly (1-month Tenor)

• Reset Frequency

o Once. Quarterly (6-month Tenor) or monthly (3-month 

Tenor)

• Day Count Convention

4
Product Descriptions – Single Period Swaps

o Money Market Basis (actual/360) for USD, CHF, CZK, 

DKK, EUR, HUF, NOK and SEK; Actual/365(fixed) for 

GBP and PLN

• Holiday Calendar

o Applied in accordance with the country relating to the 

currency of the Contract.

• Business Day Convention

o Modified Following with adjustment to period end 

dates. Business days in this convention must be valid 

business days on both the calendars for each country. 

If not, it will be the next day that is a business day on 

both respective country holiday calendars.

• Interest Rate Benchmark

o The appropriate Interbank Offered Rate for each of the 

relevant currencies.LIBOR.

Effective Date • The fixed and floating interest amounts accrue from the trade date. It is also 

referred to as the Start Date or the Value Date. The Effective Date of the Swap 

must be a business day subject to the appropriate Business Day Convention.

Trade Start 

Type

• Spot Starting – The Effective Date of the Contract is the trade date.

• Forward Starting – The Effective Date of the Contract occurs after the trade 

date. 

Maturity Date • The final date until which Fixed and Floating amounts accrue as agreed by the 

parties. The Maturity Date may also be referred to as the Termination Date or 

End Date.

Tenor • The duration of time from the Effective Date to the Maturity Date. Tenors will be 

3 months or 6 months.

Floating Reset 

Dates

• Dates utilized to determine the Floating Rate amount for the interest accrual 

period during the Tenor of the Contract. Except in the case of a stub period, 

the Reset Date is adjusted business days dependent on the currency prior to 

the roll date (depending on Reset Frequency) for that interest accrual period.

Fixing Date • The Fixed Rate for the interest period is fixed on the Effective Date, and the 

Floating Rate for the first interest period is fixed 2 business days prior to the 

Maturity Date.

Trade Types • Outrights

▪ An Outright swap is where one party is the payer of the fixed rate and 

receiver of the floating rate and the other party is the receiver of the 

fixed rate and payer of the floating rate.

• Switches also known as Spreads

▪ These are the simultaneous purchase and sale of two different Tenors 

of the yield curve (e.g.3x6 by 9x12).

Settlement 

Terms

• Bilateral settlement is performed in USD, GBP, CHF, CZK, DKK, EUR, HUF, 

NOK, PLN or SEK.

Minimum and 

Incremental 

size

• Minimum notional size is dependent on currency and tenor.

• Block Trades – Minimum notional size as stated by the Commission and 

increments are dependent on currency and tenor.

Minimum Price 

Fluctuation/Pri

ce Tick Size

• The minimum price change is 0.0001

5
Product Descriptions – Single Period Swaps

Quoting 

Convention

• Outrights are quoted in interest rate yield is dependent on currency.

• Spreads/Switches will be quoted in basis points dependent in multiples of the 

increments of the underlying Outrights.

Last Trading 

Day / Time

• Close of business on Trade Date.

Trading Months • Any calendar month. 

Trading Hours • Order Book: 24 Hours, beginning at 6:00 a.m. Wellington Time on Monday 

(5:00 p.m. UTC on Sunday during NZDT/6:00 p.m. UTC on Sunday during 

NZST) and ending at 5:00 p.m. New York Time on Friday (10:00 p.m. UTC 

during EST/9:00 p.m. UTC during EDT).

• Voice RFQ: Not Available. 

• All Pre-Arranged Crosses: 24 Hours, beginning at 6:00 a.m. Wellington Time 

on Monday (5:00 p.m. UTC on Sunday during NZDT/6:00 p.m. UTC on Sunday 

during NZST) and ending at 5:00 p.m. New York Time on Friday (10:00 p.m. 

UTC during EST/9:00 p.m. UTC during EDT).

Settlement 

Date 

• Settlement Date is the Maturity Date.

Contract Size • As agreed by the parties.

Position Limits • Not Applicable.

Reportable 

Levels

• Not Applicable.

Clearing • Single Period Swaps are cleared at LCH.Clearnet. Please see clearable 

contract definitions at http://www.lchclearnet.com. 

6
EXHIBIT B

Appendix B to Part 37—Demonstration of Compliance That a Contract is Not Readily 

Susceptible to Manipulation

Core Principle 3 of Section 5h of the Act—Swaps Not Readily Susceptible to Manipulation. The 

swap execution facility shall permit trading only in swaps that are not readily susceptible to 

manipulation.

(a) Guidance.

(1) In general, a swap contract is an agreement to exchange a series of cash flows over a period 

of time based on some reference price, which could be a single price, such as an absolute level 

or a differential, or a price index calculated based on multiple observations. Moreover, such a 

reference price may be reported by the swap execution facility itself or by an independent third 

party. When listing a swap for trading, a swap execution facility shall ensure a swap's 

compliance with Core Principle 3, paying special attention to the reference price used to 

determine the cash flow exchanges. Specifically, Core Principle 3 requires that the reference 

price used by a swap not be readily susceptible to manipulation. As a result, when identifying 

a reference price, a swap execution facility should either: Calculate its own reference price 

using suitable and well-established acceptable methods or carefully select a reliable third-party 

index.

o The reference prices on which the Contract settles is the Interbank Offered Rate for each of 

the relevant currencies (each such rate, a “Benchmark Rate”). The Benchmark Rates are

calculated and published by a reliable independent third party that is a supervised manager of an 

inter-bank offered rate, as discussed in more detail below. 

(2) The importance of the reference price's suitability for a given swap is similar to that of the 

final settlement price for a cash-settled futures contract. If the final settlement price is 

manipulated, then the futures contract does not serve its intended price discovery and risk 

management functions. Similarly, inappropriate reference prices cause the cash flows between 

the buyer and seller to differ from the proper amounts, thus benefitting one party and 

disadvantaging the other. Thus, careful consideration should be given to the potential for 

manipulation or distortion of the reference price.

o Please see below. 

(3) For swaps that are settled by physical delivery or by cash settlement refer to the guidance 

in appendix C to part 38 of this chapter—Demonstration of Compliance That a Contract is not 

Readily Susceptible to Manipulation, section b(2) and section c(4), respectively.

o Please see below. 

Appendix C to Part 38—Demonstration of Compliance That a Contract is Not Readily 

Susceptible to Manipulation

(c) Futures Contracts Settled by Cash Settlement. (1) Cash settlement is a method of settling 

certain futures or option contracts whereby, at contract expiration, the contract is settled by 

cash payment in lieu of physical delivery of the commodity or instrument underlying the 

contract. An acceptable specification of the cash settlement price for commodity futures and 

7
option contracts would include rules that fully describe the essential economic characteristics 

of the underlying commodity (e.g., grade, quality, weight, class, growth, issuer, maturity, 

source, rating, description of the underlying index and index's calculation methodology, etc.), 

as well as how the final settlement price is calculated. In addition, the rules should clearly 

specify the trading months and hours of trading, the last trading day, contract size, minimum 

price change (tick size) and any limitations on price movements (e.g., price limits or trading 

halts).

o Essential Economic Characteristics of the Contracts. The terms and conditions of the Contract 

match the terms of single period swaps that are commonly offered in the market and are listed in 

Appendix A. The Contract is a spot starting or forward starting cash-settled interest rate swap that 

allows a party to speculate on, or hedge risks associated with, interest rate movements. The 

Contract is available in CZK, DKK, EUR, HUF, NOK, PLN and SEK . One party to the Contract (the 

“Buyer”) agrees to make a payment at a fixed interest rate, established on the trade date, on a 

notional principal amount to the other party (the “Seller”). The Seller agrees to make a payment to 

the Buyer at a floating interest rate (one of the Benchmark Rates) on the agreed notional principal 

amount. The floating rate is the actual Benchmark Rate on the maturity date of the Contract. 

Settlement is a single payment at the maturity date of the difference between the amounts 

calculated using the fixed rate and the floating rate on the notional amount. All of the essential 

terms of the Contract, other than the contingent Benchmark Rate at the maturity date, are agreed 

at the trade date of the Contract (the “Effective Date”).

o Calculation of Cash Settlement Price. One leg of each Contract will pay a fixed rate on a notional 

principal amount established at the Effective Date and which will remain unchanged throughout the 

life of the Contract. The other leg of the Contract will pay a floating set rate based on a Benchmark 

Rate established at the maturity date of the Contract (i.e., LIBOR on the maturity date) on the 

notional principal amount. The calculation of a Benchmark Rate is governed by a standard set of 

rules and calculation procedures published by a Benchmark Rate provider, as discussed below.

(2) Cash settled contracts may be susceptible to manipulation or price distortion. In evaluating 

the susceptibility of a cash-settled contract to manipulation, a designated contract market 

should consider the size and liquidity of the cash market that underlies the listed contract in a 

manner that follows the determination of deliverable supply as noted above in (b)(1). In 

particular, situations susceptible to manipulation include those in which the volume of cash 

market transactions and/or the number of participants contacted in determining the cashsettlement price are very low. Cash-settled contracts may create an incentive to manipulate or 

artificially influence the data from which the cash-settlement price is derived or to exert undue 

influence on the cash-settlement price's computation in order to profit on a futures position in 

that commodity. The utility of a cash-settled contract for risk management and price discovery 

would be significantly impaired if the cash settlement price is not a reliable or robust indicator 

of the value of the underlying commodity or instrument. Accordingly, careful consideration 

should be given to the potential for manipulation or distortion of the cash settlement price, as 

well as the reliability of that price as an indicator of cash market values. Appropriate 

consideration also should be given to the commercial acceptability, public availability, and 

timeliness of the price series that is used to calculate the cash settlement price. Documentation 

demonstrating that the settlement price index is a reliable indicator of market values and 

conditions and is commonly used as a reference index by industry/market agents should be 

provided. Such documentation may take on various forms, including carefully documented 

interview results with knowledgeable agents.

o Contract Not Readily Susceptible to Manipulation. The Contract is not readily susceptible to 

manipulation for a number of reasons. As noted above, all of the essential terms of the Contract, 

8
other than the payment contingent on the Benchmark Rate, are agreed at the Effective Date, 

thereby reducing the impact of potentially unrepresentative data. Single period swaps are 

widely used by market participants to transfer and manage interest rate risk. The size and 

liquidity of the market in single period swaps is well documented and the significant liquidity in 

single period swaps such as the Contracts makes the Contracts difficult to manipulate. The 

floating rate of each Contract is the Benchmark Rate. The Benchmark Rate is widely used and 

is calculated and published by a reliable independent third party that is a supervised manager of 

the inter-bank offered rate. The IBOR for each of the relevant currencies is calculated by an 

independent third party (each, a “Benchmark Administrator” and collectively, the “Benchmark 

Administrators”) which believes NEX SEF believes are impartial, employ appropriate 

safeguards against manipulation to protect the value of the Benchmark Rate, and use business 

practices that minimize the opportunity or incentive to manipulate the reference index

associated with the Contract’s exchange of cash flows. 

The Benchmark Rate is an inter-bank offered rate based on comprehensive, well-established 

and transparent rules that govern, among other things, the selection of banks which submit 

prices and the calculation of the offered rate.1 The Benchmark Rate is widely accepted by 

market participants as a reliable inter-bank offered rate. Furthermore, the development and 

management of the Benchmark Rate is rules-based, therefore making it difficult for individuals 

or entities to change calculation of amounts due under the Contract. Additionally, the 

Benchmark Rate is widely followed by numerous market participants and basing interest rate 

swaps on the Benchmark Rate has been a longstanding and widely accepted practice. 

Accordingly, the Contract is not readily susceptible to manipulation or price distortion because the 

method of determining the cash settlement price is based on terms that are fixed at the Effective 

Date of each Contract and a reliable Benchmark Rate.

NEX SEF will continue to monitor and assess on an ongoing basis: (1) the size and liquidity of 

the underlying market in single period swaps; (2) the continued use of the Benchmark Rate by 

market participants, including those transacting on swap execution facilities and those 

transacting in the over-the-counter markets; (3) industry and government initiatives for the 

adoption of alternative reference rates to replace the Benchmark Rate; (3) industry initiatives 

to adopt contractual fallback language addressing alternative reference rates when the 

Benchmark Rate is no longer managed, calculated or published by the Benchmark 

Administrators or any successor Benchmark Rate manager, including those that would affect 

the Terms Incorporated by Reference pursuant to Chapter 3 of the NEX SEF Rulebook; and 

(4) statements by the Benchmark Administrators, applicable governmental and regulatory 

bodies and market participants regarding the timing of the retirement and phase out of the 

Benchmark Rate. 

(3) Where an independent, private-sector third party calculates the cash settlement price series, 

a designated contract market should consider the need for a licensing agreement that will 

ensure the designated contract market's rights to the use of the price series to settle the listed 

contract.

(i) Where an independent, private-sector third party calculates the cash settlement price 

series, the designated contract market should verify that the third party utilizes business 

practices that minimize the opportunity or incentive to manipulate the cash-settlement price 

series. Such safeguards may include lock-downs, prohibitions against derivatives trading 

by employees, or public dissemination of the names of sources and the price quotes they 

provide. Because a cash-settled contract may create an incentive to manipulate or 

1 See https://www.theice.com/iba/libor. 

9
artificially influence the underlying market from which the cash-settlement price is derived 

or to exert undue influence on the cash-settlement computation in order to profit on a 

futures position in that commodity, a designated contract market should, whenever 

practicable, enter into an information-sharing agreement with the third-party provider which 

would enable the designated contract market to better detect and prevent manipulative 

behavior.

o Independent Third-Party Pricing. As described above, the cash settlement price is 

calculated through a cash settlement method that is not readily susceptible to manipulation. 

As stated above, the Benchmark Administrators manage and calculate the Benchmark 

Rate. NEX SEF believes that the Benchmark Administrators are impartial, employ 

appropriate safeguards against manipulation to protect the value of the Benchmark Rate, 

and uses business practices that minimize the opportunity or incentive to manipulate the 

reference index associated with the Contract’s exchange of cash flows. To the extent that 

NEX SEF’s Market Regulation Staff determines that there is reason to suspect 

manipulation or attempted manipulation with respect to the Contract that involves the 

Benchmark Rate, it will so inform the relevant Benchmark Administrator and will seek to 

share information as necessary to investigate the potential manipulation or attempted 

manipulation.

(ii) Where a designated contract market itself generates the cash settlement price series, 

the designated contract market should establish calculation procedures that safeguard 

against potential attempts to artificially influence the price. For example, if the cash 

settlement price is derived by the designated contract market based on a survey of cash 

market sources, the designated contract market should maintain a list of such entities which 

all should be reputable sources with knowledge of the cash market. In addition, the sample 

of sources polled should be representative of the cash market, and the poll should be 

conducted at a time when trading in the cash market is active.

o Please see above.

(iii) The cash-settlement calculation should involve computational procedures that eliminate 

or reduce the impact of potentially unrepresentative data.

o Please see above.

(iv) The cash settlement price should be an accurate and reliable indicator of prices in the 

underlying cash market. The cash settlement price also should be acceptable to commercial 

users of the commodity contract. The registered entity should fully document that the 

settlement price is accurate, reliable, highly regarded by industry/market agents, and fully 

reflects the economic and commercial conditions of the relevant designated contract 

market.

o Please see above.

(v) To the extent possible, the cash settlement price should be based on cash price series 

that are publicly available and available on a timely basis for purposes of calculating the 

cash settlement price at the expiration of a commodity contract. A designated contract 

market should make the final cash settlement price and any other supporting information 

that is appropriate for release to the public, available to the public when cash settlement is 

accomplished by the derivatives clearing organization. If the cash settlement price is based 

on cash prices that are obtained from non-public sources (e.g., cash market surveys 

10
conducted by the designated contract market or by third parties on behalf of the designated 

contract market), a designated contract market should make available to the public as soon 

as possible after a contract month's expiration the final cash settlement price as well as any 

other supporting information that is appropriate or feasible to make available to the public.

o The Benchmark Rate is readily available via a number of sources.

(4) Contract terms and conditions requirements for futures contracts settled by cash settlement.

(i) An acceptable specification of the terms and conditions of a cash-settled commodity 

contract will also set forth the trading months, last trading day, contract size, minimum price 

change (tick size) and daily price limits, if any.

o The essential terms and conditions of the Contract are attached as Appendix A.

(A) Commodity Characteristics: The terms and conditions of a commodity contract 

should describe the commodity underlying the contract.

o The terms and conditions of the Contract specify that the Contract is based on the 

Benchmark Rate.

(B) Contract Size and Trading Unit: An acceptable specification of the trading unit would 

be a contract size that is consistent with customary transactions in the cash market. A 

designated contract market may opt to set the contract size smaller than that of standard 

cash market transactions.

o The size of each Contract is consistent with customary transactions in the market. 

(C) Cash Settlement Procedure: The cash settlement price should be reliable, 

acceptable, publicly available, and reported in a timely manner as described in 

paragraphs (c)(3)(iv) and (c)(3)(v) of this appendix C.

o The cash settlement procedures and an explanation of how the Contract is not readily 

susceptible to manipulation are described above.

(D) Pricing Basis and Minimum Price Fluctuation (Minimum Tick): The minimum price 

increment (tick) should be set a level that is equal to, or less than, the minimum price 

increment commonly observed in cash market transactions for the underlying 

commodity. Specifying a futures' minimum tick that is greater than the minimum price 

increment in the cash market can undermine the risk management utility of the futures 

contract by preventing hedgers from efficiently establishing and liquidating futures 

positions that are used to hedge anticipated cash market transactions or cash market 

positions.

o As agreed to between the parties. 

(E) Maximum Price Fluctuation Limits: Designated contract markets may adopt price 

limits to: (1) Reduce or constrain price movements in a trading day that may not be 

reflective of true market conditions but might be caused by traders overreacting to 

news; (2) Allow additional time for the collection of margins in times of large price 

movements; and (3) Provide a “cooling-off” period for futures market participants to 

11
respond to bona fide changes in market supply and demand fundamentals that would 

lead to large cash and futures price changes. If price-limit provisions are adopted, the 

limits should be set at levels that are not overly restrictive in relation to price movements 

in the cash market for the commodity underlying the futures contract. For broad-based 

stock index futures contracts, rules should be adopted that coordinate with New York 

Stock Exchange (“NYSE”) declared Circuit Breaker Trading Halts (or other market 

coordinated Circuit Breaker mechanism) and would recommence trading in the futures 

contract only after trading in the majority of the stocks underlying the index has 

recommenced.

o NEX SEF believes price limits are not necessary for the Contract and accordingly has not 

adopted price limits.

(F) Last Trading Day: Specification of the last trading day for expiring contracts should 

be established such that it occurs before publication of the underlying third-party price 

index or determination of the final settlement price. If the designated contract market 

chooses to allow trading to occur through the determination of the final settlement price, 

then the designated contract market should show that futures trading would not distort 

the final settlement price calculation.

o The last trading day for each Contract is the maturity date of each Contract, which is set 

by the counterparties. The Benchmark Rate is published daily. 

(G) Trading Months: Trading months should be established based on the risk 

management needs of commercial entities as well as the availability of price and other 

data needed to calculate the cash settlement price in the specified months. Specification 

of the last trading day should take into consideration whether the volume of transactions 

underlying the cash settlement price would be unduly limited by occurrence of holidays 

or traditional holiday periods in the cash market. Moreover, a contract should not be 

listed past the date for which the designated contract market has access to use a 

proprietary price index for cash settlement.

o The maturity date of each Contract is agreed to between the parties and based on their 

risk management needs. The maturity date may be in any calendar month.

(H) Speculative Limits: Specific rules and policies for speculative position limits are set 

forth in part 150 and/or part 151, as applicable, of the Commission's regulations.

o None are currently required by the Commission. If and to the extent the Commission 

imposes speculative limits on the Contract, the limits imposed by NEX SEF will be the 

same.

(I) Reportable Levels: Refer to § 15.03 of the Commission's regulations.

o None are currently required by the Commission. If and to the extent the Commission 

imposes a reporting requirement based on reportable levels of the Contract imposed by 

the Commission, the reportable levels imposed by NEX SEF will be the same. 

(J) Trading Hours: Should be set by the designated contract market to delineate each 

trading day.

12
o Order Book: 24 Hours, beginning at 5:00 am Sydney time Monday and ending at 5:30 p.m. 

Eastern Time on Friday.

o Voice RFQ: Not Available. 

o All Pre-Arranged Crosses: 24 Hours, beginning at 3:00 am Sydney time Monday and 

ending at 5:30 p.m. Eastern Time on Friday.

* * *

13