SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-449

Organization: NEX SEF Limited ("NEX SEF")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 10/27/23 Filing Description: Amendments to NEX SEF Rule 

802(7) (“Overnight Index Swaps”) (Form SEF Exhibit M) 

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

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: See filing.

Rule Numbers: See filing.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

1

Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

October 27, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

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 NEX SEF Rule 802(7)

(“Overnight Index Swaps”) (Form SEF Exhibit M).

NEX SEF Submission No. 23-449

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

“Commission”) amendments to NEX SEF Rule 802(7) (“Overnight Index Swaps”) effective on November

13, 2023.

Specifically, NEX SEF is amending Rule 802(7) to include “Prior Starting,” a new category of “Trade Start 

Type” for overnight index swaps (collectively, the “Rule Amendments”).

Currently, Rule 802(7) provides for two (2) trade start types: Spot Starting” and “Forward Starting.” The 

Rule Amendments shall provide, pursuant to the inclusion of “Spot Starting,” that the effective date of an 

overnight index swap can occur prior to the trade date. NEX SEF is implementing the Rule Amendments 

to afford its underlying customers a mechanism to better align transactions in connection with risk 

mitigation with related open futures positions.

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 the Rule Amendments may have some 

bearing on the following Core Principles:

Core Principle 2 – Compliance with Rules: CEA Section 5h(f)(2)(A) requires a swap execution 

facility to establish and enforce compliance with its rules. The CFTC has implemented this 

statutory requirement by adopting CFTC Regulation 37.203(a), which requires a swap execution 

facility to prohibit manipulative or disruptive trading practices prohibited by the CEA or by the 

Commission pursuant to Commission regulation. The Rule Amendments are intended to assist 

NEX SEF in ensuring that its market participants comply with its rules and NEX SEF remains in 

compliance with CFTC Regulation 37.203(a) and the Core Principles.

Core Principle 4 – Monitoring of Trading and Trade Processing: CEA Section 5h(f)(4)(A) 

requires swap execution facility to establish trading procedures to be used in entering and 

executing orders traded on or through the facilities of the swap execution facility. The Rule 

Amendments outline updated contract specifications with respect to trade processing on NEX 

SEF, and accordingly, the Rule Amendments are in compliance with this Core Principle.

Appendix A, attached hereto, provides amendments to the NEX SEF Rule 802(7) in blackline format.

Pursuant to Section 5c(c) of the CEA and Regulations 37.3(b)(3) and 40.6(a), NEX SEF hereby certifies 

that the Rule Amendments comply with the Act, as amended, and the Commission’s regulations thereunder. 

There were no substantive opposing views to this proposal.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

2

NEX SEF certifies that this submission has been concurrently posted on the CME Group 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 (312) 

466-7478 or via email at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel

Attachment: Appendix A – NEX SEF Rule 802(7) (blackline format) 
3

Appendix A

(additions underscored)

Rule 802 (7) — Overnight Index Swaps

Contract 

Specification

Details

Product 

Description

An Overnight Index 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 a measure 

of an overnight index over every day of the payment period. These payments are 

exchanged based on a notional amount.

Currencies

Available Currencies

USD GBP CHF EUR CAD SGP JPY

Trading 

Conventions

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

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

Swap Leg 

Conventions

o The terms of Overnight Index Swaps are based on a number of combinations of 

the criteria below.

▪ Fixed Leg

• Payment Frequency

o Term and Annual 

• Day Count Convention

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

EUR; Actual/365(fixed) for GBP, SGP, CAD and JPY

• 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 Term and Annual

• Reset Frequency

o Daily

• Day Count Convention

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

EUR; Actual/365(fixed) for GBP, SGP, CAD and JPY. 

• 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 
4

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

Index and Currency 

SONIA – GBP

EuroSTR- EUR

FedFunds- USD

SOFR – USD

CORRA – CAD

SARON – CHF

TONA – JPY

SORA - SGP

Effective Date o The date on which accrued obligations are calculated. The Effective Date of the 

Swap must be a business day subject to the appropriate Business Day 

Convention.

Trade Start 

Type

o Prior Starting – The Effective Date of the Contract occurs prior to the trade 

date.

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

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

date. 

Maturity Date o 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 o The duration of time from the Effective Date to the Maturity Date. 

Floating Reset 

Dates

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

period during the Tenor of the Contract. 

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

Floating Rate for the interest period is determined on the Maturity Date by the 

daily compounded fixing rates from the Effective Date 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. 

Settlement 

Terms

• Bilateral settlement is performed in USD, GBP, CHF, EUR, SGP, CAD or JPY. 

Minimum and 

Incremental 

size

• Minimum notional size is dependent on currency.

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

increments are dependent on currency and tenor.

Minimum Price 

Fluctuation / 

Price Tick Size

• The minimum price change is 0.00001

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.
5

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 • Depending on eligibility, Overnight Index Swaps may be cleared at 

LCH.Clearnet, Eurex, CME and JSCC.