RTX Fintech & Research LLC

90 Broad Street, Suite 402

New York, NY 10004

August 24, 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:

RTX Fintech & Research LLC (“RTX SEF”) hereby notifies the Commodity Futures Trading 

Commission (“CFTC”) that it intends to list Interest Rate Swaps (“IRS Products”) in accordance 

with 17 CFR 40.2(d). RTX SEF intends to list the Product on August 28, 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 will receive the submission by the 

open of business on the business day preceding the IRS Products’ listing on August 28, 2023.

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

below.

List of Attachments

Atachment Descripton

Atachment A Submission Cover Sheet

Atachment B Certfcatons

Atachment C Terms and Conditons of IRS Products

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

Submission Cover Sheet
SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): ___________________________ 

Organization: ______________________________________________________________________ 

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

Filing Date (mm/dd/yy): ___________ Filing Description:

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: ______________________________________________________________________ 

RTX Fintech & Research LLC

✔

Class certification under 17 CFR 40.2(d) of Interest Rate Swaps (IRS) Class.

08/24/23

✔

Interest Rate Swaps (IRS) Class
Atachment B

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 24, 2023
Atachment C

Product Terms and Conditions
Attachment A to the RTX SEF Rulebook

Product Listing for Interest Rate Swaps

Effective August 28, 2023

Version 1.0
i

Contents

1 Discussion: Contracts Not Readily Susceptible to Manipulation ....................................................1

1.1 Discussion of Index Reference Prices.......................................................................................1

1.1.1 Secured Overnight Financing Rate (SOFR).........................................................................1

1.1.2 Sterling Overnight Index Average (SONIA) .......................................................................2

1.1.3 Euro Short-Term Rate (€STR)..............................................................................................2

1.1.4 Conclusion ..............................................................................................................................2

2 Swaps Subject to the Trade Execution Requirement Under CEA Section 2(h)(8)........................3

3 Product List: Interest Rate Swaps......................................................................................................3

4 General Specifications.........................................................................................................................4

4.1 Overview .....................................................................................................................................4

4.2 General Definitions....................................................................................................................5

5 Product Specifications and Terms and Conditions ..........................................................................8

5.1 Interest Rate Swap (IRS), Fixed/Float......................................................................................8

5.2 Single Currency Basis Swap, Float/Float..................................................................................9

5.3 Interest Rate Swaps Specific to Underlying Currency ...........................................................10

5.3.1 USD Interest Rate Swaps: 1–50 Years................................................................................10

5.3.2 Euro Interest Rate Swaps: 1–50 Years ...............................................................................10

5.3.3 GBP Interest Rate Swaps: Product Types..........................................................................10

5.3.4 GBP Interest Rate Swaps: Trading Days and Timing .......................................................11
1

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 $632 trillion in notional principal outstanding as of June 2022 according to the Bank for 

International Settlements.

1

 

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 interest-bearing 

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, IRSassociated 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.

1.1 Discussion of Index Reference Prices 

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.

1.1.1 Secured Overnight Financing Rate (SOFR) 

The New York Federal Reserve Bank describes the SOFR as a broad measure of the cost of 

borrowing cash overnight collateralized by Treasury securities. The SOFR includes all trades in the

Broad General Collateral Rate2 plus bilateral Treasury repurchase agreement (repo) transactions 

cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing 

Corporation (FICC), which is filtered to remove a portion of transactions considered “specials.” 

SOFR is calculated as a volume-weighted median of transaction-level tri-party repo data collected 

from the Bank of New York Mellon (BNYM) as well as GCF Repo transaction data and data on 

bilateral Treasury repo transactions cleared through FICC’s DVP service, which are obtained from 

DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation. Each business 

day, the New York Fed publishes the SOFR on the New York Fed website at approximately 8:00 

1 See https://www.bis.org/publ/otc_hy2211.pdf.

2 See https://www.newyorkfed.org/markets/reference-rates/bgcr.
2

a.m., along with statistics summarizing the distribution of volumes each day, including the total 

dollar amount of transactions used to calculate each rate, rounded to the nearest billion, and the 

volume-weighted 1st, 25th, 75th, and 99th percentiles. 

SOFR was identified by the Alternative Reference Rates Committee (ARRC)

3

as its recommended

alternative to U.S. dollar LIBOR for use in certain new U.S. dollar derivatives and other financial 

contracts.4 The New York Fed began publication of the SOFR on April 3, 2018. In the production 

of the Treasury SOFR repo reference rates, the New York Fed has endeavored to adopt policies and 

procedures consistent with best practices for financial benchmarks, including the IOSCO

Principles for Financial Benchmarks.

5

1.1.2 Sterling Overnight Index Average (SONIA) 

SONIA is governed, administered, and published daily by the Bank of England. SONIA is based on 

actual transactions and reflects the average of the interest rates that banks pay to borrow sterling 

overnight from other financial institutions and other institutional investors. 

SONIA is the Working Group on Sterling Risk Free Reference Rates’ preferred benchmark for the 

transition to sterling risk-free rates from Libor.

6

1.1.3 Euro Short-Term Rate (€STR) 

The €STR euro short-term rate is administered and published by the European Central Bank (ECB). 

The ECB has designed €STR to be an overnight rate consistent with international best practice set 

out in the International Organization of Securities Commissions (IOSCO) Principles for Financial 

benchmarks. The euro short-term rate was first published on October 2, 2019. The euro short-term 

rate (€STR) reflects the wholesale euro unsecured overnight borrowing costs of banks located in the 

euro area. The €STR is published on each defined business day based on transactions conducted and 

settled on the previous defined business day (the reporting date “T”) with a maturity date of T+1,

which are deemed to have been executed at arm’s length and thus reflect market rates in an unbiased 

way. 

1.1.4 Conclusion 

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.

3 See https://www.newyorkfed.org/arrc/index.html.

4 See https://www.newyorkfed.org/medialibrary/microsites/arrc/files/2017/ARRC-press-release-Jun-22-2017.pdf.

5 See https://www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf.

6 See https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor.
3

2 Swaps Subject to the Trade Execution Requirement Under CEA 

Section 2(h)(8) 

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

Execution Requirement under CEA section 2(h)(8)—see the industry filings posted on the CFTC’s 

website.7

3 Product List: Interest Rate Swaps 

The below table lists RTX SEF’s product listing effective August 28, 2023.

INTEREST RATE SWAPS CURRENCY AUTHORIZED DCO

Interest Rate Swaps (IRS) USD, EUR, GBP, JPY LCH Ltd., CME Inc.

€STR EUR LCH Ltd., CME Inc.

SONIA GBP LCH Ltd., CME Inc.

Single Currency Basis Swaps USD, EUR, GBP, JPY LCH Ltd., CME Inc.

 

7 See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm.
4

4 General Specifications 

Unless stated otherwise in the relevant product descriptions, below are the general specifications for 

products listed on RTX SEF.

4.1 Overview 

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. There are two types of IRS.

1. Fixed/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 SOFR. 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. 

Money Market = No. of Days/365

Bond Basis = 30/360 Fixed

Adjusted Bond Basis = Actual No. of Days/365 or 366

2. Basis Swap IRS. One party pays a floating rate for the term of the IRS indexed to a floating 

reference rate. The other party will also pay a floating rate indexed to a reference rate in a 

different tenor. For example, in a 2-year term IRS, Party A pays SOFR in a particular tenor, 

Party B pays Fed Funds to the same or a different tenor. Generally payments of the SOFR 

will be compounded and offset on the coupon dates.

 
5

4.2 General Definitions 

The following product types are eligible for admission to and capable of being traded on RTX SEF.

Tenors

TENOR

IRS 1–50 years, prompt or forward start

Transactions

SWAP TRANSACTION

Any transaction that is a rate swap, basis swap, or 

similar transaction (and any combination thereof).

Available Currencies

CURRENCY REFERENCE PRICE PUBLISHER

US Dollar (USD) SOFR Federal Reserve Bank of New York

US Dollar (USD) Fed Funds Federal Reserve Bank of New York

US Dollar (USD) BSBY Bloomberg Index Services Limited

Euro (EUR) EURIBOR Intercontinental Exchange Benchmark Administration Ltd

Euro (EUR) EURIBOR365= European Banking Federation

Euro (EUR) €STR European Central Bank

British Pound (GBP) GBP Semi-Annual Swap Rate IFR

British Pound (GBP) SONIA Bank of England

Japanese Yen (JPY) JPYTIBOR Japanese Bankers Association

Japanese Yen (JPY) JPY Tokyo Overnight 

Average rate (TONA), 

JPYTONAR

Bank of Japan
6

Other

TERM VALUE

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 index.

Floating Rate Index Depends on Currency and as agreed by Participants. A comprehensive list of indices 

can be found here and with calculations in Articles 6 & 7 of the 2021 ISDA 

Definitions and the 2008 ISDA Inflation Derivatives Definitions.

Quoting Convention & 

Minimum Increment

Depends on Currency, Index, and Tenor for Electronic Order Book or as agreed by 

Participants for Voice Order Book.

Minimum 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:

Amortizing:

Accreting:

Notional remains constant over term of swap. 

Notional declines over term of swap. 

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 Date 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.

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:

Forward:

A swap where the Effective Date is T+0 (e.g., GBP), T+2 (e.g., USD, EUR, JPL) from 

the trade date, depending on Currency and floating Index market standard.

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 Venue, provided above or as agreed between 

Participants for non-cleared trades.

Block Trades Block Trades may be submitted pursuant to RTX SEF Rule 510.
7

TERM VALUE

Position Limits Parts 150 and 151 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.

 
8

5 Product Specifications and Terms and Conditions 

5.1 Interest Rate Swap (IRS), Fixed/Float 

IRS, Fixed/Float

TERM VALUE

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 Types Fixed Rate v Floating Rate Index (e.g., SOFR, €STR, Euribor), etc.

Trading Conventions

Buy/Pay:

Sell/Receive:

Swap Price:

Pay Fixed, Receive Floating Index

Receive Fixed, Pay Floating Index

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.

Swap Term (Tenor) As agreed by the Participants. A contract can have a Tenor from 7 days to 60 years.

Swap Conventions

FIXED LEG

Fixed Leg Payment:

Day Count Conventions:

Holiday Calendar:

Business Day Conventions:

FLOATING LEG

Floating Leg Index:

Payment/Resets:

Day Count Conventions:

Holiday Calendar:

Fixing Calendar:

Business Day Conventions:

Annual, Semiannual, Quarterly, or as agreed by Participants.

As agreed by Participants and suitable to the Currency’s market standards (e.g.,

30/360, Act/365, etc.).

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

Modified Following with adjustment to period end dates or as agreed by 

Participants and suitable to the Currency’s market standards.

As agreed by participants and suitable to the Currency’s market standards (e.g., 

SOFR, SOFR, €STR, SONIA, Euribor, etc.).

Annual, Semiannual, Quarterly, Monthly, Daily, or as agreed by Participants.

As dictated by Market Standard for the Floating Index (e.g., Act/360, Act/365, etc.)

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

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

Modified Following with adjustment to period end dates or as agreed by 

Participants and suitable to the Currency’s market standards.

Periodic Settlement 

Payment and Resets

Fixed Leg:

Floating Leg:

The payment amount of the Fixed Leg is based on: Notional, Payment Frequency, 

Day Count Convention, and Fixed Interest Rate. 

The payment amount of the Floating Leg is based on: 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.
9

5.2 Single Currency Basis Swap, Float/Float 

Single Currency Basis Swap, Float/Float

TERM VALUE

Contract Definition An agreement to exchange two streams of floating cash flows on a specified 

notional over a term to maturity.

Basis Spread A spread between two Floating Rate Indices (SOFR and Fed Funds) of the same 

currency.

Basis Spread Types 3v1, 3v6 or 6v3, 3v12, 6v12 or other combinations of floating indices as agreed by 

Participants.

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

Curve (tenor) Spreads, Butterflies.

Trading Conventions

Buy/Pay:

Spread Sell/Receive:

Basis Spread Price:

Pay Floating Fed Funds Index Flat, Receive Floating SOFR Index + Basis

Receive Floating Index Fed Funds Flat, Pay Floating SOFR Index + Basis Spread

Quoted in increments of fractions or decimals of a basis point. Leg 1 is usually the 

longer underlying index tenor (e.g., 3v1 rather than 1v3). Thus the 3M index is 

paid flat and the spread is added to the 1m index. The shorter index can be 

compounded, i.e. Q/Q = 3m index vs 1 quarterly payment consisting of 3 

compounded 1m index settings OR the shorter index can be 3 separate monthly 

payments.

Swap Term (Tenor) As agreed by the Participants. A contract can have a Tenor from 3 months to 60 

years.

Swap Conventions

FLOATING LEGS 1 & 2

Index:

Payment/Resets:

Day Count Conventions:

Holiday Calendar:

Fixing Calendar:

Business Day Conventions:

As agreed by participants and suitable to the Currency’s market standards (e.g., 

SOFR and Fed Funds). 

Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by Participants.

As dictated by Market Standard for each Index (e.g., Act/360, Act/365, etc.).

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

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

Modified Following with adjustment to period end dates or as agreed by 

Participants and suitable to each Currency’s market standards.

Periodic Settlement 

Payment and Resets

FLOATING LEGS 1 & 2 The payment amount of the Floating Leg is based on: 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.

 
10

5.3 Interest Rate Swaps Specific to Underlying Currency 

5.3.1 USD Interest Rate Swaps: 1–50 Years 

USD IRS: 1–50 Years

Product Description

USD Spread Over (SOFR) These are the combination spot dated 1 to 50 years Annual money market basis 

(ACT/360) on the fixed side versus ON SOFR on the floating side dealt with a hedge 

of benchmark treasuries of corresponding size.

USD SOFR OIS USD SOFR OIS 1 to 50 years Annual money market basis (ACT/360) on the fixed 

side versus ON SOFR on the floating side.

5.3.2 Euro Interest Rate Swaps: 1–50 Years 

Euro IRS: 1–50 Years

Product Description

EUR IRS 1–50Y Annual 

Bond v. 3M EURIBOR

Euro interest rates swaps 1 to 50 years annual bond basis (30/360) on the fixed 

side versus 3M EURIBOR (reference page EURIBOR01) on the floating side.

EUR IRS 1–50Y Annual 

Bond v. 6M EURIBOR

Euro interest rates swaps 1 to 50 years annual bond basis (30/360) on the fixed 

side versus 6 month EURIBOR (reference page EURIBOR01) on the floating side.

ESTR OIS 1–50Y Annual 

Money v. ON ESTR

ESTR OIS 1 to 50 years annual money market basis (ACT/360) on the fixed side 

versus ON ESTR on the floating side.

3M v. 6M Single Currency 

Basis Spread 1–50Y

3 month v 6 month single currency basis spreads 1 to 50 years (traded as two 

swaps described above) with the spread between the fixed rates representing the 

spread dealt.

BUND, BOBL, and SCHATZ 

Spreads

BUND, BOBL and SCHATZ spreads are short-dated Euro interest swaps annual bond 

basis (30/360) on the fixed side versus 6 month EURIBOR (reference page 

EURIBOR01) dated from the maturity of the futures contract maturing on the 

maturity of the “Cheapest To Deliver” of the contract (“Stub” at the front) dealt 

with a futures hedge of corresponding size, quoting the front two contracts.

5.3.3 GBP Interest Rate Swaps: Product Types 

GBP IRS: Product Types 

Product Description

GBP 1–50Y Semi/Semi GBP 1y to 50y Semi/Semi and all combinations of spreads and flies.

GBP 1–50Y 6v3s Basis GBP 1y to 50y 6v3s basis and all combinations of spreads and flies (done as a 

single basis (floating/floating) swap).

SONIA OIS 1–50Y Annual 

Money

Sonia OIS 1y to 50y Annual Money market and all combinations of spreads and 

flies.

 
11

5.3.4 GBP Interest Rate Swaps: Trading Days and Timing 

Trading on the Platform for Sterling Interest Rate Swaps shall take place on each Business Day, 

other than such days when NYSE Liffe or the Clearing House is closed for business. RTX SEF

reserves the right to determine additional Trading Days after prior announcement thereof to the 

Participants. For the purposes of this rule, “Business Day” means every weekday that is not a 

holiday in New York.