Hotspot | 17 State Street, 31st Floor | New York, NY 10004

December 9, 2016 

Submitted via CFTC Portal

Office of the Secretariat 

U.S. Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street

Washington, DC 20581

Re: Bats Hotspot SEF LLC Submission of Notification of Delisting of Certain

Interest Rate Swaps (Submission No. 16-06)

To Whom It May Concern:

Pursuant to Section 5c(c) of the Commodity Exchange Act (“CEA”) and Section 40.6(a) of the 

Regulations of the Commodity Futures Trading Commission (the “Commission”), Bats Hotspot 

SEF LLC (“Bats Hotspot SEF”) is notifying the Commission that it is self-certifying the delisting of 

previously-listed interest rate swaps products, set forth below (collectively, “Delisted IRS 

Products”1), effective December 23, 2016. The marketplace will be notified of this delisting by 

Notice to Participants Number 16-10, a copy of which is attached as Exhibit A. 

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

1001 Australian Dollar LCH All All

1002 Canadian Dollar LCH All All

1003 Swiss Franc LCH All All

1004 Euro LCH All All

1005 British Pound LCH All All

1006 Japanese Yen LCH All All

1007 US Dollar LCH Trading Convention: 

Buy = Pay Float +/ Spread, Receive Float

Sell = Receive Float +/Spread, Pay Float

Electronic 

RFQ and 

Voice Order 

 1 Bats Hotspot SEF amended its Rulebook to provide for the delisting of the Delisted IRS Products in its Submission 

No. 16-07, which is being submitted contemporaneously with this Notification of Delisting.
Office of the Secretariat

Submission No. 16-06

December 9, 2016

Page 2

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

Contract Size: 

Increments of 100,000 currency units on 

Request for Quote System 

Swap Tenor or Swap Term

All durations of time from 30 days to 50 

years except for swap tenors of 2, 3, 5, 7 

and 10 years 

Trade Start Types

• Same Day: A new swap where the 

Effective Date is the same day as the 

trade date

• Next Day: A new swap where the 

Effective Date is T + 1 from the trade 

date

• Forward: A new swap with an 

effective dated on any day after the 

spot start date, before the maturity 

date, and no longer than 13 months 

Swap Conventions

Fixed Leg:

• Payment Frequency: Monthly, 

Quarterly and Annual

• Day Count Convention: ACT/360, ACT 

365, and ACT/ACT

• Business Day Conventions: Following 

and Unadjusted for period dates

Floating Leg:

• Payment/Rests: Monthly and Semi 

Annual

• Day Count Conventions: ACT/365

• Business Day Conventions: Following 

and Unadjusted for period dates

Trade Types 

• “Spreads”: combination of interest 

rate swaps and US Treasury Bond 

purchases or sales

Book
Office of the Secretariat

Submission No. 16-06

December 9, 2016

Page 3 

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

• “IMM”: interest rate swaps where

Effective Date, Accrual Dates and

Maturity Date are IMM Dates.

• “MAC” Swaps: Market Agreed

Coupon

• “Basis” Swaps: Exchange of two

floating rate indices

• “Package Trades”: Combination of

Interest rate swaps

Block Trades

Block Trades may not be submitted 

pursuant to Bats Hotspot Rule 515

1008 US Dollar CME Trading Convention: 

Buy = Pay Float +/ Spread, Receive Float

Sell = Receive Float +/Spread, Pay Float

Contract Size: 

Increments of 100,000 currency units on 

Request for Quote System 

Swap Tenor or Swap Term

All durations of time from 30 days to 50 

years except for swap tenors of 2, 3, 5, 7 

and 10 years 

Trade Start Types

• Same Day: A new swap where the

Effective Date is the same day as the

trade date

• Next Day: A new swap where the

Effective Date is T + 1 from the trade

date

• Forward: A new swap with an

effective dated on any day after the

spot start date, before the maturity

date, and no longer than 13 months

Electronic 

RFQ and 

Voice 

Order Book
Office of the Secretariat

Submission No. 16-06

December 9, 2016

Page 4

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

Swap Conventions

Fixed Leg:

• Payment Frequency: Monthly, 

Quarterly and Annual

• Day Count Convention: 30E/360, 

ACT/360, ACT 365, and ACT/ACT

• Business Day Conventions: Following 

and Unadjusted for period dates

Floating Leg:

• Payment/Rests: Monthly and Semi 

Annual

• Day Count Conventions: ACT/365

• Business Day Conventions: Following 

and Unadjusted for period dates

Trade Types 

• “Spreads”: combination of interest 

rate swaps and US Treasury Bond 

purchases or sales

• “IMM”: interest rate swaps where 

Effective Date, Accrual Dates and 

Maturity Date are IMM Dates.

• “MAC” Swaps: Market Agreed 

Coupon

• “Basis” Swaps: Exchange of two 

floating rate indices

• “Package Trades”: Combination of 

Interest rate swaps

Block Trades

Block Trades may not be submitted 

pursuant to Bats Hotspot Rule 515

There is no open interest in the Delisted IRS Products. 

In compliance with the CEA, we have reviewed the SEF Core Principles set forth in CEA Section 

5h(f) and have determined that the delisting of Delisted IRS Products may affect the following 

Core Principles: 
Office of the Secretariat

Submission No. 16-06

December 9, 2016

Page 5

1. Core Principle 2 – Compliance with Rules. Bats Hotspot SEF will make publically 

available the details of the delisting of the Delisted IRS Products by posting a Notice to 

Participants on its website. 

2. Core Principle 8 – Emergency Authority. There is no open interest in the Delisted IRS

Products, and therefore there will be no market disruption related to their delisting.

Bats Hotspot SEF certifies that the delisting of the Delisted IRS Products complies with the CEA 

and the Commission’s Regulations thereunder. 

Bats Hotspot SEF further certifies that this Submission has been concurrently posted on Bats 

Hotspot SEF’s website, http://www.bats.com/global/fx/sef. No substantive opposing views 

were expressed with respect to the delisting of the Delisted IRS Products. 

If you have any questions regarding this submission, please contact me at (646) 856-8843 or 

sgalish@bats.com. 

Sincerely, 

/s/Suellen Galish 

Counsel and Chief Compliance Officer

Attachments 

cc: Jonathan Lave, Division of Market Oversight, Commodity Futures Trading Commission 

(Email: jlave@cftc.gov)
Hotspot | 17 State Street, 31st Floor | New York, NY 10004

Notice No. 16-10

Date: December 13, 2016

Subject: Delisting of Products 

This Notice to Participants is issued to inform you that effective December 23, 2016 

Bats Hotspot SEF LLC (“Bats Hotspot SEF”) has delisted the interest rate swap 

products described below (“Delisted IRS Products”). The Commodity Futures 

Trading Commission (“CFTC”) was notified of the delisting of the Delisted IRS 

Products on December 9, 2016. On December 9, 2016, Bats Hotspot SEF submitted 

rule amendments to the CFTC regarding the respective rules that relate to the 

Delisted IRS Products. (A description of those rule amendments is provided in 

Notice to Participants 16-11.)

The following table describes the Delisted IRS Products. 

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

1001 Australian 

Dollar

LCH All All

1002 Canadian 

Dollar

LCH All All

1003 Swiss Franc LCH All All

1004 Euro LCH All All

1005 British Pound LCH All All

1006 Japanese Yen LCH All All

1007 US Dollar LCH Trading Convention: 

• Buy = Pay Float +/ Spread,

Receive Float

• Sell = Receive Float +/Spread,

Pay Float

Contract Size: 

Increments of 100,000 currency 

units on Request for Quote 

System 

Electronic 

RFQ and 

Voice Order 

Book

Bats Hotspot SEF LLC 

Submission No. 16-07 

Exhibit A 

A-1
Bats Hotspot SEF LLC

NTP Number 16-10

Page 2 

Hotspot | 17 State Street, 31st Floor | New York, NY 10004

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

Swap Tenor or Swap Term

All durations of time from 30 

days to 50 years except for swap 

tenors of 2, 3, 5, 7 and 10 years 

Trade Start Types

• Same Day: A new swap

where the Effective Date is

the same day as the trade

date

• Next Day: A new swap where

the Effective Date is T + 1

from the trade date

• Forward: A new swap with

an effective dated on any day

after the spot start date,

before the maturity date, and

no longer than 13 months

Swap Conventions

Fixed Leg:

• Payment Frequency:

Monthly, Quarterly and

Annual

• Day Count Convention:

ACT/360, ACT 365, and

ACT/ACT

• Business Day Conventions:

Following and Unadjusted for

period dates

Floating Leg:

• Payment/Rests: Monthly and

Semi Annual

• Day Count Conventions:

ACT/365

• Business Day Conventions:

Bats Hotspot SEF LLC 

Submission No. 16-07 

A-2
Bats Hotspot SEF LLC

NTP Number 16-10

Page 3 

Hotspot | 17 State Street, 31st Floor | New York, NY 10004

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

Following and Unadjusted for 

period dates

Trade Types 

• “Spreads”: combination of 

interest rate swaps and US 

Treasury Bond purchases or 

sales

• “IMM”: interest rate swaps 

where Effective Date, Accrual 

Dates and Maturity Date are 

IMM Dates.

• “MAC” Swaps: Market 

Agreed Coupon

• “Basis” Swaps: Exchange of 

two floating rate indices

• “Package Trades”: 

Combination of Interest rate 

swaps

Block Trades

Block Trades may not be 

submitted pursuant to Bats 

Hotspot Rule 515

1008 US Dollar CME Trading Convention: 

• Buy = Pay Float +/ Spread, 

Receive Float

• Sell = Receive Float +/Spread, 

Pay Float

Contract Size: 

Increments of 100,000 currency 

units on Request for Quote 

System 

Electronic 

RFQ and 

Voice 

Order 

Book

Bats Hotspot SEF LLC 

Submission No. 16-07 

A-3
Bats Hotspot SEF LLC

NTP Number 16-10

Page 4 

Hotspot | 17 State Street, 31st Floor | New York, NY 10004

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

Swap Tenor or Swap Term

All durations of time from 30 

days to 50 years except for swap 

tenors of 2, 3, 5, 7 and 10 years 

Trade Start Types

• Same Day: A new swap 

where the Effective Date is 

the same day as the trade 

date

• Next Day: A new swap where 

the Effective Date is T + 1 

from the trade date

• Forward: A new swap with 

an effective dated on any day 

after the spot start date, 

before the maturity date, and 

no longer than 13 months 

Swap Conventions

Fixed Leg:

• Payment Frequency: 

Monthly, Quarterly and 

Annual

• Day Count Convention: 

30E/360, ACT/360, ACT 365, 

and ACT/ACT

• Business Day Conventions: 

Following and Unadjusted for 

period dates

Floating Leg:

• Payment/Rests: Monthly and 

Semi Annual

• Day Count Conventions: 

ACT/365

• Business Day Conventions: 

Bats Hotspot SEF LLC 

Submission No. 16-07 

A-4
Bats Hotspot SEF LLC

NTP Number 16-10

Page 5 

Hotspot | 17 State Street, 31st Floor | New York, NY 10004

Rule Interest Rate

Swap 

Clearinghouse Products Delisted Trading 

Venue(s)

Following and Unadjusted for 

period dates

Trade Types 

• “Spreads”: combination of 

interest rate swaps and US 

Treasury Bond purchases or 

sales

• “IMM”: interest rate swaps 

where Effective Date, Accrual 

Dates and Maturity Date are 

IMM Dates.

• “MAC” Swaps: Market 

Agreed Coupon

• “Basis” Swaps: Exchange of 

two floating rate indices

• “Package Trades”: 

Combination of Interest rate 

swaps

Block Trades

Block Trades may not be 

submitted pursuant to Bats 

Hotspot Rule 515

If you have any questions regarding this Notice to Participants, please contact 

Suellen Galish at sgalish@bats.com. 

Bats Hotspot SEF LLC 

Submission No. 16-07 

A-5