J A V E L I N S E F , L L C 

4 4 3 P A R K A V E N U E S O U T H , 1 0 T H F L O O R • N E W Y O R K , N E W Y O R K • 1 0 0 1 6

P H O N E : ( 2 1 2 ) 7 7 9 - 2 3 0 0 • F A X : 6 4 6 - 5 8 8 - 2 0 3 9

December 31, 2015

VIA Electronic Submission

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: Javelin SEF, LLC Submission No. 15-121

To Whom It May Concern, 

Javelin SEF, LLC (“Javelin SEF”) hereby notifies the Commodity Futures Trading Commission (the 

“Commission”), pursuant to Commission Regulation 40.6, of its revised product listing of Javelin SEF 

interest rate swap products (“CME IRS Products”) on Javelin SEF beginning January 13, 2016 (the 

“Submission”). Specifically, Javelin SEF is amending its CME IRS Products decrease the minimum 

acceptable contract size when the Swap is traded on the Javelin SEF RFQ System, modify the Swap Tenor 

or Term, correct calendar and currency references, and fix grammatical and typographical errors. The 

Currency Units have also been modified in this submission. 

The Submission contains the following:

1. A summary of the terms of the CME IRS Products specifications

2. An explanation and analysis of the CME IRS Products’ compliance with the relevant Core 

Principles for Swap Execution Facilities (“SEF Core Principles”) as set forth by section 5h of 

the Commodity Exchange Act;

3. A certification that, concurrent with the filing of the Submission, Javelin SEF posted on its 

website a notice of pending certification of the CME IRS Products with the Commission.

1. Summary of Terms of the CME IRS Products

Contract

Overview

An agreement to exchange one stream of cash flows for another where one stream 

is based on a floating rate, for a given notional amount over a specified term, and 

the other stream is based upon either another floating interest rate or a fixed 

interest rate for the same notional and a given term.

Currency Units US Dollar

Floating Rate

Index

USD LIBOR, 

 

1 This product listing submission revises Javelin SEF’s submission 14-11. 
Office of the Secretariat

Submission No. 15-12

December 31, 2015

Page 2

J A V E L I N C A P I T A L M A R K E T S , L L C 

4 4 3 P A R K A V E N U E S O U T H , 1 0 T H F L O O R • N E W Y O R K , N E W Y O R K • 1 0 0 1 6

P H O N E : ( 2 1 2 ) 7 7 9 - 2 3 0 0 • F A X : 6 4 6 - 5 8 8 - 2 0 3 9

Contract Size Increments of 1 million currency units on Central Limit Order Book

Increments of 100,000 currency units on Request for Quote System

Minimum Size 1 million currency units notional on Central Limit Order Book

100,000 currency units notional on Request for Quote System

Trading

Conventions

Buy = Pay Fixed, Receive Float -or- Pay Float +/- Spread, Receive Float

Sell = Receive Fixed, Pay Float -or- Receive Float +/- Spread, Pay Float

Swap

Conventions Fixed Leg:

 Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual

 Day Count Convention: 30/360, 30E/360, ACT/360, ACT/365, ACT/ACT

 Holiday Calendars: London, New York

 Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Unadjusted for period end dates

Floating Leg:

 Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/360, ACT/365

 Holiday Calendars: London, New York

 Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Unadjusted for period end dates

Swap Tenor or

Swap Term

The duration of time from the effective date to the maturity date. A contract can 

have a Swap Tenor from 30 days to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and 

floating interest rate payments. Also known as the start date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Periodic

Settlement

Payment and

Resets

Fixed Leg: 

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

Fixed Interest Rate, Payment Frequency, Number of days in the interest 

accrual period, and Day Count Convention.
Office of the Secretariat

Submission No. 15-12

December 31, 2015

Page 3

J A V E L I N C A P I T A L M A R K E T S , L L C 

4 4 3 P A R K A V E N U E S O U T H , 1 0 T H F L O O R • N E W Y O R K , N E W Y O R K • 1 0 0 1 6

P H O N E : ( 2 1 2 ) 7 7 9 - 2 3 0 0 • F A X : 6 4 6 - 5 8 8 - 2 0 3 9

Floating Leg: 

The payment amount of the Floating Leg is based on the following: 

Notional, Floating Interest Rate Index, Payment Frequency, Number of days 

in the interest accrual period, and Day Count Convention.

Payments are settled in accordance with the payment frequency of the 

swap.

Floating Fixing 

Date

 USD: The LIBOR Fixing Date is 2 business days prior to the floating effective

date.

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.

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Forward:

 A new swap with an effective date on any day after the spot start date, before 

the maturity date, and no longer than 13 months.

Trade Types  “Rate Trades”; interest rate swaps

 “Spreads”; Package Trade consisting of interest rate swaps with US Treasury 

Bond

 IMM2; 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 indexes

 “Package Trades”; transaction involving two or more instruments: (1) that is 

executed between two or more counterparties; (2) that is priced or quoted as 

one economic transaction with simultaneous or near simultaneous execution 

of all components; and (3) where the execution of each component is 

contingent upon the execution of all other components.

 

2

IMM shall mean the four quarterly dates of each year which are the third Wednesday of March, June, September, 

and December in accordance with the International Monetary Market calendar a division of the CME Group.
Office of the Secretariat

Submission No. 15-12

December 31, 2015

Page 4

J A V E L I N C A P I T A L M A R K E T S , L L C 

4 4 3 P A R K A V E N U E S O U T H , 1 0 T H F L O O R • N E W Y O R K , N E W Y O R K • 1 0 0 1 6

P H O N E : ( 2 1 2 ) 7 7 9 - 2 3 0 0 • F A X : 6 4 6 - 5 8 8 - 2 0 3 9

Notional

Types

“Bullet”; Notional remains constant over term of swap.

Settlement 

Procedure As determined by the Clearing Venue

Trading Hours Javelin SEF, LLC trading hours are as stated in Javelin SEF Rule 502

Clearing Venue CME

Block Trades Block Trades may be submitted pursuant to Javelin SEF Rule 515

Position Limits As provided by Part 151 of the Commission’s Regulations.

Reporting 

Levels 

As provided by Commission Regulation 15.03.

2. Explanation and Analysis of CME IRS Products’ Compliance with SEF Core Principles

We have reviewed the SEF Core Principles and have identified that the listing of CME IRS Products may 

have bearing on SEF Core Principle 3: Swaps Not Readily Susceptible to Manipulation. For the reasons 

stated below we believe that the listing of CME IRS Products complies with the Commodity Exchange Act 

and SEF Core Principle 3. 

a. The Reference Price is not Readily Susceptible to Manipulation

The reference price for the floating leg of CME IRS Products is the London Interbank Offered Rate for 

USD LIBOR. LIBOR is the lowest perceived rate at which banks can borrow unsecured funds from other 

banks in the London interbank market for a specified time period in a particular currency. Historically, 

LIBOR was calculated each day by the BBA Libor Ltd. in conjunction with Thomson Reuters. In response 

to concerns raised regarding the reliability of LIBOR as reference price, the British Government 

established an independent committee to recommend a new administrator for LIBOR known as the 

Hogg Tendering Advisory Committee for LIBOR (“Hogg Committee”). ICE Benchmark Administration, 

Limited (“IBA”) was selected (through a competitive process) by the Hogg Committee to replace BBA 

Libor Ltd. The Financial Conduct Authority approved the transition to IBA on February 1, 2014. The 

LIBOR pricing provided by IBA is known as ICE LIBOR. 
Office of the Secretariat

Submission No. 15-12

December 31, 2015

Page 5

J A V E L I N C A P I T A L M A R K E T S , L L C 

4 4 3 P A R K A V E N U E S O U T H , 1 0 T H F L O O R • N E W Y O R K , N E W Y O R K • 1 0 0 1 6

P H O N E : ( 2 1 2 ) 7 7 9 - 2 3 0 0 • F A X : 6 4 6 - 5 8 8 - 2 0 3 9

ICE LIBOR is a “polled” rate, issued at approximately 11:45 am (London time) each day the banks are 

open. It is determined based upon “trimmed arithmetic mean” of the price information submitted by 

contributing banks. The “trimmed arithmetic mean” is calculated by discarding the highest and lowest 

25% of prices and averaging the balance of the prices. More information on the specifics on how LIBOR 

is calculated and how IBA oversees the determination of ICE LIBOR is available at www.theice.com/iba. 

Because the reference rate is based on LIBOR, a rate that is derived from a third-party (not the Javelin 

SEF’s Participants) and is subject to an auditable process by the IBA, the Contract is not readily subject to 

manipulation. 

b. Conditions that Prevent CME IRS Products from Being Readily Susceptible to Manipulation

The terms of the IRS Product follow the current conventions of the over the counter market in interest 

rate swaps by providing both standard fixed terms and variable terms. (See description of product 

terms above). The interest rate swap market is the largest derivative asset class in the world, with an 

estimated $441 trillion in notional principal outstanding in the OTC market as of December 2012 

according to the Bank for International Settlements. See BIS Quarterly Review, September 2013 Page 

A10 Table 4 http://www.bis.org/publ/qtrpdf/r_qs1309.pdf. .

The profound depth to the interest rate swap market protects the CME IRS Products from manipulation. 

It is well established that deep liquid markets are very difficult to manipulate. All of the recent public 

scrutiny and changes to the administration of LIBOR, it makes it difficult for an attempt by a single 

market participant or group of market participants to manipulate the LIBOR reference price to go 

undetected. Since all of the CME IRS Products are cash settled there is no deliverable supply that can be 

manipulated by market participants. Cash settlement is a further barrier that protects the CME IRS 

Products from market manipulation. In addition, should there be any attempt to manipulate the 

market, Javelin SEF is confident its robust surveillance system will detect such improper trading activity. 
Office of the Secretariat

Submission No. 15-12

December 31, 2015

Page 6

J A V E L I N C A P I T A L M A R K E T S , L L C 

4 4 3 P A R K A V E N U E S O U T H , 1 0 T H F L O O R • N E W Y O R K , N E W Y O R K • 1 0 0 1 6

P H O N E : ( 2 1 2 ) 7 7 9 - 2 3 0 0 • F A X : 6 4 6 - 5 8 8 - 2 0 3 9

c. Settlement Procedure 

CME IRS Productsthat will be traded on the Javelin SEF are cased settled at the applicable Clearing House. 

Currently CME IRS Products will be cleared by the Chicago Mercantile Exchange “CME”). The procedures 

used by the CME to settle CME IRS Products is stated in CME Rules (CME Rules are available at 

www.cmegroup.com). These rules set forth procedures that are transparent to the market and have been 

approved by the Commission. 

3. Certification 

Javelin SEF certifies that the CME IRS Products comply with the Commodity Exchange Act, 7 U.S.C. §1 et 

seq. and the regulations thereunder. Javelin SEF further certifies that this Submission has been 

concurrently posted on Javelin SEF’s website at http://www.theJavelin.com.

In the event that you have questions, please contact me at (646) 307-5931 or 

suellen.galish@thejavelin.com.

Sincerely,

/s/Suellen M. Galish

General Counsel and Chief Compliance Officer
 

 

JAVELIN SEF , LLC 

443 PARK AVENUE SOUT H, 10 T H FLOOR • NEW YORK, NE W YORK • 10016

PHONE: (212) 779 - 2300 • FAX: 646 - 588 - 2039

July 24, 2014

December 31, 2015

VIA Electronic Submission

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: Javelin SEF, LLC Submission No. 14-1115-121

To Whom It May Concern, 

Javelin SEF, LLC (“Javelin SEF”) hereby notifies the Commodity Futures Trading Commission (the 

“Commission”), pursuant to Commission Regulation 40.6, of its revised product listing of Javelin SEF 

interest rate swap products (“CME IRS Products”) on Javelin SEF beginning July 28, 2014January 13, 2016

(the “Submission”). Specifically, Javelin SEF is amending its CME IRS Products to include Package Trades

as a new Trade Type2.decrease the minimum acceptable contract size when the Swap is traded on the 

Javelin SEF RFQ System, modify the Swap Tenor or Term, correct calendar and currency references, and 

fix grammatical and typographical errors. The Currency Units have also been modified in this 

submission. 

The Submission contains the following:

1. A summary of the terms of the CME IRS Products specifications

2. An explanation and analysis of the CME IRS Products’ compliance with the relevant Core 

Principles for Swap Execution Facilities (“SEF Core Principles”) as set forth by section 5h of 

the Commodity Exchange Act;

3. A certification that, concurrent with the filing of the Submission, Javelin SEF posted on its 

website a notice of pending certification of the CME IRS Products with the Commission.

1. Summary of Terms of the CME IRS Products

Contract

Overview

An agreement to exchange one stream of cash flows for another where one stream 

is based on a floating rate, for a given notional amount over a specified term, and 

 1 This product listing submission revises Javelin SEF’s submission 14-11. 2 Pursuant to Javelin SEF’s rulebook a “Package Trade” is a transaction involving two or more instruments: (1) that 

is executed between two or more counterparties; (2) that is priced or quoted as one economic transaction with 

simultaneous or near simultaneous execution of all components; and (3) where the execution of each component 

is contingent upon the execution of all other components.
Office of the Secretariat

Submission No. 14-1115-12

July 24, 2014

December 31, 2015

Page 2

JAVELIN CAPITAL MARK ETS, LLC 

443 PARK AVENUE SOUT H, 10 T H FLOOR • NEW YORK, NE W YORK • 10016

PHONE: (212) 779 - 2300 • FAX: 646 - 588 - 2039

the other stream is based upon either another floating interest rate or a fixed 

interest rate for the same notional and a given term.

Currency Units US Dollar, British Pounds, Euros

Floating Rate

Index

USD LIBOR, Sterling LIBOR, EURIBOR

Contract Size Increments of 1 million currency units on Central Limit Order Book

Increments of 100,000 currency units on Request for Quote System

Minimum Size 1 million currency units notional on Central Limit Order Book

100,000 currency units notional on Request for Quote System

Trading

Conventions

Buy = Pay Fixed, Receive Float -or- Pay Float +/- Spread, Receive Float

Sell = Receive Fixed, Pay Float -or- Receive Float +/- Spread, Pay Float

Swap

Conventions Fixed Leg:

• Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Convention: 30/360, 30E/360, ACT/360, ACT/365, ACT/ACT

• Holiday Calendars: London, New York, TARGET3

• Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Modified Following without adjustmentUnadjusted

for period end dates

Floating Leg:

• Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: ACT/360, ACT/365

• Holiday Calendars: London, New York, TARGET

• Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Modified Following without adjustment 

toUnadjusted for period end dates

Swap Tenor or

Swap Term

The duration of time from the effective date to the maturity date. A contract can 

have a Swap Tenor from 1 day30 days to 3150 years.

 3 TARGET shall mean any day on which TARGET (the Trans-European Automated Real-time Gross settlement 

Express Transfer system) is open.
Office of the Secretariat

Submission No. 14-1115-12

July 24, 2014

December 31, 2015

Page 3

JAVELIN CAPITAL MARK ETS, LLC 

443 PARK AVENUE SOUT H, 10 T H FLOOR • NEW YORK, NE W YORK • 10016

PHONE: (212) 779 - 2300 • FAX: 646 - 588 - 2039

Effective Date The date on which parties begin calculating accrued obligations such as fixed and 

floating interest rate payments. Also known as the start date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Periodic

Settlement

Payment and

Resets

Fixed Leg: 

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

Fixed Interest Rate, Payment Frequency, Number of days in the interest 

accrual period, and Day Count Convention.

Floating Leg: 

The payment amount of the Floating Leg is based on the following: 

Notional, Floating Interest Rate Index, Payment Frequency, Number of days 

in the interest accrual period, and Day Count Convention.

Payments are settled in accordance with the payment frequency of the 

swap.

Floating Fixing 

Date

• USD: The LIBOR Fixing Date is 2 London business days prior to the floating 

effective date.

• GBP: The LIBOR Fixing Date is the same day as the floating effective date.

• EUR: The EURIBOR Fixing Date is 2 TARGET London business days prior to 

the floating effective date.

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.

Spot:

• A new swap where the Effective Date is T+2 from the trade date.

Forward:

• A new swap with an effective date on any day after the spot start date, before 

the maturity date, and no longer than 13 months.
Office of the Secretariat

Submission No. 14-1115-12

July 24, 2014

December 31, 2015

Page 4

JAVELIN CAPITAL MARK ETS, LLC 

443 PARK AVENUE SOUT H, 10 T H FLOOR • NEW YORK, NE W YORK • 10016

PHONE: (212) 779 - 2300 • FAX: 646 - 588 - 2039

Trade Types • “Rate Trades”; interest rate swaps

• “Spreads”; Package Trade consisting of interest rate swaps with US Treasury 

Bond

• IMM4

; 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 indexes

• “Package Trades”; transaction involving two or more instruments: (1) that is 

executed between two or more counterparties; (2) that is priced or quoted as 

one economic transaction with simultaneous or near simultaneous execution 

of all components; and (3) where the execution of each component is 

contingent upon the execution of all other components.

Notional

Types

“Bullet”; Notional remains constant over term of swap.

Settlement 

Procedure As determined by the Clearing Venue

Trading Hours Javelin SEF, LLC trading hours are Monday to Friday 7:30 am to 5:00 pmas stated in 

Javelin SEF Rule 502

Clearing Venue CME

Block Trades Block Trades may be submitted pursuant to Javelin SEF Rule 515

Position Limits As provided by Part 151 of the Commission’s Regulations.

Reporting 

Levels 

As provided by Commission Regulation 15.03.

 4 IMM shall mean the four quarterly dates of each year which are the third Wednesday of March, June, September, 

and December in accordance with the International Monetary Market calendar a division of the CME Group.
Office of the Secretariat

Submission No. 14-1115-12

July 24, 2014

December 31, 2015

Page 5

JAVELIN CAPITAL MARK ETS, LLC 

443 PARK AVENUE SOUT H, 10 T H FLOOR • NEW YORK, NE W YORK • 10016

PHONE: (212) 779 - 2300 • FAX: 646 - 588 - 2039

2. Explanation and Analysis of CME IRS Products’ Compliance with SEF Core Principles

We have reviewed the SEF Core Principles and have identified that the listing of CME IRS Products may 

have bearing on SEF Core Principle 3: Swaps Not Readily Susceptible to Manipulation. For the reasons 

stated below we believe that the listing of CME IRS Products complies with the Commodity Exchange Act 

and SEF Core Principle 3. 

a. The Reference Price is not Readily Susceptible to Manipulation

The reference price for the floating leg of CME IRS Products is the London Interbank Offered Rate for 

USD LIBOR, Sterling LIBOR, and EURIBOR (“LIBOR”).. LIBOR is the lowest perceived rate at which banks 

can borrow unsecured funds from other banks in the London interbank market for a specified time 

period in a particular currency. Historically, LIBOR was calculated each day by the BBA Libor Ltd. in 

conjunction with Thomson Reuters. In response to concerns raised regarding the reliability of LIBOR as 

reference price, the British Government established an independent committee to recommend a new 

administrator for LIBOR known as the Hogg Tendering Advisory Committee for LIBOR (“Hogg 

Committee”). ICE Benchmark Administration, Limited (“IBA”) was selected (through a competitive 

process) by the Hogg Committee to replace BBA Libor Ltd. The Financial Conduct Authority approved

the transition to IBA on February 1, 2014. The LIBOR pricing provided by IBA is known as ICE LIBOR. 

ICE LIBOR is a “polled” rate, issued at approximately 11:45 am (London time) each day the banks are 

open. It is determined based upon “trimmed arithmetic mean” of the price information submitted by 

contributing banks. The “trimmed arithmetic mean” is calculated by discarding the highest and lowest 

25% of prices and averaging the balance of the prices. More information on the specifics on how LIBOR 

is calculated and how IBA oversees the determination of ICE LIBOR is available at www.theice.com/iba. 

Because the reference rate is based on LIBOR, a rate that is derived from a third-party (not the Javelin 

SEF’s Participants) and is subject to an auditable process by the IBA, the Contract is not readily subject to 

manipulation. 

b. Conditions that Prevent CME IRS Products from Being Readily Susceptible to Manipulation

The terms of the IRS Product follow the current conventions of the over the counter market in interest 

rate swaps by providing both standard fixed terms and variable terms. (See description of product 

terms above). The interest rate swap market is the largest derivative asset class in the world, with an 

estimated $441 trillion in notional principal outstanding in the OTC market as of December 2012 

according to the Bank for International Settlements. See BIS Quarterly Review, September 2013 Page 

A10 Table 4 http://www.bis.org/publ/qtrpdf/r_qs1309.pdf. .

The profound depth to the interest rate swap market protects the CME IRS Products from manipulation. 

It is well established that deep liquid markets are very difficult to manipulate. All of the recent public 

scrutiny and changes to the administration of LIBOR, it makes it difficult for an attempt by a single 

market participant or group of market participants to manipulate the LIBOR reference price to go 
Office of the Secretariat

Submission No. 14-1115-12

July 24, 2014

December 31, 2015

Page 6

JAVELIN CAPITAL MARK ETS, LLC 

443 PARK AVENUE SOUT H, 10 T H FLOOR • NEW YORK, NE W YORK • 10016

PHONE: (212) 779 - 2300 • FAX: 646 - 588 - 2039

undetected. Since all of the CME IRS Products are cash settled there is no deliverable supply that can be 

manipulated by market participants. Cash settlement is a further barrier that protects the CME IRS 

Products from market manipulation. In addition, should there be any attempt to manipulate the 

market, Javelin SEF is confident its robust surveillance system will detect such improper trading activity. 
Office of the Secretariat

Submission No. 14-1115-12

July 24, 2014

December 31, 2015

Page 7

JAVELIN CAPITAL MARK ETS, LLC 

443 PARK AVENUE SOUT H, 10 T H FLOOR • NEW YORK, NE W YORK • 10016

PHONE: (212) 779 - 2300 • FAX: 646 - 588 - 2039

c. Settlement Procedure 

CME IRS Productsthat will be traded on the Javelin SEF are cased settled at the applicable Clearing House. 

Currently CME IRS Products will be cleared by the Chicago Mercantile Exchange “CME”). The procedures 

used by the CME to settle CME IRS Products is stated in CME Rules (CME Rules are available at 

www.cmegroup.com). These rules set forth procedures that are transparent to the market and have been 

approved by the Commission. 

3. Certification 

Javelin SEF certifies that the CME IRS Products comply with the Commodity Exchange Act, 7 U.S.C. §1 et 

seq. and the regulations thereunder. Javelin SEF further certifies that this Submission has been 

concurrently posted on Javelin SEF’s website at http://www.theJavelin.com.

In the event that you have questions, please contact me at (646) 307-5931 or 

suellen.galish@thejavelin.com.

Sincerely,

/s/Suellen M. Galish

General Counsel and Chief Compliance Officer