April 13, 2020 

Submitted via CFTC 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: tpSEF Inc. – Regulation 40.6(a) Rule Certification; Notification of Amendments to the 

tpSEF Inc. Risk Mitigation Procedures (tpSEF Submission #20-05R)

Dear Mr. Kirkpatrick: 

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

the regulations of the Commodity Futures Trading Commission (the “Commission”), tpSEF Inc. (“tpSEF”), 

a registered swap execution facility, hereby notifies the Commission that it wishes to amend its Risk 

Mitigation Procedures as provided in Exhibit A. The intended date of implementation of the amended Risk 

Mitigation Procedures is April 27, 2020. 

Pursuant to Commission Regulation 40.6, this submission includes: 

(i) A concise explanation and analysis of the amended rules and their compliance with applicable 

provisions of the Act, attached as Exhibit A; 

(ii) A clean copy of the amended Risk Mitigation Procedures (which are included in Appendix C to 

tpSEF’s Rulebook), attached as Exhibit B; and 

(iii) A copy of the amended Risk Mitigation Procedures marked to show changes to the currently 

effective version, attached as Exhibit C. 

tpSEF hereby certifies that the amendments comply with the requirements of the Act and Commission 

regulations thereunder. tpSEF is not aware of any substantive opposing views expressed with respect to this 

filing and certifies that, concurrent with this filing, a copy of this submission was posted on tpSEF’s website. 

 

ACTIVE 256210860 
Mr. Christopher J. Kirkpatrick 

April 13, 2020 

Page 2 

Please contact Brian D. Donnelly, Chief Compliance Officer, at (201) 984-6956 or by email at 

bddonnelly@tullettprebon.com with any questions regarding this matter. 

Very truly yours, 

tpSEF Inc. 

By: _______________________ 

Name: Brian D. Donnelly 

Title: Chief Compliance Officer 

Date: April 13, 2020 

Enclosures 

cc: CFTC Division of Market Oversight (dmosubmissions@cftc.gov) 

Nancy Markowitz, CFTC (nmarkowitz@cftc.gov) 
Mr. Christopher J. Kirkpatrick 

April 13, 2020 

Page 3 

EXHIBIT A 

Explanation of Amended Rules 

tpSEF has amended its Risk Mitigation Procedures as provided below. Capitalized terms used but not 

defined herein have the meanings assigned to them in the Risk Mitigation Procedures. 

Section/Rule Description of Revision 

Reason and/or 

Supporting Rule or Core 

Principle 

Cover Page Changed effective date. Conforming change 

Description of 

tpSEF Risk 

Mitigation 

Sessions 

Amended the description of tpSEF Risk Mitigation 

Sessions to reflect the availability of Inflation Swaps 

based on the “USA – Non-revised Consumer Price Index 

– Urban (CPI-U)” index. 

CFTC Regulations 37.200(c), 

37.201(a) & 37.400(a) 

Procedures; 

Subsection (c) 

Added Inflation Swaps based on the “USA – Non-revised 

Consumer Price Index – Urban (CPI-U)” index to the list 

of available product types. 

CFTC Regulations 37.200(c), 

37.201(a) & 37.400(a) 
Mr. Christopher J. Kirkpatrick 

April 13, 2020 

EXHIBIT B 

tpSEF Inc. Risk Mitigation Procedures 

(Clean Version) 
tpSEF Inc. Rulebook 

Appendix C 

tpSEF Inc. 

Risk Mitigation Procedures 

Effective April 27, 2020 

ACTIVE 254868891 
2

tpSEF Inc. 

RISK MITIGATION PROCEDURES 

Purpose: 

This document sets forth the procedures (the “Procedures”) for Risk Mitigation Sessions 

conducted by tpSEF Inc. (“tpSEF”) in accordance with tpSEF Rule 4018. 

Description of tpSEF Risk Mitigation Sessions: 

tpSEF conducts Risk Mitigation Sessions using an electronic matching program that enables 

market participants to reduce their floating rate, foreign exchange reset/fixing and inflation risk. 

The system currently is available for: 

• FRAs/SPSs denominated in four super-major currencies, seven major currencies and 

three non-major currency; 

• USD-settled NDFs in one major currency and 10 non-major currencies; and 

• Inflation Swaps based on the “USA – Non-revised Consumer Price Index – Urban (CPIU)” index. 

tpSEF’s Risk Mitigation Sessions allow for an efficient and cost-effective means of offsetting 

reset/fixing exposures across an entire portfolio. Instead of having to offset individual 

resets/fixings, which can involve hundreds of individual transactions and the associated market 

and operational risk, Risk Mitigation Sessions allow market participants to reduce exposures at 

transparent midmarket price levels in a single matching run. 

For additional information regarding tpSEF Risk Mitigation Sessions, please contact 

tpSEF-tpMatch-Information@tullettprebon.com. 

Definitions: 

For purposes of these Procedures, the following terms have the meanings specified herein. 

Capitalized terms used but not defined have the meanings ascribed to them in the tpSEF Inc. 

Rulebook. 

“Closing Cutoff Time” has the meaning given in Section (f) of these Procedures. 

“Eligible Participant” means a Participant that meets the criteria of these Procedures. 

“FRAs” means Forward Rate Agreements. 

“NDFs” mean Non-Deliverable Forwards. 

“Order Cutoff Time” has the meaning given in Section (e) of these Procedures. 
3 

“Pricing Curve Update Cutoff” has the meaning given in Section (f) of these Procedures. 

“Risk Mitigation Session” means for any given product type, the announced session at which 

Eligible Participants can enter into Permitted Transactions in relation to that product type. 

“SPS” means a single period swap, a fixed for floating swap with a single calculation period and 

floating rate fixing. 

Procedures: 

(a) The SEF shall provide impartial access to each Risk Mitigation Session to all Eligible 

Participants. 

(b) Risk Mitigation Sessions will be available for Permitted Transactions only. 

(c) Each Risk Mitigation Session will result in the execution of Swaps that meet the SEF’s 

general criteria for the relevant product type as described in the applicable Swap 

Specification set forth in Appendix B to the tpSEF Rulebook. 

Risk Mitigation Sessions are available in the following product types: 

• FRAs and/or SPSs in the following currencies: 

o AUD 

o CAD 

o CHF 

o EUR 

o GBP 

o HKD 

o JPY 

o KRW 

o MYR 

o NZD 

o SEK 

o SGD 

o USD 

o ZAR 

The SEF will determine, for any currency, whether to offer Risk Mitigation Sessions 

utilizing FRAs, SPSs or both for such currency. 

• NDFs settled in USD on the following reference currencies: 

o ARS 

o CLP 
4 

o CNY 

o COP 

o IDR 

o INR 

o KRW 

o MYR 

o PEN 

o PHP 

o TWD 

• Inflation Swaps based on the “USA – Non-revised Consumer Price Index – Urban 

(CPI-U)” index as defined in the 2008 ISDA Inflation Derivatives Definitions, as 

amended or supplemented from time to time. 

(d) The SEF will post on its website advance notice of each Risk Mitigation Session. The 

SEF will attempt to give such notice at least one (1) Business Day in advance. 

(e) In order to participate in a particular Risk Mitigation Session, a Participant must submit a 

completed order sheet in the form specified by the SEF containing its orders for that Risk 

Mitigation Session prior to the applicable cutoff time (“Order Cutoff Time”). All orders 

on the order sheet must be firm bids and offers and not indications of interest or 

indicative quotes. After the Order Cutoff Time, submitted order sheets may not be 

cancelled, withdrawn or amended and new order sheets will not be accepted. The Order 

Cutoff Time for each Risk Mitigation Session will be specified by the SEF on its website. 

The SEF will typically hold the same Order Cutoff Time for Risk Mitigation Sessions in 

a particular product type. By submitting an order sheet to the SEF that is not cancelled or 

withdrawn prior to the Order Cutoff Time, the submitting Participant is deemed to agree 

to simultaneously execute every Swap that has been determined by the pre-determined 

risk mitigation algorithm described in Section (g) below. 

(f) Prices for all potential Swaps in a particular Risk Mitigation Session shall be determined 

based on a pricing curve established in accordance with CFTC SEF Core Principle 3. The 

pricing curve will be made available to Participants in a particular Risk Mitigation 

Session upon request in advance of each Risk Mitigation Session and may be updated 

until thirty (30) minutes prior to the Order Cutoff Time (the “Pricing Curve Update 

Cutoff”). Participants may modify, cancel and submit orders after any update to the 

pricing curve up until the applicable Order Cutoff Time. Absent manifest error, the 

pricing curve will not be amended after the Pricing Curve Update Cutoff; if the pricing 

curve is amended thereafter due to manifest error, Participants will have a right to 

modify, cancel and submit orders until the Risk Mitigation Session is closed (the 

“Closing Cutoff Time”). The Closing Cutoff Time for each Risk Mitigation Session will 

be specified by the SEF on its website. The SEF will typically hold the same Closing 

Cutoff Time for Risk Mitigation Sessions in a particular product type. 

(g) For each Risk Mitigation Session, the positions of each Participant portfolio and any 

Participant specified parameters to be applied to each such portfolio are read into a pre-
5 

determined risk mitigation algorithm. The algorithm optimizes the total volume traded 

across all portfolios to maximize the risk reduction across all of the portfolios, while 

respecting the parameters specified. The main input into the algorithm is potential trades, 

whereby a portfolio’s position in a particular tenor and fixing date is matched to any 

opposing positions from all other participating Participants for the same tenor and fixing 

date. Upon completion of the algorithm, automated and manual checks are performed to 

ensure that the results are consistent with the parameters specified for each Participant 

portfolio. 

(h) In order for any Swap to be executed during a particular Risk Mitigation Session, each 

Participant in that session must have agreed to simultaneously execute every Swap that 

has been determined by the pre-determined risk mitigation algorithm referenced above. 

Any Participant’s failure, refusal or inability to execute any Swap proposed by the predetermined risk mitigation algorithm shall result in the rejection of that Participant’s 

orders from the Risk Mitigation Session without the execution of any of that Participant’s 

Swaps and the SEF having the right to suspend or terminate the Participant’s Trading 

Privileges or take any other action permitted by the SEF Rules. 

(i) All Swaps specified in the pricing curve for that specific Swap shall be at a uniform price 

for all Participants participating in a particular Risk Mitigation Session. Swaps executed 

at the uniform price should be the same as specified in the pricing curve for that specific 

Swap. 

(j) For orders to be executed in the Risk Mitigation Session, any submitting Participant that 

is Non-Self-Clearing must designate a Clearing Member to clear the Transaction. Prior to 

running any Risk Mitigation Session for a Cleared Swap, the SEF will facilitate preexecution screening by or on behalf of the relevant Clearing Member if applicable. If the 

SEF does not receive confirmation that the order satisfies the Clearing Member’s preexecution limits or receives confirmation that the order does not satisfy the Clearing 

Member’s pre-execution limits, the SEF will cancel the order. 

(k) Orders resulting from completed Risk Mitigation Sessions are communicated to the SEF 

and are entered into the SEF’s Deal Management System for execution by appropriate 

personnel. 

(l) All Swaps executed as a result of a Risk Mitigation Session shall be confirmed and 

reported in accordance with the SEF Rules. All Cleared Swaps executed as a result of a 

Risk Mitigation Session shall, in accordance with tpSEF Rule 4013.A.(k), be 

automatically submitted by the Affirmation Hub to the relevant DCO as soon as 

technologically practicable after receipt from the SEF, without Participants or Customers 

being provided the opportunity to Affirm. 

(m) Introducing Brokers shall be permitted to participate in Risk Mitigation Sessions on 

behalf of their Customers, and Account Managers shall be permitted to participate in Risk 

Mitigation Sessions on behalf of their Clients. 
6 

(n) For the avoidance of doubt, the SEF may, in its own discretion, at any time, cancel, 

suspend or modify any Risk Mitigation Session or Transaction resulting therefrom to the 

same extent as with any other Transaction or series of Transactions executed on or 

pursuant to the rules of the SEF as described in the SEF Rules. 
Mr. Christopher J. Kirkpatrick 

April 13, 2020 

EXHIBIT C 

tpSEF Inc. Risk Mitigation Procedures 

(Marked Version) 
tpSEF Inc. Rulebook

Appendix C

-

tpSEF Inc.

Risk Mitigation Procedures

Effective July 16April 27, 20192020

ACTIVE 254868891
tpSEF Inc.

RISK MITIGATION PROCEDURES

Purpose:

This document sets forth the procedures (the “Procedures”) for Risk Mitigation Sessions

conducted by tpSEF Inc. (“tpSEF”) in accordance with tpSEF Rule 4018.

Description of tpSEF Risk Mitigation Sessions:

tpSEF conducts Risk Mitigation Sessions using an electronic matching program that enables

market participants to reduce their floating rate and, foreign exchange reset/fixing and inflation

risk. The system currently is available for:

• FRAs/SPSs denominated in four super-major currencies, seven major currencies and three

non-major currency, and;

• USD-settled NDFs in one major currency and 10 non-major currencies.; and

• Inflation Swaps based on the “USA – Non-revised Consumer Price Index – Urban (CPIU)” index.

tpSEF’s Risk Mitigation Sessions allow for an efficient and cost-effective means of offsetting

reset/fixing exposures across an entire portfolio. Instead of having to offset individual

resets/fixings, which can involve hundreds of individual transactions and the associated market

and operational risk, Risk Mitigation Sessions allow market participants to reduce exposures at

transparent midmarket price levels in a single matching run.

For additional information regarding tpSEF Risk Mitigation Sessions, please contact tpSEFtpMatch-Information@tullettprebon.comtpSEF-tpMatch-Information@tullettprebon.com.

Definitions:

For purposes of these Procedures, the following terms have the meanings specified herein.

Capitalized terms used but not defined have the meanings ascribed to them in the tpSEF Inc.

Rulebook.

“Closing Cutoff Time” has the meaning given in Section (f) of these Procedures.

“Eligible Participant” means a Participant that meets the criteria of these Procedures.

“FRAs” means Forward Rate Agreements.

“NDFs” mean Non-Deliverable Forwards.

“Order Cutoff Time” has the meaning given in Section (e) of these Procedures.

2

-
“Pricing Curve Update Cutoff” has the meaning given in Section (f) of these Procedures.

“Risk Mitigation Session” means for any given product type, the announced session at which

Eligible Participants can enter into Permitted Transactions in relation to that product type.

“SPS” means a single period swap, a fixed for floating swap with a single calculation period and

floating rate fixing.

Procedures:

(a) The SEF shall provide impartial access to each Risk Mitigation Session to all Eligible

Participants.

(b) Risk Mitigation Sessions will be available for Permitted Transactions only.

(c) Each Risk Mitigation Session will result in the execution of Swaps that meet the SEF’s

general criteria for the relevant product type as described in the applicable Swap

Specification set forth in Appendix B to the tpSEF Rulebook.

Risk Mitigation Sessions are available in the following product types:

• FRAs and/or SPSs in the following currencies:

o AUD

o CAD

o CHF

o EUR

o GBP

o HKD

o JPY

o KRW

o MYR

o NZD

o SEK

o SGD

o USD

o ZAR

The SEF will determine, for any currency, whether to offer Risk Mitigation Sessions

utilizing FRAs, SPSs or both for such currency.

• NDFs settled in USD on the following reference currencies:

o ARS

o CLP

3

-
o CNY

o COP

o IDR

o INR

o KRW

o MYR

o PEN

o PHP

o TWD

• Inflation Swaps based on the “USA – Non-revised Consumer Price Index – Urban

(CPI-U)” index as defined in the 2008 ISDA Inflation Derivatives Definitions, as amended

or supplemented from time to time.

(d) The SEF will post on its website advance notice of each Risk Mitigation Session. The SEF

will attempt to give such notice at least one (1) Business Day in advance.

(e) In order to participate in a particular Risk Mitigation Session, a Participant must submit a

completed order sheet in the form specified by the SEF containing its orders for that Risk

Mitigation Session prior to the applicable cutoff time (“Order Cutoff Time”). All orders on

the order sheet must be firm bids and offers and not indications of interest or indicative

quotes. After the Order Cutoff Time, submitted order sheets may not be cancelled,

withdrawn or amended and new order sheets will not be accepted. The Order Cutoff Time

for each Risk Mitigation Session will be specified by the SEF on its website. The SEF will

typically hold the same Order Cutoff Time for Risk Mitigation Sessions in a particular

product type. By submitting an order sheet to the SEF that is not cancelled or withdrawn

prior to the Order Cutoff Time, the submitting Participant is deemed to agree to

simultaneously execute every Swap that has been determined by the pre-determined risk

mitigation algorithm described in Section (g) below.

(f) Prices for all potential Swaps in a particular Risk Mitigation Session shall be determined

based on a pricing curve established in accordance with CFTC SEF Core Principle 3. The

pricing curve will be made available to Participants in a particular Risk Mitigation Session

upon request in advance of each Risk Mitigation Session and may be updated until thirty

(30) minutes prior to the Order Cutoff Time (the “Pricing Curve Update Cutoff”).

Participants may modify, cancel and submit orders after any update to the pricing curve up

until the applicable Order Cutoff Time. Absent manifest error, the pricing curve will not be

amended after the Pricing Curve Update Cutoff; if the pricing curve is amended thereafter

due to manifest error, Participants will have a right to modify, cancel and submit orders

until the Risk Mitigation Session is closed (the “Closing Cutoff Time”). The Closing

Cutoff Time for each Risk Mitigation Session will be specified by the SEF on its website.

The SEF will typically hold the same Closing Cutoff Time for Risk Mitigation Sessions in

a particular product type.

(g) For each Risk Mitigation Session, the positions of each Participant portfolio and any

Participant specified parameters to be applied to each such portfolio are read into a pre4

-
determined risk mitigation algorithm. The algorithm optimizes the total volume traded

across all portfolios to maximize the risk reduction across all of the portfolios, while

respecting the parameters specified. The main input into the algorithm is potential trades,

whereby a portfolio’s position in a particular tenor and fixing date is matched to any

opposing positions from all other participating Participants for the same tenor and fixing

date. Upon completion of the algorithm, automated and manual checks are performed to

ensure that the results are consistent with the parameters specified for each Participant

portfolio.

(h) In order for any Swap to be executed during a particular Risk Mitigation Session, each

Participant in that session must have agreed to simultaneously execute every Swap that

has been determined by the pre-determined risk mitigation algorithm referenced above.

Any Participant’s failure, refusal or inability to execute any Swap proposed by the predetermined risk mitigation algorithm shall result in the rejection of that Participant’s orders

from the Risk Mitigation Session without the execution of any of that Participant’s Swaps

and the SEF having the right to suspend or terminate the Participant’s Trading Privileges

or take any other action permitted by the SEF Rules.

(i) All Swaps specified in the pricing curve for that specific Swap shall be at a uniform price

for all Participants participating in a particular Risk Mitigation Session. Swaps executed at

the uniform price should be the same as specified in the pricing curve for that specific

Swap.

(j) For orders to be executed in the Risk Mitigation Session, any submitting Participant that is

Non-Self-Clearing must designate a Clearing Member to clear the Transaction. Prior to

running any Risk Mitigation Session for a Cleared Swap, the SEF will facilitate preexecution screening by or on behalf of the relevant Clearing Member if applicable. If the

SEF does not receive confirmation that the order satisfies the Clearing Member’s preexecution limits or receives confirmation that the order does not satisfy the Clearing

Member’s pre-execution limits, the SEF will cancel the order.

(k) Orders resulting from completed Risk Mitigation Sessions are communicated to the SEF

and are entered into the SEF’s Deal Management System for execution by appropriate

personnel.

(l) All Swaps executed as a result of a Risk Mitigation Session shall be confirmed and

reported in accordance with the SEF Rules. All Cleared Swaps executed as a result of a

Risk Mitigation Session shall, in accordance with tpSEF Rule 4013.A.(k), be automatically

submitted by the Affirmation Hub to the relevant DCO as soon as technologically

practicable after receipt from the SEF, without Participants or Customers being provided

the opportunity to Affirm.

(m) Introducing Brokers shall be permitted to participate in Risk Mitigation Sessions on behalf

of their Customers, and Account Managers shall be permitted to participate in Risk

Mitigation Sessions on behalf of their Clients.

5

-
(n) For the avoidance of doubt, the SEF may, in its own discretion, at any time, cancel,

suspend or modify any Risk Mitigation Session or Transaction resulting therefrom to the

same extent as with any other Transaction or series of Transactions executed on or

pursuant to the rules of the SEF as described in the SEF Rules.

6

-