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

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. 15-131

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 (“LCH IRS Products”) on Javelin SEF beginning January 13, 2016 (the 

“Submission”). Javelin SEF is amending its LCH IRS Products to separately describe IRS reference prices, 

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 LCH IRS Products specifications

2. An explanation and analysis of the LCH 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 LCH IRS Products with the Commission.

1. Summary of Terms of the LCH 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 (USD), British Pounds Sterling (GBP), Euros (EUR), Swiss Franc (CHF), 

Japanese Yen (JPY), Australian Dollars (AUD) and Canadian Dollars (CAD).

Floating Rate

Index

• USD LIBOR, 

• GBP LIBOR,

• EUR EURIBOR

 1 This product listing submission revises Javelin SEF’s submission 14-12.
Office of the Secretariat

December 31, 2015

Submission No. 15-13

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

• CHF LIBOR

• JPY LIBOR

• AUD BBSW

• CAD CDOR

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: New York (USD), TARGET (EUR, CHF)2

, Tokyo (JPY), 

Sydney (AUD), Toronto (CAD).

• Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Modified Following without adjustment for period 

end dates

Floating Leg

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

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

• Holiday Calendars: New York (USD), London (GBP), TARGET (EUR and CHF), 

Tokyo (JPY), Sydney (AUD), Toronto (CAD).

• Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Modified Following without adjustment to 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 (USD, EUR, and GBP); and from 30 days 

to 30 years (CHF, JPY, AUD, and CAD).

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.

 2 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

December 31, 2015

Submission No. 15-13

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

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 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 business days prior to the floating 

effective date.

• CHF: The LIBOR Fixing Date is 2 business days prior to the floating effective 

date.

• JPY: The LIBOR Fixing Date is 2 business days prior to the floating effective 

date.

• AUD: The BBSW Fixing Date is the same day as the floating effective date.

• CAD: The CDOR Fixing Date is the same day as 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”; interest rate swaps with US Treasury Bond

• IMM3

; interest rate swaps where Effective Date, Accrual Dates and Maturity 

Date are IMM Dates.

• “MAC” Swaps; Market Agreed Coupon

 3 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

December 31, 2015

Submission No. 15-13

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

• “Basis” Swaps; Exchange of two floating rate indices

• “Package Trades”: Combination of Interest rate swaps

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 LCH

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 LCH IRS Products’ Compliance with SEF Core Principles

We have reviewed the SEF Core Principles and have identified that the listing of LCH 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 LCH IRS Products complies with the Commodity Exchange Act 

and SEF Core Principle 3. 

a. The Reference Prices are not Readily Susceptible to Manipulation

The reference prices for the floating leg of LCH IRS Products are as follows:

• The reference price for the floating leg of the USD, GPB, CHF and YEN LCH IRS products is the 

London Interbank Offered Rate for USD LIBOR, Sterling LIBOR, CHF LIBOR and YEN LIBOR

(“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 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 the ICE 

LIBOR. The reference price for the floating leg of the USD, GPB, CHF and YEN LCH IRS product is 

the USD, GPB, CHF and YEN London Interbank Offered Rate (LIBOR). ICE LIBOR is a “polled” rate, 
Office of the Secretariat

December 31, 2015

Submission No. 15-13

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

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 is available at www.theice.com/iba. 

• The reference price for the floating leg of the Euro LCH IRS product is the Interbank Offered Rate 

for Euro EURIBOR (“EURIBOR”). EURIBOR is the rate at which euro interbank term deposits are 

offered by one prime bank to another within the euro zone. Historically, EURIBOR is calculated 

each day at 11:00 a.m. (CET) for spot value (T+2) and on actual/360 day basis.by the European 

Money Markets Institute, (EMMI). Founded in 1999 with the launch of the euro and based in 

Brussels, Belgian, EMMI’s EURIBOR panel consists of 23 contributors composed of banks from 

EU countries participating in the euro from the onset, banks from EU countries not participating 

in the euro from the onset and large International banks from non EU countries with important 

euro zone operations. Panel Bank contributors agree to a strict code of conduct and EMMI has 

published procedures for the selection of participating banks. Actual calculation of the EURIBOR 

is based on a representative sample of panel banks, produced for one, two and three weeks and 

for twelve maturities from one to twelve months, at which interbank term deposits, 

denominated in euro, are being offered within the euro zone between prime banks. Panel banks 

provide daily quotes of the rate, rounded to two decimal places and the average rate is 

calculated after the highest/lowest quotations (15% each side) are eliminated. EURIBOR is 

quoted for spot value (T+2) and on an actual/360 day-count convention, to three decimals. Once 

calculated, the EURIBOR® is instantaneously published by Reuters, Bloomberg and other 

information providers. More information on the specifics on how EURIBOR is calculated is 

available at http://www.emmi-benchmarks.eu/euribor-org.

• The reference price for the floating leg of the Australian Dollar LCH IRS product is the Bank Bill 

Swap Benchmark Rates (BBSW) overseen by the Australian Financial Markets Association 

(AFMA). The leading association promoting efficiency integrity and professionalism in 

Australia’s financial markets, AFMA has more than 130 members including Australian and 

international banks, brokers, securities companies, state government treasury corporations and 

other industry members. AFMA provides supporting industry governance, market conventions, 

codes of conduct, and industry representation to BBSW, the central benchmark rate for financial 

markets in Australia. BBSW is calculated using live and executable prices in the market for Prime 

Bank Eligible Securities. AFMA continuously monitors BBSW to ensure it remains current and 

responsive to changing market conditions. BBSW benchmark rates represent the midpoint of 

the nationally observed Best Bid and Offer (NBBO) for AFMA Prime Bank Eligible Securities, 

comprised of bank accepted bills (approximately 15%) and negotiable certificates of deposit 

issued by banks(approximately 85%), that have a remaining maturity of between one and six 

months. Trading in these markets by participants is regulated by the Australian Securities and 

Investments Commission (ASIC). Calculation methodology for the benchmark rates, described in 

the BBSW Benchmark Rate Conventions, relies on live executable bids and offers in Prime Bank 

Eligible Securities mechanically collected from approved trading venues at three intervals 

surrounding 10:00 a.m. (local Sydney time) with the best bid and best offer at each interval 

averaged to form the midpoint NBBO and the average of all good midpoint NBBO samples 

becoming the BBSW for the respective tenor. The average of all good NBBO midpoint samples, 

rounded to four decimal places, are published at approximately 10:15 a.m. on Thomson Reuters 
Office of the Secretariat

December 31, 2015

Submission No. 15-13

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

page BBSW, and on Bloomberg LLP page ‘AFMB’ as the BBSW benchmark rate, for each tenor. 

More information regarding BBSW’s methodology is available at 

http://www.afma.com.au/data/bbsw/BBSW%20Guide.pdf.

• The reference price for the floating leg of the Canadian Dollar Offered Rate for CAD CDOR

(“CDOR”). CDOR is a key industry-determined financial benchmark. CDOR is the recognized 

financial benchmark for bankers’ acceptances (committed lending rates) with a term to maturity 

of up to a year. CDOR is calculated and administered by Thomson Reuters Benchmark Services 

Limited (“TRBSL”), determined daily for one, two, three, six month and one year terms based on 

a survey of bid-side rates provided by seven principal market-makers, including the major 

Canadian banks. CDOR is overseen by the Office of the Superintendent of Financial Institutions 

(OSFI), Government of Canada. The benchmark survey is conducted each business day at 10:00 

a.m. local Montreal time and published on Reuters Screen CDOR by 10:15 a.m. The high and the 

low rates taken from the survey are removed and a simple arithmetic average is calculated for 

the remaining survey rates. High and low bid prices are excluded to minimize any bias in the 

results. CDOR is calculated on an annual basis for a 365-day year. 

Because the reference rates are based on LIBOR, EURIBOR, BBSW, and CDOR, rates that are derived from 

third-parties (not the Javelin SEF’s Participants) and are each subject to an auditable process by the IBA, 

EMMI, AFMA, and OSFI, the Contract is not readily subject to manipulation. 

b. Conditions that Prevent LCH 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 LCH 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 make it difficult for an attempt by a single market 

participants or group or markets participants to manipulate the LIBOR reference price to go undetected. 

Since all of the LCH 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 LCH 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. 

c. Settlement Procedure 

LCH IRS Products that will be traded on the Javelin SEF are cased settled at the applicable Clearing House. 

Currently LCH IRS Products will be cleared by the LCH.Clearnet Limited and/or LCH Clearnet LLC (“LCH”). 

The procedures used by the LCH to settle LCH IRS Products is stated in LCH Rules (LCH Rules are available 
Office of the Secretariat

December 31, 2015

Submission No. 15-13

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

at www.lch.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 LCH 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 22, 2014December 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. 14-1215-131

To Whom It May Concern, 

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

“Commission”), pursuant to Commission Regulation 40.26, of its revised product listing of Javelin SEF 

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

(the “Submission”). Javelin SEF is amending its LCH IRS Products to include Package Trades as a new 

Trade Type2.separately describe IRS reference prices, 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 LCH IRS Products specifications

2. An explanation and analysis of the LCH 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 LCH IRS Products with the Commission.

1. Summary of Terms of the LCH 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.

 1 This product listing submission revises Javelin SEF’s submission 14-12. 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

October 15, 2013

December 31, 2015

Submission No. 15-13-05R

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

Currency Units US Dollar, (USD), British Pounds, Sterling (GBP), Euros (EUR), Swiss Franc (CHF), 

Japanese Yen (JPY), Australian Dollars (AUD) and Canadian Dollars (CAD).

Floating Rate

Index

• USD LIBOR, Sterling

• GBP LIBOR,

• EUR EURIBOR

• CHF LIBOR

• JPY LIBOR

• AUD BBSW

• CAD CDOR

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, (USD), TARGET3 (EUR, CHF)4

, Tokyo 

(JPY), Sydney (AUD), Toronto (CAD).

• Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Modified Following without adjustment 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, (USD), London (GBP), TARGET (EUR

and CHF), Tokyo (JPY), Sydney (AUD), Toronto (CAD).

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

Express Transfer system) is open.

4 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

October 15, 2013

December 31, 2015

Submission No. 15-13-05R

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

• Business Day Conventions: Following, Modified Following with adjustment 

to period end dates & Modified Following without adjustment to 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 day to 31 years.30 days to 50 years (USD, EUR, and GBP); 

and from 30 days to 30 years (CHF, JPY, AUD, and CAD).

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.

• CHF: The LIBOR Fixing Date is 2 business days prior to the floating effective 

date.

• JPY: The LIBOR Fixing Date is 2 business days prior to the floating effective 

date.

• AUD: The BBSW Fixing Date is the same day as the floating effective date.

• CAD: The CDOR Fixing Date is the same day as 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:
Office of the Secretariat

October 15, 2013

December 31, 2015

Submission No. 15-13-05R

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

• 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”; interest rate swaps with US Treasury Bond

• IMM5

; 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 indexesindices

• “Package Trades”: Combination of Interest rate swaps

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 pm as stated in 

Javelin SEF Rule 502

Clearing Venue LCH.Clearnet Limited 

LCH.Clearnet LLC 

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 LCH IRS Products’ Compliance with SEF Core Principles

We have reviewed the SEF Core Principles and have identified that the listing of LCH 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 LCH IRS Products complies with the Commodity Exchange Act 

and SEF Core Principle 3. 

a. The Reference Price isPrices are not Readily Susceptible to Manipulation

The reference priceprices for the floating leg of LCH IRS Products is theare as follows:

 5 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

October 15, 2013

December 31, 2015

Submission No. 15-13-05R

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

• The reference price for the floating leg of the USD, GPB, CHF and YEN LCH IRS products is the 

London Interbank Offered Rate for USD LIBOR, Sterling LIBOR, CHF LIBOR and EURIBOR YEN

LIBOR (“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 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 liborLIBOR pricing provided 

by IBA is known as the ICE LIBOR. The reference price for the floating leg of the USD, GPB, CHF 

and YEN LCH IRS product is the USD, GPB, CHF and YEN London Interbank Offered Rate (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 is available at www.theice.com/iba. 

• The reference price for the floating leg of the Euro LCH IRS product is the Interbank Offered Rate 

for Euro EURIBOR (“EURIBOR”). EURIBOR is the rate at which euro interbank term deposits are 

offered by one prime bank to another within the euro zone. Historically, EURIBOR is calculated 

each day at 11:00 a.m. (CET) for spot value (T+2) and on actual/360 day basis.by the European 

Money Markets Institute, (EMMI). Founded in 1999 with the launch of the euro and based in 

Brussels, Belgian, EMMI’s EURIBOR panel consists of 23 contributors composed of banks from 

EU countries participating in the euro from the onset, banks from EU countries not participating 

in the euro from the onset and large International banks from non EU countries with important 

euro zone operations. Panel Bank contributors agree to a strict code of conduct and EMMI has 

published procedures for the selection of participating banks. Actual calculation of the EURIBOR 

is based on a representative sample of panel banks, produced for one, two and three weeks and 

for twelve maturities from one to twelve months, at which interbank term deposits, 

denominated in euro, are being offered within the euro zone between prime banks. Panel banks 

provide daily quotes of the rate, rounded to two decimal places and the average rate is 

calculated after the highest/lowest quotations (15% each side) are eliminated. EURIBOR is 

quoted for spot value (T+2) and on an actual/360 day-count convention, to three decimals. Once 

calculated, the EURIBOR® is instantaneously published by Reuters, Bloomberg and other 

information providers. More information on the specifics on how EURIBOR is calculated is 

available at http://www.emmi-benchmarks.eu/euribor-org.

• The reference price for the floating leg of the Australian Dollar LCH IRS product is the Bank Bill 

Swap Benchmark Rates (BBSW) overseen by the Australian Financial Markets Association 

(AFMA). The leading association promoting efficiency integrity and professionalism in 

Australia’s financial markets, AFMA has more than 130 members including Australian and 

international banks, brokers, securities companies, state government treasury corporations and 

other industry members. AFMA provides supporting industry governance, market conventions, 
Office of the Secretariat

October 15, 2013

December 31, 2015

Submission No. 15-13-05R

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

codes of conduct, and industry representation to BBSW, the central benchmark rate for financial 

markets in Australia. BBSW is calculated using live and executable prices in the market for Prime 

Bank Eligible Securities. AFMA continuously monitors BBSW to ensure it remains current and 

responsive to changing market conditions. BBSW benchmark rates represent the midpoint of 

the nationally observed Best Bid and Offer (NBBO) for AFMA Prime Bank Eligible Securities, 

comprised of bank accepted bills (approximately 15%) and negotiable certificates of deposit 

issued by banks(approximately 85%), that have a remaining maturity of between one and six 

months. Trading in these markets by participants is regulated by the Australian Securities and 

Investments Commission (ASIC). Calculation methodology for the benchmark rates, described in 

the BBSW Benchmark Rate Conventions, relies on live executable bids and offers in Prime Bank 

Eligible Securities mechanically collected from approved trading venues at three intervals 

surrounding 10:00 a.m. (local Sydney time) with the best bid and best offer at each interval 

averaged to form the midpoint NBBO and the average of all good midpoint NBBO samples 

becoming the BBSW for the respective tenor. The average of all good NBBO midpoint samples, 

rounded to four decimal places, are published at approximately 10:15 a.m. on Thomson Reuters 

page BBSW, and on Bloomberg LLP page ‘AFMB’ as the BBSW benchmark rate, for each tenor. 

More information regarding BBSW’s methodology is available at 

http://www.afma.com.au/data/bbsw/BBSW%20Guide.pdf.

• The reference price for the floating leg of the Canadian Dollar Offered Rate for CAD CDOR

(“CDOR”). CDOR is a key industry-determined financial benchmark. CDOR is the recognized 

financial benchmark for bankers’ acceptances (committed lending rates) with a term to maturity 

of up to a year. CDOR is calculated and administered by Thomson Reuters Benchmark Services 

Limited (“TRBSL”), determined daily for one, two, three, six month and one year terms based on 

a survey of bid-side rates provided by seven principal market-makers, including the major 

Canadian banks. CDOR is overseen by the Office of the Superintendent of Financial Institutions 

(OSFI), Government of Canada. The benchmark survey is conducted each business day at 10:00 

a.m. local Montreal time and published on Reuters Screen CDOR by 10:15 a.m. The high and the 

low rates taken from the survey are removed and a simple arithmetic average is calculated for 

the remaining survey rates. High and low bid prices are excluded to minimize any bias in the 

results. CDOR is calculated on an annual basis for a 365-day year. 

Because the reference rate isrates are based on LIBOR, a rateEURIBOR, BBSW, and CDOR, rates that isare

derived from a third-partyparties(not the Javelin SEF’s Participants) and isare each subject to an auditable 

process by the IBA, EMMI, AFMA, and OSFI, the Contract is not readily subject to manipulation. 

b. Conditions that Prevent LCH 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. .
Office of the Secretariat

October 15, 2013

December 31, 2015

Submission No. 15-13-05R

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

The profound depth to the interest rate swap market protects the LCH 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 make it difficult for an attempt by a single market 

participants or group or markets participants to manipulate the LIBOR reference price to go undetected. 

Since all of the LCH 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 LCH 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. 

c. Settlement Procedure 

LCH IRS Products that will be traded on the Javelin SEF are cased settled at the applicable Clearing House. 

Currently LCH IRS Products will be cleared by the LCH.Clearnet Limited and/or LCH Clearnet LLC (“LCH”). 

The procedures used by the LCH to settle LCH IRS Products is stated in LCH Rules (LCH Rules are available 

at www.lch.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 LCH 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