SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-493

Organization: NEX SEF Limited ("NEX SEF")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 11/16/22 Filing Description: Initial Listing of New Taiwan Dollar (TWD)

Non-Deliverable Interest Rate Swap Contract

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: Rule Numbers:
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

November 16, 2022

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.2(a) Certification. Initial Listing of New Taiwan Dollar (TWD)

Non-Deliverable Interest Rate Swap Contract.

NEX SEF Submission No. 22-493

Dear Mr. Kirkpatrick:

NEX SEF Limited (“NEX SEF”), a registered Swap Execution Facility (“SEF”), is certifying to the Commodity 

Futures Trading Commission (“CFTC” or “Commission”) the initial listing of the New Taiwan dollar (TWD) NonDeliverable Interest Rate Swap contract (the “Contract”) for trading effective on November 21, 2022.

Specifically, NEX SEF is adopting amendments to Rule 802(4) (“Non-Deliverable Swaps”) to facilitate the listing 

the Contract for trading. Exhibit A below sets forth Rule 802(4) with additions underscored.

NEX SEF reviewed the SEF core principles (“Core Principles”) as set forth in the Commodity Exchange Act 

(“CEA” or “Act”) and identified that listing the Contract may have some bearing on the following Core Principles:

• Compliance with Rules: Trading in the Contract will be subject to all Rules of NEX SEF, 

including the rules on trading procedures set forth in Chapter 3 of its rulebook, the 

prohibitions against fraudulent, noncompetitive, unfair and abusive practices as outlined in 

Chapter 4 of its rulebook, and the dispute resolution and arbitration procedures of Chapter 

5 of its rulebook. As with all products listed for trading on NEX SEF, trading activity in the 

Contracts will be subject to monitoring and surveillance by NEX SEF’s market regulation 

staff, which has the authority to exercise its investigatory and enforcement power where 

potential rule violations are identified.

• Swaps Not Readily Subject to Manipulation: The Contract is not readily subject to 

manipulation because of the underlying market and reliance on a well administered index. 

Further analysis of this matter is set forth on Appendix B attached hereto. 

• Availability to Obtain Information: NEX SEF will publish on its website information in 

regard to contract specifications, terms, and conditions, as well as daily trading volume and 

price information for the Contract. In addition, NEX SEF will advise the marketplace of the 

launch of the Contract by releasing a notice to its participants.

• Timely Publication of Trading Information: NEX SEF will publish contract trading volumes 

and price information daily on its website.

• Monitoring of Trading and Trade Processing: Trading in the Contract will be subject to the 

Rules of NEX SEF which include prohibitions on manipulation, price distortion, and disruption 

to the cash settlement process. As with any contract listed for trading on NEX SEF, trading 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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activity in the trading activity in the Contract will be subject to monitoring and surveillance by 

NEX SEF’s market regulation staff. 

• Timely Publication of Trading Information: NEX SEF will publish contract trading volumes 

and price information daily on its website.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.2(a), NEX SEF hereby certifies that listing the 

Contract and the Rule Amendments comply with the Act, including regulations under the Act. There were no 

substantive opposing views to the proposal. 

NEX SEF certifies that this submission has been concurrently posted on its website at 

http://www.cmegroup.com/market-regulation/rule-filings.html.

If you require any additional information regarding this submission, please contact the undersigned at 212-299-

2000 or via email at CMEGSubmissionInquiry@cmegroup.com.

 

Sincerely,

 Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachment: Appendix A: NEX SEF Rulebook - Rule 802(4) (blackline format)
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Appendix A

NEX SEF Rulebook

(additions underscored)

****

Rule 802(4) — Non Deliverable Swaps

An ND IRS trade has many trade terms. For example, notional amount, fixed interest rate, floating rate, reference

rate, holiday convention, etc. The deal is agreed on the basis that net settlement will be made inUSD, or another 

fully convertible currency, to reflect any differential between the agreed fixed rate and theactual floating rate on 

the settlement dates. ND IRS are quoted as Offer/Bid. For ND IRS the fixed leg isquoted, hence it is Fixed

Income Swap.

ND IRS

o An agreement between two parties (known as counterparties) where one stream of future interest

payments is exchanged for another based on a specified principal amount. Interest rate swaps

often exchange a fixed payment for a floating payment that is linked to an interest rate (most often

the LIBOR, SOFR). The interest rate cash flows are net settled in a major currency on fixing date.

A company will typically use interest rate swaps to limit or manage exposure to fluctuations in 

interest rates, or to obtain a marginally lower interest rate than it would havebeen able to get

without the swap.

o Interest rate swaps are simply the exchange of one set of cash flows (based on interest rate

specifications) for another. Because they trade OTC, they are really just contracts set up

between two or more parties, and thus can be customized in any number of ways.

Currencies

MYR CNY

KRW THB

TWD

Specifications

Trading Conventions

o Buyer (Payer) pays fixed interest rate and receives floating interest rate.

o Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg Conventions

o The terms of Non Deliverable Swaps are based on a number of combinations of the criteria

below.

▪ Fixed Leg

• Payment Frequency

o Weekly, Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denotedfor

the instrument

• Business Day Convention

o Modified following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it will 

be the next day that is a business day on both calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

▪ Floating Leg

• Reset Frequency
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o Weekly, Monthly or Quarterly

Effective Date

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,Actual 

Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denotedfor

the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it will 

be the next day that is a business day on both calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

• Interest Rate Benchmark

o KLIBOR

o SOFR

o CNREPOFIX

o KRW-CD-KSDA-Bloomberg

o THBFIX

o CNY-Fixing Repo Rate

o KRW-CD 91D

o The first date from which fixed and floating interest amounts accrue. It is also referred to as

the Start Date or the Value Date. The Effective Date of the Swap must be a business day

subject to the appropriate Business Day Convention.

Trade Start Type

o Spot Starting.

▪ A swap whose Effective Date is 2 business days from the Trade 

Date(T+2).

o Forward Starting

▪ A swap whose Effective Date is anything after the Effective Date for 

aSpot Starting swap.

Maturity Date

o The final date until which Fixed and Floating amounts accrue

Tenor

o The duration of time from the Effective Date to the Maturity Date. Tenors of any duration,

greater than 0 months to 3 months.

Roll Day Convention

o The date used for determining all fixed and floating Reset Dates. Roll Days define

thebeginning and end of Fixed and Floating interest accrual periods.

▪ For On-the-Run Contracts, the Roll Day is the same date of the month 

asthe Effective Date.

▪ For Off-the-Run Contracts, it can be any date of the month, subject to the

provisions of the Business Day Convention

o Roll Day marks the start of a new interest accrual period, and is the date on which a

ResetRate takes effect.

Trade Types

o The Platform may support the following trade types:

▪ Outrights

• An Outright swap is where one party is the payer of the fixed 
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rateand receiver of the floating rate and the other party is the

receiver of the fixed fate and payer of the floating rate.

Clearing

o Non Deliverable Swaps traded on NEX SEF are generally not cleared; however, Contracts 

forKRW and THB are clearable at the election of the counterparties on the Effective Date.