January 24, 2024

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 40.2 Certification of Commodity Index Swaps – BofA 

Merrill Lynch MLCX6CTV Excess Return Strategy (tpSEF Submission #24-01P)

Dear Mr. Kirkpatrick: 

tpSEF Inc. (“tpSEF”) hereby notifies the Commodity Futures Trading Commission (the 

“Commission”) of its intent to list Commodity Index Swaps -- BofA Merrill Lynch MLCX6CTV 

Excess Return Strategy (the “Contract”) on tpSEF’s swap execution facility. tpSEF intends to list 

this Contract on January 26, 2024.

Pursuant to Commission Regulation 40.2, this submission includes:

i. The intended listing date – January 26, 2024;

ii. A certification by tpSEF that: (a) the Contract complies with the Commodity 

Exchange Act, as amended, and the Commission regulations thereunder; and 

(b) concurrent with this submission, tpSEF posted on its website: (i) a notice of 

pending certification of the Contract, and (ii) a copy of this submission, attached 

as Exhibit A;

iii. The terms and conditions of the Contract, attached as Exhibit B; and

iv. An explanation and analysis of the Contract’s compliance with applicable core 

principles and Commission regulations, attached as Exhibit C.

tpSEF is listing the Contract by virtue of updating the terms and conditions of Commodity Index 

Swaps originally submitted to the Commission for self-certification pursuant to Commission 
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 2

Regulation 40.2 on May 23, 2019, and last updated August 21, 2023. A copy of the terms and 

conditions marked to show changes from the version submitted on August 17, 2023 is attached 

as Exhibit D.

Questions regarding this submission should be directed to Brian Donnelly, Chief Compliance 

Officer, at (201) 984-6956 or by email at bddonnelly@tullettprebon.com.

Very truly yours,

tpSEF Inc.

By: __________________________

Name: Brian D. Donnelly

Title: Chief Compliance Officer

Date: January 24, 2024

Enclosures

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

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

January 24, 2024

Page 3

EXHIBIT A

CERTIFICATIONS PURSUANT TO SECTION 5c OF THE COMMODITY EXCHANGE 

ACT, 7 U.S.C. §7A-2 AND COMMODITY FUTURES TRADING COMMISSION 

REGULATION 40.2, 17 C.F.R. §40.2

tpSEF Inc. (“tpSEF”) hereby certifies that: (i) Commodity Index Swaps -- BofA Merrill Lynch 

MLCX6CTV Excess Return Strategy (the “Contract”) complies with the Commodity Exchange 

Act, 7 U.S.C. §1 et seq. and Commodity Futures Trading Commission (“Commission”) 

regulations thereunder; and (ii) concurrent with this submission, tpSEF posted on its website: (a) 

a notice of pending certification of the Contract with the Commission and (b) a copy of this 

submission.

tpSEF Inc.

By: __________________________

Name: Brian D. Donnelly

Title: Chief Compliance Officer

Date: January 24, 2024
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 4

EXHIBIT B

Terms and Conditions

Summary: This covers commodity index swaps (each, a 

“Commodity Index Swap”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Index

ISDA OTC Transaction type: Swap

ISDA OTC Settlement type: Cash

Terms:

Trade Date: The date on which the contract is entered into.

Effective Date: As specified by the parties.

Termination Date: As specified by the parties.

Commodity: The index specified by the parties from among the 

indices listed in the table below titled “Commodity Index 

Swap Available Indices.”

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties.

Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties, expressed as a rate or overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Floating Price: In relation to each Calculation Period, the level of the 

specified Available Commodity Index at the end of the

such Calculation Period less the level of the specified 

Available Commodity Index at the start of the such 

Calculation Period, the result of which is divided by the 

level of the specified Available Commodity Index at the 

start of the such Calculation Period.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 5

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Minimum and Incremental Price: (i) The minimum price is $10,000,000 and the minimum 

incremental price is $1,000,000, or (ii) in the case of the 

CRU US Midwest Hot-Rolled Coil Steel Index, the 

minimum price is $0.01 per short ton and the minimum 

incremental price is $0.001 per short ton.

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Commodity Indices

Abbr Name

BCOM BCOM ER

BCOMCT6 Bloomberg Cotton Subindex 6 Month Forward

BCOMF1 BCOM F1 ER

BCOMF2 BCOM F2 ER

BCOMF3 BCOM F3 ER

BCOMF4 BCOM F4 ER

BCOMF5 BCOM F5 ER

BCOMF6 BCOM F6 ER

BCOMAG BCOM Agriculture ER

BCOMEN BCOM Energy ER

BCOMGR BCOM Grains ER

BCOMIN BCOM Industrial Metals ER

BCOMLI BCOM Livestock ER

BCOMPE BCOM Petroleum ER

BCOMPR BCOM Precious Metals ER

BCOMSO BCOM Softs ER

BCOMXAG BCOM ex-Agriculture ER

BCOMXAL BCOM ex-Agriculture and Livestock ER

BCOMXE BCOM ex-Energy ER

BCOMXGR BCOM ex-Grains ER

BCOMXIM BCOM ex-Industrial Metals ER

BCOMXLI BCOM ex-Livestock ER

BCOMXPE BCOM ex-Petroleum ER

BCOMXPM BCOM ex-Precious Metals ER

BCOMXSO BCOM ex-Softs ER

BCOMAL BCOM Aluminum ER

BCOMCO BCOM Brent Crude ER

BCOMCO2 BCOM Brent Crude Subindex 2 Month Forward

BCOMCO3 BCOM Brent Crude Subindex 3 Month Forward

BCOMCC BCOM Cocoa ER

BCOMKC BCOM Coffee ER

BCOMHG BCOM Copper ER
Mr. Christopher J. Kirkpatrick

January 24, 2024

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Abbr Name

BCOMCN BCOM Corn ER

BCOMCT BCOM Cotton ER

BCOMFC BCOM Feeder Cattle ER

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER

BCOMHO BCOM Heating Oil ER

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER

BCOMLC BCOM Live Cattle ER

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER

BCOMOJ BCOM Orange Juice ER

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER

BCOMSI BCOM Silver ER

BCOMSM BCOM Soybean Meal ER

BCOMSM1 Bloomberg Soybean Meal Subindex 1 Month Forward

BCOMBO BCOM Soybean Oil ER

BCOMSY BCOM Soybeans ER

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER

BCOMRB BCOM Unleaded Gas ER

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER

BCOMCL BCOM WTI Crude Oil ER

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER

BCOMEU BCOM EUR ER

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER

BCOMJY BCOM JPY ER

BCOMALC BCOM Aluminum Capped ER

BCOMKCC BCOM Coffee Capped ER

BCOMHGC BCOM Copper Capped ER

BCOMCLC BCOM WTI Crude Oil Capped ER

BCOMCNC BCOM Corn Capped ER

BCOMLCC BCOM Cattle Capped ER

BCOMCTC BCOM Cotton Capped ER

BCOMGCC BCOM Gold Capped ER

BCOMLHC BCOM Lean Hogs Capped ER
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 7

Abbr Name

BCOMHOC BCOM Heating Oil Capped ER

BCOMKWC BCOM Kansas Wheat Capped ER

BCOMCOC BCOM Brent Crude Capped ER

BCOMNGC BCOM Natural Gas Capped ER

BCOMNIC BCOM Nickel Capped ER

BCOMSYC BCOM Soybeans Capped ER

BCOMBOC BCOM Soybean Oil Capped ER

BCOMSIC BCOM Silver Capped ER

BCOMSBC BCOM Sugar Capped ER

BCOMSMC BCOM Soybean Meal Capped ER

BCOMRBC BCOM Unleaded Gas Capped ER

BCOMWHC BCOM Wheat Capped ER

BCOMZSC BCOM Zinc Capped ER

BCOMTR BCOM TR

BCOMF1T BCOM F1 TR

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR

BCOMF4T BCOM F4 TR

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR

BCOMRS BCOM Roll Select

CRUHRCS CRU US Midwest Hot-Rolled Coil Steel

DJCICN Dow Jones Commodity Index Corn

DJCISB Dow Jones Commodity Index Sugar

DJCILC Dow Jones Commodity Index Live Cattle

DJCIAW Dow Jones Commodity Index All Wheat

MLCX6CTV BofA Merrill Lynch MLCX6CTV Excess Return Strategy

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil

SPGCBR S&P GSCI Brent Crude

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil

SPGCCN S&P GSCI Corn

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle

SPGCGC S&P GSCI Gold

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper

SPGCHO S&P GSCI Heating Oil

SPGCHU S&P GSCI Unleaded Gasoline
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 8

Abbr Name

SPGCIA S&P GSCI Aluminum

SPGCIC S&P GSCI Copper

SPGCIK S&P GSCI Nickel

SPGCIL S&P GSCI Lead

SPGCIN S&P GSCI Industrial Metals

SPGCIZ S&P GSCI Zinc

SPGCKC S&P GSCI Coffee

SPGCKW S&P GSCI Kansas Wheat

SPGCLC S&P GSCI Live Cattle

SPGCLH S&P GSCI Lean Hogs

SPGCNG S&P GSCI Natural Gas

SPGCPA S&P GSCI Palladium

SPGCPL S&P GSCI Platinum

SPGCSB S&P GSCI Sugar

SPGCSI S&P GSCI Silver

SPGCSO S&P GSCI Soybeans

SPGCWH S&P GSCI Wheat

SPGSES S&P GSCI Enhanced Commodity

SPGSSM S&P GSCI Soybean Meal

SPGCCIP S&P GSCI ER

SPGCBRP S&P GSCI Brent Crude ER

SPGCCCP S&P GSCI Cocoa ER

SPGCCLP S&P GSCI Crude Oil ER

SPGCCNP S&P GSCI Corn ER

SPGCCTP S&P GSCI Cotton ER

SPGCENP S&P GSCI Energy ER

SPGCFCP S&P GSCI Feeder Cattle ER

SPGCGCP S&P GSCI Gold ER

SPGCGOP S&P GSCI Gasoil ER

SPGCHGP S&P GSCI North American Copper ER

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER

SPGCIAP S&P GSCI Aluminum ER

SPGCICP S&P GSCI Copper ER

SPGCIKP S&P GSCI Nickel ER

SPGCILP S&P GSCI Lead ER

SPGCINP S&P GSCI Industrial Metals ER

SPGCNGP S&P GSCI Natural Gas ER

SG3MCI S&P GSCI 3 Month Forward
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 9

EXHIBIT C

EXPLANATION AND ANALYSIS OF THE CONTRACTS’ COMPLIANCE WITH 

APPLICABLE CORE PRINCIPLES AND COMMISSION REGULATIONS

As required by Commodity Futures Trading Commission (“Commission”) Regulation 40.2(a), the 

following analysis, in narrative form, demonstrates that Commodity Index Swaps (the “Contracts”) are 

consistent with the requirements of the Commodity Exchange Act, as amended (the “Act”), and the 

Commission regulations and guidance thereunder (in particular, Appendix B to Part 37 and Appendix C 

to Part 38).

Appendix B to Part 37

CORE PRINCIPLE 3 OF SECTION 5H OF THE ACT—SWAPS NOT READILY SUSCEPTIBLE TO 

MANIPULATION; CORE PRINCIPLE 4 OF SECTION 5H OF THE ACT—MONITORING OF TRADING AND 

TRADE PROCESSING 

The swap execution facility shall permit trading only in swaps that are not readily susceptible to 

manipulation.

(a) Guidance. 

(1) In general, a swap contract is an agreement to exchange a series of cash flows over a period of 

time based on some reference price, which could be a single price, such as an absolute level or a 

differential, or a price index calculated based on multiple observations. Moreover, such a reference 

price may be reported by the swap execution facility itself or by an independent third party. When 

listing a swap for trading, a swap execution facility shall ensure a swap’s compliance with Core 

Principle 3, paying special attention to the reference price used to determine the cash flow 

exchanges. Specifically, Core Principle 3 requires that the reference price used by a swap not be 

readily susceptible to manipulation. As a result, when identifying a reference price, a swap 

execution facility should either: Calculate its own reference price using suitable and wellestablished acceptable methods or carefully select a reliable third-party index.

(2) The importance of the reference price’s suitability for a given swap is similar to that of the final 

settlement price for a cash-settled futures contract. If the final settlement price is manipulated, then 

the futures contract does not serve its intended price discovery and risk management functions. 

Similarly, inappropriate reference prices cause the cash flows between the buyer and seller to differ 

from the proper amounts, thus benefitting one party and disadvantaging the other. Thus, careful 

consideration should be given to the potential for manipulation or distortion of the reference price.

The Contracts, commodity index swaps, are cash-settled agreements between two counterparties to

exchange a fixed price for a floating price based on a specified commodity index at one or more specified

dates. The fixed leg is thus determined at the start of a Contract and remains unchanged throughout the

life of the swap. The floating leg, however, is based on the level of the relevant commodity index during

the calculation period. 
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 10

The Contracts are not susceptible to manipulation for a number of reasons. First, all of the essential terms

of the Contracts, other than the floating price, are agreed to at the Effective Date of the Contract. Second,

the floating price is based on a publicly available and well-known commodity benchmark index 

maintained by a third party. The relevant commodity index is based on comprehensive, well-established

and transparent rules that govern, among other things, the selection of the futures contracts included in the 

index, the rebalancing of the index, the calculation procedures and timing of the pricing of the index. In 

addition, the relevant commodity index is comprised of futures contracts on physical commodities which 

makes the market for the commodity index itself deep and liquid. Finally, tpSEF Inc. (“tpSEF”) has 

established rules and an enforcement infrastructure to prevent manipulation. tpSEF staff conduct real-time 

market surveillance and the National Futures Association (“NFA”) provides regulatory services on a T+1 

basis. NFA’s services include comprehensive trade practice and market surveillance services (the scope of 

which can be found in the Regulatory Services Agreement between NFA and tpSEF submitted to the 

Commission as part of tpSEF’s swap execution facility application) (note that the foregoing also

demonstrates compliance with Core Principle 4).

(3) For swaps that are settled by physical delivery or by cash settlement refer to the guidance in 

Appendix C to Part 38 of this chapter—Demonstration of Compliance that a Contract is not 

Readily Susceptible to Manipulation, section b(2) and section c(4), respectively. 

Please see below.

Appendix C to Part 38 - Demonstration of Compliance That a Contract Is Not Readily Susceptible 

to Manipulation 

(c) Futures Contracts Settled by Cash Settlement. (1) Cash settlement is a method of settling certain 

futures or option contracts whereby, at contract expiration, the contract is settled by cash payment 

in lieu of physical delivery of the commodity or instrument underlying the contract. An acceptable 

specification of the cash settlement price for commodity futures and option contracts would include 

rules that fully describe the essential economic characteristics of the underlying commodity (e.g., 

grade, quality, weight, class, growth, issuer, maturity, source, rating, description of the underlying 

index and index's calculation methodology, etc.), as well as how the final settlement price is 

calculated. In addition, the rules should clearly specify the trading months and hours of trading, the 

last trading day, contract size, minimum price change (tick size) and any limitations on price 

movements (e.g., price limits or trading halts). 

Essential Economic Characteristics of the Contract Terms

The terms and conditions of the Contracts match the terms of commodity index swaps that are commonly 

offered in the market and are listed in Exhibit B.

Calculation of Cash Settlement Price

The cash settlement price will be calculated in the following manner: 

The floating amount payer will pay any appreciation in the level of the index (expressed as a percentage)

times the notional quantity per calculation period.

The floating amount receiver will pay any depreciation in the level of the index (expressed as a

percentage) times the notional quantity per calculation period plus the product of a fixed rate times the
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 11

notional quantity per calculation period.

(2) Cash settled contracts may be susceptible to manipulation or price distortion. In evaluating the 

susceptibility of a cash-settled contract to manipulation, a designated contract market should 

consider the size and liquidity of the cash market that underlies the listed contract in a manner that 

follows the determination of deliverable supply as noted above in (b)(1). In particular, situations 

susceptible to manipulation include those in which the volume of cash market transactions and/or 

the number of participants contacted in determining the cash-settlement price are very low. Cashsettled contracts may create an incentive to manipulate or artificially influence the data from which 

the cash-settlement price is derived or to exert undue influence on the cash-settlement price's 

computation in order to profit on a futures position in that commodity. The utility of a cash-settled 

contract for risk management and price discovery would be significantly impaired if the cash 

settlement price is not a reliable or robust indicator of the value of the underlying commodity or 

instrument. Accordingly, careful consideration should be given to the potential for manipulation or 

distortion of the cash settlement price, as well as the reliability of that price as an indicator of cash 

market values. Appropriate consideration also should be given to the commercial acceptability, 

public availability, and timeliness of the price series that is used to calculate the cash settlement 

price. Documentation demonstrating that the settlement price index is a reliable indicator of 

market values and conditions and is commonly used as a reference index by industry/market agents 

should be provided. Such documentation may take on various forms, including carefully 

documented interview results with knowledgeable agents.

The Contracts operate in a liquid market with numerous participants. Also, the cash settlement price is not 

easily susceptible to manipulation or distortion since, as to the index-based component, the composition 

of the index is announced by the index sponsor, as to the dividend leg, the dividends paid are announced 

by the issuer, and, in the case of the fixed or floating rate leg, the method of determining the price is based 

on factors that are fixed at the start of a Contract (i.e., payment frequency, day count conventions, fixed 

interest rate, floating reset dates) and the applicable reference rate. Each of the available indices is widely 

accepted by market participants and data is readily accessible through numerous news outlets.

(3) Where an independent, private-sector third party calculates the cash settlement price series, a 

designated contract market should consider the need for a licensing agreement that will ensure the 

designated contract market's rights to the use of the price series to settle the listed contract. 

(i) Where an independent, private-sector third party calculates the cash settlement price series, the 

designated contract market should verify that the third party utilizes business practices that 

minimize the opportunity or incentive to manipulate the cash-settlement price series. Such 

safeguards may include lock-downs, prohibitions against derivatives trading by employees, or 

public dissemination of the names of sources and the price quotes they provide. Because a cashsettled contract may create an incentive to manipulate or artificially influence the underlying 

market from which the cash-settlement price is derived or to exert undue influence on the cashsettlement computation in order to profit on a futures position in that commodity, a designated 

contract market should, whenever practicable, enter into an information-sharing agreement with 

the third-party provider which would enable the designated contract market to better detect and 

prevent manipulative behavior.

As described above, the cash settlement price is calculated through a cash settlement method that

is not easily susceptible to manipulation.
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 12

(ii) Where a designated contract market itself generates the cash settlement price series, the 

designated contract market should establish calculation procedures that safeguard against potential 

attempts to artificially influence the price. For example, if the cash settlement price is derived by 

the designated contract market based on a survey of cash market sources, the designated contract 

market should maintain a list of such entities which all should be reputable sources with knowledge 

of the cash market. In addition, the sample of sources polled should be representative of the cash 

market, and the poll should be conducted at a time when trading in the cash market is active.

Please see above regarding the calculation of the cash settlement price.

(iii) The cash-settlement calculation should involve computational procedures that eliminate or 

reduce the impact of potentially unrepresentative data. 

(iv) The cash settlement price should be an accurate and reliable indicator of prices in the 

underlying cash market. The cash settlement price also should be acceptable to commercial users of

the commodity contract. The registered entity should fully document that the settlement price is 

accurate, reliable, highly regarded by industry/market agents, and fully reflects the economic and 

commercial conditions of the relevant designated contract market.

Please see above regarding the calculation of the cash settlement price.

(v) To the extent possible, the cash settlement price should be based on cash price series that are 

publicly available and available on a timely basis for purposes of calculating the cash settlement 

price at the expiration of a commodity contract. A designated contract market should make the 

final cash settlement price and any other supporting information that is appropriate for release to 

the public, available to the public when cash settlement is accomplished by the derivatives clearing 

organization. If the cash settlement price is based on cash prices that are obtained from non-public 

sources (e.g., cash market surveys conducted by the designated contract market or by third parties 

on behalf of the designated contract market), a designated contract market should make available 

to the public as soon as possible after a contract month's expiration the final cash settlement price 

as well as any other supporting information that is appropriate or feasible to make available to the 

public.

The various index levels are readily available via a number of sources. 

(4) Contract terms and conditions requirements for futures contracts settled by cash settlement. 

(i) An acceptable specification of the terms and conditions of a cash-settled commodity contract will 

also set forth the trading months, last trading day, contract size, minimum price change (tick size) 

and daily price limits, if any.

Please see Exhibit B for the Contracts’ terms and conditions.

(A) Commodity Characteristics: The terms and conditions of a commodity contract should describe 

the commodity underlying the contract. 

The terms and conditions of the Contract specifically list the commodities on which counterparties can 

choose to base the Contract. 
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 13

(B) Contract Size and Trading Unit: An acceptable specification of the trading unit would be a 

contract size that is consistent with customary transactions in the cash market. A designated 

contract market may opt to set the contract size smaller than that of standard cash market 

transactions. 

The size of each Contract is consistent with customary transaction sizes in the market.

(C) Cash Settlement Procedure: The cash settlement price should be reliable, acceptable, publicly 

available, and reported in a timely manner as described in paragraphs (c)(3)(iv) and (c)(3)(v) of this 

appendix C. 

The cash settlement procedure and an explanation of how, in the context of these Contracts, it is not 

readily susceptible to manipulation, is described above.

(D) Pricing Basis and Minimum Price Fluctuation (Minimum Tick): The minimum price increment 

(tick) should be set a level that is equal to, or less than, the minimum price increment commonly 

observed in cash market transactions for the underlying commodity. Specifying a futures’ 

minimum tick that is greater than the minimum price increment in the cash market can undermine 

the risk management utility of the futures contract by preventing hedgers from efficiently 

establishing and liquidating futures positions that are used to hedge anticipated cash market 

transactions or cash market positions. 

As agreed between counterparties.

(E) Maximum Price Fluctuation Limits: Designated contract markets may adopt price limits to: (1) 

Reduce or constrain price movements in a trading day that may not be reflective of true market 

conditions but might be caused by traders overreacting to news; (2) Allow additional time for the 

collection of margins in times of large price movements; and (3) Provide a “cooling-off” period for 

futures market participants to respond to bona fide changes in market supply and demand 

fundamentals that would lead to large cash and futures price changes. If price-limit provisions are 

adopted, the limits should be set at levels that are not overly restrictive in relation to price 

movements in the cash market for the commodity underlying the futures contract. For broad-based 

stock index futures contracts, rules should be adopted that coordinate with New York Stock 

Exchange (“NYSE”) declared Circuit Breaker Trading Halts (or other market coordinated Circuit 

Breaker mechanism) and would recommence trading in the futures contract only after trading in 

the majority of the stocks underlying the index has recommenced.

As agreed between counterparties.

(F) Last Trading Day: Specification of the last trading day for expiring contracts should be 

established such that it occurs before publication of the underlying third-party price index or 

determination of the final settlement price. If the designated contract market chooses to allow 

trading to occur through the determination of the final settlement price, then the designated 

contract market should show that futures trading would not distort the final settlement price 

calculation.

The last trading day will be the last day of the calculation period, which is set by the individual 

counterparties. 
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 14

(G) Trading Months: Trading months should be established based on the risk management needs of 

commercial entities as well as the availability of price and other data needed to calculate the cash 

settlement price in the specified months. Specification of the last trading day should take into 

consideration whether the volume of transactions underlying the cash settlement price would be 

unduly limited by occurrence of holidays or traditional holiday periods in the cash market. 

Moreover, a contract should not be listed past the date for which the designated contract market 

has access to use a proprietary price index for cash settlement. 

Payments are settled in accordance with the payment frequency of the particular Contract, which is a 

flexible term.

(H) Speculative Limits: Specific rules and policies for speculative position limits are set forth in part 

150 and/or part 151, as applicable, of the Commission's regulations.

None required by Parts 150 or 151.

(I) Reportable Levels: Refer to § 15.03 of the Commission's regulations. 

tpSEF will adhere to the applicable reporting levels set forth in § 15.03 of the Commission’s regulations.

(J) Trading Hours: Should be set by the designated contract market to delineate each trading day. 

Each Contract is traded twenty-three hours a day from Sunday to Friday. The Contracts are not traded 

between 5:30 p.m. and 6:30 p.m. Eastern Time.
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 15

EXHIBIT D

Terms and Conditions

(Marked Against August 21, 2023 Version)

Summary: This covers commodity index swaps (each, a 

“Commodity Index Swap”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Index

ISDA OTC Transaction type: Swap

ISDA OTC Settlement type: Cash

Terms:

Trade Date: The date on which the contract is entered into.

Effective Date: As specified by the parties.

Termination Date: As specified by the parties.

Commodity: The index specified by the parties from among the 

indices listed in the table below titled “Commodity Index 

Swap Available Indices.”

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties.

Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties, expressed as a rate or overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Floating Price: In relation to each Calculation Period, the level of the 

specified Available Commodity Index at the end of the 

such Calculation Period less the level of the specified 

Available Commodity Index at the start of the such 

Calculation Period, the result of which is divided by the 

level of the specified Available Commodity Index at the 

start of the such Calculation Period.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 16

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Minimum and Incremental Price: (i) The minimum price is $10,000,000 and the minimum 

incremental price is $1,000,000.,or (ii) in the case of the 

CRU US Midwest Hot-Rolled Coil Steel Index, the 

minimum price is $0.01 per short ton and the minimum 

incremental price is $0.001 per short ton.

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Commodity Indices

Abbr Name

BCOM BCOM ER

BCOMCT6 Bloomberg Cotton Subindex 6 Month Forward

BCOMF1 BCOM F1 ER

BCOMF2 BCOM F2 ER

BCOMF3 BCOM F3 ER

BCOMF4 BCOM F4 ER

BCOMF5 BCOM F5 ER

BCOMF6 BCOM F6 ER

BCOMAG BCOM Agriculture ER

BCOMEN BCOM Energy ER

BCOMGR BCOM Grains ER

BCOMIN BCOM Industrial Metals ER

BCOMLI BCOM Livestock ER

BCOMPE BCOM Petroleum ER

BCOMPR BCOM Precious Metals ER

BCOMSO BCOM Softs ER

BCOMXAG BCOM ex-Agriculture ER

BCOMXAL BCOM ex-Agriculture and Livestock ER

BCOMXE BCOM ex-Energy ER

BCOMXGR BCOM ex-Grains ER

BCOMXIM BCOM ex-Industrial Metals ER

BCOMXLI BCOM ex-Livestock ER

BCOMXPE BCOM ex-Petroleum ER

BCOMXPM BCOM ex-Precious Metals ER

BCOMXSO BCOM ex-Softs ER

BCOMAL BCOM Aluminum ER

BCOMCO BCOM Brent Crude ER

BCOMCO2 BCOM Brent Crude Subindex 2 Month Forward

BCOMCO3 BCOM Brent Crude Subindex 3 Month Forward

BCOMCC BCOM Cocoa ER

BCOMKC BCOM Coffee ER
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 17

Abbr Name

BCOMHG BCOM Copper ER

BCOMCN BCOM Corn ER

BCOMCT BCOM Cotton ER

BCOMFC BCOM Feeder Cattle ER

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER

BCOMHO BCOM Heating Oil ER

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER

BCOMLC BCOM Live Cattle ER

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER

BCOMOJ BCOM Orange Juice ER

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER

BCOMSI BCOM Silver ER

BCOMSM BCOM Soybean Meal ER

BCOMSM1 Bloomberg Soybean Meal Subindex 1 Month Forward

BCOMBO BCOM Soybean Oil ER

BCOMSY BCOM Soybeans ER

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER

BCOMRB BCOM Unleaded Gas ER

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER

BCOMCL BCOM WTI Crude Oil ER

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER

BCOMEU BCOM EUR ER

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER

BCOMJY BCOM JPY ER

BCOMALC BCOM Aluminum Capped ER

BCOMKCC BCOM Coffee Capped ER

BCOMHGC BCOM Copper Capped ER

BCOMCLC BCOM WTI Crude Oil Capped ER

BCOMCNC BCOM Corn Capped ER

BCOMLCC BCOM Cattle Capped ER

BCOMCTC BCOM Cotton Capped ER

BCOMGCC BCOM Gold Capped ER
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 18

Abbr Name

BCOMLHC BCOM Lean Hogs Capped ER

BCOMHOC BCOM Heating Oil Capped ER

BCOMKWC BCOM Kansas Wheat Capped ER

BCOMCOC BCOM Brent Crude Capped ER

BCOMNGC BCOM Natural Gas Capped ER

BCOMNIC BCOM Nickel Capped ER

BCOMSYC BCOM Soybeans Capped ER

BCOMBOC BCOM Soybean Oil Capped ER

BCOMSIC BCOM Silver Capped ER

BCOMSBC BCOM Sugar Capped ER

BCOMSMC BCOM Soybean Meal Capped ER

BCOMRBC BCOM Unleaded Gas Capped ER

BCOMWHC BCOM Wheat Capped ER

BCOMZSC BCOM Zinc Capped ER

BCOMTR BCOM TR

BCOMF1T BCOM F1 TR

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR

BCOMF4T BCOM F4 TR

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR

BCOMRS BCOM Roll Select

CRUHRCS CRU US Midwest Hot-Rolled Coil Steel

DJCICN Dow Jones Commodity Index Corn

DJCISB Dow Jones Commodity Index Sugar

DJCILC Dow Jones Commodity Index Live Cattle

DJCIAW Dow Jones Commodity Index All Wheat

MLCX6CTV BofA Merrill Lynch MLCX6CTV Excess Return Strategy

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil

SPGCBR S&P GSCI Brent Crude

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil

SPGCCN S&P GSCI Corn

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle

SPGCGC S&P GSCI Gold

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper

SPGCHO S&P GSCI Heating Oil
Mr. Christopher J. Kirkpatrick

January 24, 2024

Page 19

Abbr Name

SPGCHU S&P GSCI Unleaded Gasoline

SPGCIA S&P GSCI Aluminum

SPGCIC S&P GSCI Copper

SPGCIK S&P GSCI Nickel

SPGCIL S&P GSCI Lead

SPGCIN S&P GSCI Industrial Metals

SPGCIZ S&P GSCI Zinc

SPGCKC S&P GSCI Coffee

SPGCKW S&P GSCI Kansas Wheat

SPGCLC S&P GSCI Live Cattle

SPGCLH S&P GSCI Lean Hogs

SPGCNG S&P GSCI Natural Gas

SPGCPA S&P GSCI Palladium

SPGCPL S&P GSCI Platinum

SPGCSB S&P GSCI Sugar

SPGCSI S&P GSCI Silver

SPGCSO S&P GSCI Soybeans

SPGCWH S&P GSCI Wheat

SPGSES S&P GSCI Enhanced Commodity

SPGSSM S&P GSCI Soybean Meal

SPGCCIP S&P GSCI ER

SPGCBRP S&P GSCI Brent Crude ER

SPGCCCP S&P GSCI Cocoa ER

SPGCCLP S&P GSCI Crude Oil ER

SPGCCNP S&P GSCI Corn ER

SPGCCTP S&P GSCI Cotton ER

SPGCENP S&P GSCI Energy ER

SPGCFCP S&P GSCI Feeder Cattle ER

SPGCGCP S&P GSCI Gold ER

SPGCGOP S&P GSCI Gasoil ER

SPGCHGP S&P GSCI North American Copper ER

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER

SPGCIAP S&P GSCI Aluminum ER

SPGCICP S&P GSCI Copper ER

SPGCIKP S&P GSCI Nickel ER

SPGCILP S&P GSCI Lead ER

SPGCINP S&P GSCI Industrial Metals ER

SPGCNGP S&P GSCI Natural Gas ER

SG3MCI S&P GSCI 3 Month Forward