NOTICE OF LISTING OF PRODUCTS BY ICAP SEF (US) LLC FOR TRADING BY 

CERTIFICATION

1. This submission is made pursuant to CFTC Reg. 40.2 by ICAP SEF (US) LLC (the “SEF”).

2. The products certified by this submission are the following Commodities Products: Sugar No. 11 

Agricultural Swaps (the “Contract”) and options thereon (the “Option”).

3. Attached as Attachment A is a copy of the Contract’s rules and attached as Attachment B is a copy of 

the Option’s rules.

4. The product specifications for the SEF’s Agricultural Swaps and Options other than the Contract and 

Option submitted in this filing were last certified in filing ICAP-2014-P-2. This submission amends the 

product specifications for the SEF’s Agricultural Swaps and Options only by adding a new underlying 

asset of Sugar No. 11 (ICE US) and the related Contract Size. Accordingly, while this is a certification for 

a new product pursuant tor CFTC Reg. 40.2(a), no other terms and conditions of the SEF’s Agricultural 

Swaps and Options are being amended by this filing. The product specifications set forth in Attachments 

A and B also reflect the addition of new products that are being submitted concurrently with this 

submission in ICAP-2014-P-23 (London Cocoa (ICE London)), ICAP-2014-P-24 (Cocoa (ICE US)), ICAP2014-P-25 (Coffee (ICE US)), ICAP-2014-P-26 (Robusta Coffee (ICE London)), ICAP-2014-P-28 (White 

Sugar (ICE London)) and ICAP-2014-P-29 (Frozen Concentrated Orange Juice (ICE US)). The SEF 

intends to make this certification of the Contract and the Option effective on December 12, pursuant to 

CFTC Reg. 40.2(a)(2). 

5. Attached as Attachment C is a certification from the SEF that each Contract and Option complies with 

the Commodity Exchange Act and CFTC Regulations, and that the SEF has posted a notice of pending 

product certification and a copy of this submission on its website concurrent with the filing of this 

submission with the Commission. 

6. As required by Commission Regulation 40.2(a), the following concise explanation and analysis 

demonstrates that each of the Contract and the Option complies with the core principles of the 

Commodity Exchange Act for swap execution facilities, and in particular Core Principle 3, which 

provides that a swap execution facility shall permit trading only in swaps that are not readily 

susceptible to manipulation, in accordance with the applicable guidelines in Appendix C to Part 38 of 

the Commission’s Regulations for contracts settled by cash settlement and options thereon. 
The Contract

The Contract is a cash-settled swap that allows a party to speculate on, or hedge risks associated with, 

the price of one of the previously certified underlying agricultural commodity products set forth in 

Attachment A. This certification adds the following underlying agricultural commodity product to the 

product specifications: Sugar No. 11 (ICE US) (the “Underlying Commodity”). The counterparties to the 

Contract exchange a fixed price on the Underlying Commodity and a floating price based on the 

corresponding futures contract for the Underlying Commodity. The Contract has several flexible terms, 

including: Underlying Commodity, Contract Size, Minimum Price Fluctuation, Fixed Settlement Price, 

Effective Date that the Contract commences (which must be a business day), Maturity Date (also referred 

to as the End Date or Termination Date), Tenor, Trade Types (outright or spread/switch), and Payment 

Frequency. The Maturity Date may be any date chosen by the parties prior to the Expiration Date for the 

corresponding futures contract, and a Contract may mature on the basis of a spot month or deferred 

month futures contract. Counterparties may also choose whether the floating price will be the price of the 

corresponding futures contract on a specified date or the average price during the tenor of the Contract. 

All of the essential terms of the Contract, other than the floating price, are agreed at the Effective Date. 

Following is an explanation of why the Contract is not readily susceptible to manipulation in accordance 

with section (c) of Appendix C to Part 38.

Appendix C to Part 38—Demonstration of Compliance That a Contract is Not Readily 

Susceptible to Manipulation

Section (c) Contracts Settled by Cash Settlement

(1) Calculation of Cash Settlement Price. One leg of the Contract will pay a fixed price for the 

Underlying Commodity that is established at the Effective Date and which will remain unchanged 

throughout the life of the Contract. The other leg of the Contract will pay a floating price that is

based on the price of the corresponding futures contract at the specified Maturity Date, or 

alternatively the average price of a series (or a strip) of predefined fixings over the life of the 

contract. The price of the relevant futures contract is published by ICE Futures U.S., Inc. (the 

“Exchange”) and is reliable, widely accepted and publicly available. On the Maturity Date, the 

counterparties will calculate the difference between the fixed price and the floating price and 

exchange a final settlement payment. 

(2) Contract Not Readily Susceptible to Manipulation. The Contract is not readily susceptible to 

manipulation for a number of reasons. As noted above, all of the essential terms of the 

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

thereby reducing the impact of potentially unrepresentative data. The floating price itself is 

based on a well-known futures contract whose price is published by the Exchange. The size 

and liquidity of the market in the corresponding futures contract is well documented. It is 

closely followed by market participants, has a high volume of cash market transactions and 

a high number of market participants trading in the cash market, which make the futures 

contract unlikely to be the subject of an attempt to manipulate the price upon which the 

Contract’s cash settlement price is calculated. Accordingly, the Contract is not easily 

susceptible to manipulation or price distortion because the method of determining the cash 

settlement price is based on terms that are fixed at the Effective Date of the Contract and a 

reliable floating price.

(3) Independent Third-Party Pricing of the Underlying Commodity. The price of the futures 

contract upon which the floating price leg of the Contract is based is published by the 

Exchange and is publicly available on the Exchange’s website, thereby making an 

information sharing or licensing agreement unnecessary. Furthermore, the closing price of 

the futures contract is set by market transactions on an exchange operated by an 

independent, private-sector third-party, namely the Exchange, which has a financial 

incentive to protect the market’s faith in the pricing of the futures contract. The SEF 

believes that the Exchange is impartial, employs appropriate safeguards against 
manipulation to protect the value of the futures contract to the market place and the 

Exchange, and uses business practices that minimize the opportunity or incentive to 

manipulate the pricing of the futures contract associated with the Contract’s cash settlement 

price. The settlement price of the futures contract is publicly available on a timely basis for 

the purposes of calculating the Contract’s cash settlement price. The settlement price for 

the futures contract is established by the Exchange on an objective basis. See Exchange 

Rule 11 (Sugar No. 11).1

 The SEF will monitor its own market and will publish or report 

information to the Exchange that may be useful to the Exchange in monitoring its market for 

the relevant futures contract. To the extent that the SEF’s Market Regulation Department 

determines that there is reason to suspect manipulation or attempted manipulation with 

respect to the Contract that involves the underlying futures contract, it will so inform the 

Exchange and will seek to share information with the Exchange as necessary to investigate 

the potential manipulation or attempted manipulation.

(4) Contract Terms and Conditions. The essential terms and conditions of the Contract are 

attached as Attachment A.

o Commodity Characteristics. The Underlying Commodity is listed in the terms and 

conditions.

o Contract Size and Trading Unit. The size of the Contract is consistent with customary 

transactions in each relevant futures market. 

o Cash Settlement Procedure. The cash settlement procedures and an explanation of 

how the Contract is not readily susceptible to manipulation are described above.

o Pricing Basis and Minimum Price Fluctuation. The minimum price increment is set at 

$0.01 per Contract.

o Maximum Price Fluctuation Limits. The maximum price fluctuation limit is agreed to 

between the parties.

o Last Trading Day. The last trading day for a Contract is the last business day of each 

Contract month.

o Trading Months. The maturity date of the Contract is agreed to between the parties 

and based on their risk management needs. The maturity date may be in any calendar 

month.

o Speculative Limits. None are currently required by the Commission. If and to the 

extent the Commission imposes speculative limits on the Contract, the limits imposed by 

the SEF will be the same.

o Reportable Levels. None are currently required by the Commission. If and to the 

extent the Commission imposes a reporting requirement based on reportable levels of 

the Contract imposed by the Commission, the reportable levels imposed by the SEF will 

be the same. 

o Trading Hours. Trading hours are 07:00 – 16:00 (ET) Monday to Friday.

* * *

In addition to the foregoing, the SEF has adopted rules in its Rulebook prohibiting any Participant or 

Customer from engaging in manipulative trading activity and the SEF is required to, and will, monitor 

all trading on the SEF in order to identify any such manipulative activity. The SEF has authority to 

impose on its Participants and Customers fines and disciplinary sanctions in the event that such 

manipulative activity has occurred. 

 1 See https://www.theice.com/publicdocs/rulebooks/futures_us/11_Sugar_11.pdf. 
The Option

The Option is a cash-settled option based on the settlement price of the corresponding Contract, as 

described above. Following is an explanation of why the Option is not readily susceptible to manipulation 

in accordance with section (d) of Appendix C to Part 38.

Appendix C to Part 38—Demonstration of Compliance That a Contract is Not Readily 

Susceptible to Manipulation

Section (d) Options on a Contract

(1) Option Terms and Conditions. The essential terms and conditions of the Option are attached as 

Attachment B and closely adhere to market practices for the underlying futures contract, making 

manipulation very difficult to achieve.

o Exercise Method. The Option is cash settled based on the settlement price of the 

corresponding Contract.

o Exercise Procedure. The Option’s style may be Asian or European, as agreed by the 

parties.

o Strike Price Listing. Strike prices are quoted in dollars and cents per contract. 

o Strike Price Intervals. Strike price intervals are as agreed to between the parties.

o Automatic Exercise. An in-the-money Option is cash settled five business days after 

expiration. 

o Contract Size. The Option size is equal to the size of the underlying Contract. A put or 

call option traded on the SEF represents an option to assume a short or long position in 

the corresponding Contract, at the strike price.

o Option Minimum Tick. As agreed to between the parties. 

(2) Option Expiration and Last Trading Day. The expiration date is as agreed to between the parties. 

The last trading day is the last business day of each contract month. 

(3) Speculative Limits. None are currently required by the Commission. 

(4) Options on Physicals Contracts. Not applicable. 

* * *

In addition to the foregoing, the SEF has adopted rules in its Rulebook prohibiting any Participant or 

Customer from engaging in manipulative trading activity and the SEF is required to, and will, monitor 

all trading on the SEF in order to identify any such manipulative activity. The SEF has authority to 

impose on its Participants and Customers fines and disciplinary sanctions in the event that such 

manipulative activity has occurred. 
Attachment A

SEF Rule 805 (9)(a)
Product Descriptions – Agricultural Swaps

Agricultural Swaps

Contract 

Specification

Details

Product

Description

A commodity swap is a contract where the buyer is obliged to buy (sell) an asset at 

a predetermined fixed rate and sell (buy) the same asset at an average rate 

determined by the price of the underlying asset over single point in time or a series 

(or a strip) of predefined fixings.

The following Agricultural products are traded at ICAP:

Corn (CBOT)

Soybeans (CBOT)

Wheat (CBOT)

Soybean Oil (CBOT)

Soybean Meal (CBOT)

KCBT Hard Red Winter Wheat (KCBT)

Lean Hogs (CME)

MGE Hard Red Spring Wheat (MGE)

Milling Wheat (Euronext Paris)

Live Cattle (CME)

London Cocoa (ICE London)

Cocoa (ICE US)

Coffee (ICE US)

Robusta Coffee (ICE London)

Sugar No. 11 (ICE US)

White Sugar (ICE London)

Cotton No. 2 (ICE US)

Frozen Concentrated Orange Juice (“FCOJ”) (ICE US)

Quotation Contract prices are quoted in dollars and cents per contract

Units of Trading Contract(s)

Expiration Date Trading shall cease at the end of the last day of the contract designated settlement 

period

Settlement Terms Cash settled, referencing the equivalent futures contract at the relevant exchange 

(CBOT, KCBT, CME, MGE, Euronext Paris, ICE London or ICE US) on the daily 

settlement price on the equivalent futures exchange listed above. Floating price 

settled based on the futures contract on specified settlement date.

Minimum Price 

Fluctuation/Price 

Tick Size

The minimum price fluctuation is quoted in increments of $0.01 per contract.

Settlement Price The settlement price will be the price agreed at the commencement of the contract, 

measured in one cent ($0.01) per contract.

Contract Size 1 contract is defined as follows for each product:

Corn 5,000 Bushels

Soybeans 5,000 Bushels

Wheat 5,000 Bushels
Product Descriptions - Agricultural Swaps

Contract 

Specification

Details

Soybean Oil 60,000 Pounds

Soybean Meal 100 Short Tons

KCBT Hard Red Winter Wheat 5,000 Bushels

Lean Hogs 40,000 Pounds

MGE Hard Red Spring Wheat 5000 Bushels

Milling Wheat 50 Metric Tons

Live Cattle 40,000 Pounds

London Cocoa 10 Metric Tons

Cocoa 10 Metric Tons

Coffee 37,500 pounds

Robusta Coffee 10 Metric Tons

Sugar No. 11 112,000 Pounds

White Sugar 50 Metric Tons

Cotton No. 2 50,000 Pounds

FCOJ 50,000 Pounds

Effective Date The Effective Date of the Swap must be a business day subject to the appropriate 

Business Day Convention.

Maturity Date The Maturity Date may also be referred to as the Termination Date or End Date.

Tenor The duration of the time from the Effective Date to the Maturity Date.

Trade Types Agricultural Products can be traded as one of the following trade type:

a) Outright

b) Spread/Switch

Last Trading Day Trading terminates at the close of business on the last business day of each 

contract month

Trading 

Conventions

a) Buyer (Payer), the fixed payer is the party of the contract who has bought the 

commodity or known to be ‘long’.

b) Seller (Receiver), the floating payer is the party of the contract who has sold 

the commodity or known to be ‘short’

Swap Leg 

Conventions

a) Payment Frequency. Monthly, Quarterly, Semi-Annually, or Annually

b) Holiday Calendar. New York and London

c) Business Day Convention. Modified Following with adjustment to period end 

dates. Business days in this convention must be valid business days on both 

the New York and London calendar. If not, it will be the next day that is a 

business day on both the New York and London calendar.

d) Fixed Rate. The agreed rate of the product traded
Attachment B

SEF Rule 805 (9)(b)
Product Descriptions – Agricultural Commodity Options

Agricultural Commodity Options

Contract 

Specification

Details

Product

Description

The ICAP SEF (US) LLC “ICAP SEF” Agricultural Commodity Options are listed 

with respect to an underlying ICAP SEF Agricultural Swap.

ICAP SEF offers options based on the following:

Corn (CBOT)

Soybean (CBOT)

Wheat (CBOT)

Soybean Oil (CBOT)

Soybean Meal (CBOT)

KCBT Hard Red Winter Wheat (KCTB)

Lean Hogs (CME)

MGE Hard Red Spring Wheat (MGE)

Milling Wheat (Euronext Paris)

Live Cattle (CME)

London Cocoa (ICE London)

Cocoa (ICE US)

Coffee (ICE US)

Robusta Coffee (ICE London)

Sugar No. 11 (ICE US)

White Sugar (ICE London)

Cotton No. 2 (ICE US)

Frozen Concentrated Orange Juice (“FCOJ”) (ICE US)

Trading 

Period/Tenor

ICAP SEF offers options on the following swap tenors:

• Up to 60 consecutive months.

• Quarter, season, calendar, and any period of consecutive monthly contracts 

can be registered as a strip. For example, a Q1 option is an option on Jan, an 

option on Feb, and an option on Mar, with each option expiring thirty calendar 

days before the start of the relevant contract month.

Trading Hours 24 hours a day, Monday to Friday 

Quotation Contract prices are quoted in dollars and cents per contract.

Units of Trading Contract(s)

Expiration Date Trading shall cease at the end of the last day of the contract designated settlement 

period.

Settlement Terms Cash settled 5 business days after expiration based on the settlement price of the 

underlying Agricultural Swap, which references the equivalent futures contract at 

the relevant exchange. Floating price of the Agricultural Swap is settled based on 

the futures contract on specified settlement date.

For Asian style options, the payment is determined by the average underlying price 
Product Descriptions – Agricultural Commodity Options

Contract 

Specification

Details

over the pre-set period of time.

For European style option, the payment is determined by the underlying price on a 

specific date.

Minimum Price 

Fluctuation/Price 

Tick Size

The minimum price fluctuation is quoted in increments of $0.01 per contract.

Settlement Price The settlement price will be the price agreed at the commencement of the contract, 

measured in one cent ($0.01) per contract.

Contract Size 1 contract is defined as follows for each product:

Corn 5,000 Bushels

Soybean 5,000 Bushels

Wheat 5,000 Bushels

Soybean Oil 60,000 Pounds

Soybean Meal 100 Short Tons

KCBT Hard Red Winter Wheat 5,000 Bushels

Lean Hogs 40,000 Pounds

MGE Hard Red Spring Wheat 5000 Bushels

Milling Wheat 50 Metric Tons

Live Cattle 40,000 Pounds

London Cocoa 10 Metric Tons

Cocoa 10 Metric Tons

Coffee 37,500 pounds

Robusta Coffee 10 Metric Tons

Sugar No. 11 112,000 Pounds

White Sugar 50 Metric Tons

Cotton No. 2 50,000 Pounds

FCOJ 50,000 Pounds

Effective Date The Effective Date of the Option must be a business day subject to the appropriate 

Business Day Convention.

Maturity Date The Maturity Date may also be referred to as the Termination Date or End Date.

Tenor The duration of the time from the Effective Date to the Maturity Date.

Trade Types Agricultural options can be traded as one of the following trade types:

a) Put (European and Asian)

b) Call (European and Asian)

Option Premium Option premiums must be exchanged within 2 business days of the transaction 

being executed. 
Product Descriptions – Agricultural Commodity Options

Contract 

Specification

Details

Option premium to be quoted and exchanged in US Dollars.

Last Trading Day Trading terminates at the close of business on the last business day of each 

contract month.

Trading 

Conventions

Buyer Option

Seller Option

Swap Leg a) Payment Frequency: Monthly, Quarterly, Semi-Annually, or Annually

Conventions b) Holiday Calendar: New York and London

c) Business Day Convention: Modified Following with adjustment to period end 

dates. Business days in this convention must be valid business days on both 

the New York and London calendar. If not, it will be the next day that is a 

business day on both the New York and London calendar.