ACTIVE 251988439

March 6, 2020 

Submitted via CFTC Portal 

Mr. Christopher J. Kirkpatrick 

Secretary of the Commission 

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 Non-Deliverable Foreign 

Exchange Options – HKD/KRW (tpSEF Submission #20-215P) 

Dear Mr. Kirkpatrick: 

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

“Commission”) of its intent to list Non-Deliverable Foreign Exchange Options – HKD/KRW

(the “Contracts”) on its swap execution facility. tpSEF intends to list the Contracts on March 10, 2020. 

Pursuant to Commission Regulation 40.2, this submission includes: 

i. The intended listing date – March 10, 2020;

ii. A certification by tpSEF that: (a) the Contracts comply 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

Contracts and (ii) a copy of this submission, attached as Exhibit A;

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

iv. An explanation and analysis of the Contracts’ compliance with applicable core principles

and Commission regulations, attached as Exhibit C.

tpSEF is listing the Contracts by virtue of updating the terms and conditions of Non-Deliverable Vanilla 

American or European Style Foreign Exchange Options submitted to the Commission for selfcertification pursuant to Commission Regulation 40.2 on November 13, 2013. A copy of the terms and 

conditions marked to show changes from the version submitted on November 13, 2013 is attached as 

Exhibit D. 
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tpSEF will be separately updating Appendix B to its Rulebook (tpSEF Inc. Swap Specifications) to reflect 

this change. 

Questions regarding this submission should be directed to Brian D. 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: March 6, 2020 

Enclosures 

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

Nancy Markowitz, CFTC (nmarkowitz@cftc.gov)
ACTIVE 251988439

Secretary of the Commission 

March 6, 2020 

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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) Non-Deliverable Foreign Exchange Options – HKD/

KRW (the “Contracts”) comply 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 Contracts with the Commission and (b) a copy of this submission. 

tpSEF Inc. 

By: ________________________ 

Name: Brian D. Donnelly 

Title: Chief Compliance Officer 

Date: March 6, 2020 
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EXHIBIT B 

Terms and Conditions 

Summary: This covers “Non-Deliverable Foreign Exchange 

Options”. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards: 

(a) the 1998 FX and Currency Option Definitions, as

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”); 

(b) the current EMTA Template Terms for NonDeliverable Currency Option Transactions applicable to 

the Reference Currency and Settlement Currency (to the 

extent available for a particular Currency Pair) (available 

at: https://www.emta.org/ndftt.aspx); and 

(c) ISDA OTC Taxonomies. 

Contract Types: Each Non-Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge. 

Product Type/ISDA OTC Taxonomy: 

ISDA OTC Asset Class: Foreign Exchange 

ISDA OTC Base Product: Vanilla Option, NDO, Simple Exotic or Complex Exotic 

Terms: 

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties. 

Commencement Date: The Trade Date, unless otherwise specified by the parties. 

This applies only where the Currency Option Style is 

American. 

Buyer: As specified by the parties. 
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Seller: As specified by the parties. 

Currency Option Style: As specified by the parties.

(An American option can be exercised any time up to and 

including the Expiration Date; a European option can 

only be exercised on the Expiration Date.) 

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a binary 

or digital option. 

Call Currency: The currency as specified by the parties from among

those included in the list of available Currency Pairs. 

The Put Currency and Call Currency must represent a

traded pair included in the list of available Currency 

Pairs. 

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price. 

Put Currency: The currency as specified by the parties from among

those included in the list of available Currency Pairs. 

The Put Currency and Call Currency must represent a

traded pair included in the list of available Currency 

Pairs. 

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price. 

Strike Price: As specified by the parties (if only one of the Put

Currency or Call Currency is specified). 

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised. 

Reference Currency: As specified by the parties. 

Settlement Currency: As specified by the parties. 

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions. 

Settlement Rate Option: As specified by the parties. 

Expiration Date: As specified by the parties. 

Expiration Time: The time in the location specified by the parities. 

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American. 

Automatic Exercise: Applicable, unless otherwise specified by the parties. 

Settlement: Non-Deliverable 
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Settlement Amount: In the case of a digital or binary option, as specified by 

the parties. 

Settlement Date: As specified by the parties. 

Valuation Date: As specified by the parties. 

Averaging Dates: As specified by the parties. 

Premium: As specified by the parties. 

Premium Payment Date: As specified by the parties. 

Barrier Event: As specified by the parties. 

Calculation Agent: As specified by the parties. 

Business Day: As specified by the parties. 

Business Day Convention: As specified by the parties. 

Disruption Events: As specified by the parties. 

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions. 

Non-Deliverable Foreign Exchange Option Available Currency Pairs 

AUD/CNY CNY/THB IDR/PHP MYR/CNH THB/INR 

AUD/IDR CNY/TWD IDR/THB MYR/CNY THB/KRW 

AUD/INR EUR/ARS IDR/TWD MYR/EUR THB/MYR 

AUD/KRW EUR/BRL INR/AUD MYR/GBP THB/PHP 

AUD/MYR EUR/CLP INR/CAD MYR/IDR THB/TWD 

AUD/PHP EUR/CNY INR/CHF MYR/INR TWD/AUD 

AUD/TWD EUR/COP INR/CNH MYR/JPY TWD/CAD 

BRL/JPY EUR/IDR INR/CNY MYR/KRW TWD/CHF 

BRL/MXN EUR/INR INR/EUR MYR/NZD TWD/CNH 

CAD/BRL EUR/KRW INR/GBP MYR/PHP TWD/CNY 

CAD/CNY EUR/KZT INR/HKD MYR/SGD TWD/EUR 

CAD/IDR EUR/MYR INR/IDR MYR/TWD TWD/GBP 

CAD/INR EUR/PEN INR/JPY NZD/CNY TWD/HKD 

CAD/KRW EUR/PHP INR/KRW NZD/IDR TWD/IDR 

CAD/MYR EUR/TWD INR/NZD NZD/INR TWD/INR 

CAD/PHP EUR/UAH INR/PHP NZD/KRW TWD/JPY 

CAD/TWD GBP/BRL INR/SGD NZD/MYR TWD/KRW 

CHF/BRL GBP/CNY INR/TWD NZD/PHP TWD/MYR 

CHF/CNY GBP/IDR JPY/CNY NZD/TWD TWD/NZD 
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CHF/IDR GBP/INR JPY/IDR PHP/AUD TWD/PHP 

CHF/INR GBP/KRW JPY/INR PHP/CAD TWD/SGD 

CHF/KRW GBP/MYR JPY/KRW PHP/CHF TWD/THB 

CHF/MYR GBP/PHP JPY/MYR PHP/CNH USD/ARS 

CHF/PHP GBP/TWD JPY/PHP PHP/CNY USD/BRL 

CHF/TWD HKD/CNY JPY/TWD PHP/EUR USD/CLP 

CNH/IDR HKD/IDR KRW/AUD PHP/GBP USD/CNY 

CNH/INR HKD/INR KRW/CAD PHP/HKD USD/COP 

CNH/KRW HKD/KRW KRW/CHF PHP/IDR USD/EGP 

CNH/MYR HKD/MYR KRW/CNH PHP/INR USD/GHS 

CNH/PHP HKD/PHP KRW/CNY PHP/JPY USD/IDR 

CNH/TWD HKD/TWD KRW/EUR PHP/KRW USD/INR 

CNY/AUD IDR/AUD KRW/GBP PHP/MYR USD/KES 

CNY/CAD IDR/CAD KRW/IDR PHP/NZD USD/KRW 

CNY/CHF IDR/CHF KRW/INR PHP/THB USD/KZT 

CNY/EUR IDR/CNH KRW/JPY PHP/TWD USD/MYR 

CNY/GBP IDR/CNY KRW/MYR SGD/CNY USD/NGN 

CNY/HKD IDR/EUR KRW/NZD SGD/IDR USD/PEN 

CNY/IDR IDR/GBP KRW/PHP SGD/INR USD/PHP 

CNY/INR IDR/HKD KRW/SGD SGD/KRW USD/RUB 

CNY/JPY IDR/INR KRW/THB SGD/MYR USD/TWD 

CNY/KRW IDR/JPY KRW/TWD SGD/PHP USD/UAH 

CNY/MYR IDR/KRW MYR/AUD SGD/TWD USD/VND 

CNY/NZD IDR/MYR MYR/CAD THB/CNY USD/ZMW 

CNY/PHP IDR/NZD MYR/CHF THB/IDR 
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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 Non-Deliverable Foreign Exchange Options (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—Demonstration of Compliance That a Contract Is Not Readily 

Susceptible to Manipulation 

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

MANIPULATION

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. 

As is typical of non-deliverable foreign exchange (“FX”) option contracts, the option buyer has the right, 

but not the obligation, to cause the option seller to pay to the option buyer the “In-The-Money Amount” 

(calculated in accordance with the 1998 Definitions), if any, of the option in a liquid settlement currency 

on the Settlement Date. Non-deliverable options relate to deliverable options in the same way as nondeliverable forwards relate to deliverable forwards. The non-deliverable feature is a mechanism used to 

settle FX transactions where currency restrictions make delivery of the underlying currencies illegal or 

impracticable. All of the terms (e.g., Strike Price, currency, Settlement Date) are agreed upon by the

parties at the start of the Contract, and do not change throughout the life of the Contract. The reference 
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price is agreed by the parties at the outset from among the reference sources determined by ISDA and 

EMTA included in Annex A to the 1998 Definitions. These are broadly publicized and widely used rates. 

(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 

(4) Options on Physicals Contracts. 

(i) Under the Commission's regulations, the term “option on physicals” refers to option contracts 

that do not provide for exercise into an underlying futures contract. Upon exercise, options on 

physicals can be settled via physical delivery of the underlying commodity or by a cash payment. 

Thus, options on physicals raise many of the same issues associated with trading in futures 

contracts regarding adequacy of deliverable supplies or acceptability of the cash settlement price 

series. In this regard, an option that is cash settled based on the settlement price of a futures 

contract would be considered an “option on physicals” and the futures settlement price would be 

considered the cash price series. 

(ii) In view of the above, acceptable practices for the terms and conditions of options on physicals 

contracts include, as appropriate, those practices set forth above for physical-delivery or cashsettled futures contracts plus the practices set forth for options on futures contracts. 

As required by Appendix C, the following analysis with respect to the Contracts, which are options on 

physicals, sets forth those relevant sections of Appendix C that pertain to “cash settled contracts” and to 

“options on futures contracts.” 

(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 non-deliverable FX option contracts that are 

commonly offered in the market and are listed in Exhibit B. 

As is common with non-deliverable FX option contracts, the Contracts have several flexible terms – for

instance, counterparties are able to choose: (a) the Trade Date; (b) whether or not the option can be 
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exercised at any time prior to the Expiration Date or only at the Expiration Date (i.e., American or 

European); (c) currency that will be used for the Premium, Put/Call Currency Amounts and Settlement 

Currency; and (d) the Strike Price. The trading hours, however, are fixed for each contract – trading is 

available twenty-three hours a day, from Sunday to Friday. 

Contract Not Readily Susceptible to Manipulation 

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

terms of the Contract are agreed upon at the start of the Contract and remain static throughout the life 

of the Contract. Second, foreign currencies are standard and readily available, and are not to subject to 

variations in the patterns of production, consumption or supply. Finally, tpSEF Inc. (“tpSEF”) has a 

robust market surveillance program that is effectively able to surveil this market, detect uncommon 

activity and investigate any such activity for signs of 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). 

Calculation of Cash Settlement Price 

The cash settlement price will be based on the In-The-Money Amount, calculated as follows: 

Where the Settlement Currency is the Call Currency:

Call Currency Amount ×

Settlement Rate − Strike Price

Settlement Rate

Where the Settlement Currency is the Put Currency: 

Put Currency Amount ×

Strike Price − Settlement Rate

Settlement Rate

(in each case, the Strike Price and Settlement Rate are quoted on a unit of reference currency per one unit of 

Settlement Currency). 

In the case of a digital or binary Contract, the In-The-Money Amount will be the Settlement Amount agreed 

by the parties. 

This method of cash settlement is consistent with the customary practice of cash-settling non-deliverable 

FX option contracts in the market. 

(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 
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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. 

Foreign currency is an extremely liquid market with massive volume, making manipulation very difficult

to achieve. Information about spot FX rates is readily available from a variety of sources including 

central banks, the Emerging Markets Traders Association, Bloomberg and Reuters. The Strike Price is 

determined by the counterparties at the point of entering into a transaction and will not change due to 

fluctuations of the spot FX price. Accordingly, the Contracts are not readily susceptible to manipulation. 

(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. 

The rates used are broadly disseminated rates which have been used for many years. In many cases, the

rates are published by governmental agencies rather than private-sector third parties. 

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

reduce the impact of potentially unrepresentative data. 

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

(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. 

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

(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. While there are common terms such as the

trading hours, many of the terms are flexible. Nevertheless, the terms are all within commonly accepted 

market standards. 

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

the commodity underlying the contract. 

The terms and conditions of the Contracts specifically list the currencies on which counterparties can

choose to base the Contracts.

(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. 
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The contract size is the notional amount, which, as is customary in the market, is agreed upon by the 

counterparties at the start of the Contract. 

(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 settlement procedures for a particular Contract are determined by the counterparties. If the option is 

exercised, the option buyer receives the In-The-Money Amount of the Contract in the Settlement 

Currency agreed by the parties on the Settlement Date. 

(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 the 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 the 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 of the Contract is the Expiration Date of the Contract, which is the last opportunity 

(and in the case of European options, the only opportunity) for the holder of the option to exercise it. The 

Settlement Date is set at an appropriate time to allow for the transfer of the In-The-Money Amount in the 

Settlement Currency if the option has been exercised. 
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(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. 

As noted above, an American option can be exercised any time up to and including the Expiration Date, 

while a European option can only be exercised on the Expiration Date. 

(H) Speculative Limits. Specific information regarding the establishment of speculative position 

limits are set forth in part 150, and/or part 151, as applicable, of the Commission’s regulations. 

tpSEF will comply with Parts 150 and 151 of the Commission’s regulations. 

(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. 

The Contracts are 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.

(d) Options on a Futures Contract. (1) The Commission's experience with the oversight of trading 

in futures option contracts indicates that most of the terms and conditions associated with such 

trading do not raise any regulatory concerns or issues. The Commission has found that the 

following terms do not affect an option contract's susceptible to manipulation or its utility for risk

management. Thus, the Commission believes that, in most cases, any specification of the following 

terms would be acceptable; the only requirement is that such terms be specified in an automatic 

and objective manner in the option contract's rules: 

• Exercise method; 

• Exercise procedure (if positions in the underlying futures contract are established via book 

entry); 

• Strike price listing provisions, including provisions for listing strike prices on a 

discretionary basis; 

• Strike price intervals; 

• Automatic exercise provisions; 

• Contract size (unless not set equal to the size of the underlying futures contract); and 

• Option minimum tick should be equal to or smaller than that of the underlying futures 

contract. 

As noted in the Contract’s terms and conditions (see Exhibit B), the following terms are specified in an 

automatic and objective manner at the start of the Contract: (a) exercise method – the counterparties 

choose the Currency Option Style, whether American or European; (b) the Strike Price and the strike 
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price intervals – these are as agreed by the counterparties, which is consistent with customary practice in 

the market; (c) whether Automatic Exercise is specified to be applicable; and (d) the contract size and 

minimum tick – these terms are also as agreed by the counterparties. 

As is typical with FX options, on the Expiration Date / Time (or anytime up to and including the 

Expiration Date / Time, in the case of an American option), the owner of the option can choose to 

exercise it at the agreed upon Strike Price. The payments must be made on the Settlement Date, which is 

set by the counterparties at the start of the Contract. 

If Automatic Exercise is specified (or deemed specified) to be applicable to a Contract and at the 

Expiration Time on the Expiration Date the Contract has not been exercised, then the Contract will be 

deemed exercised if the conditions set forth in Section 3.6(c) of the 1998 Definitions are met. Unless the 

counterparties specify otherwise, Automatic Exercise will be deemed to apply to the Contract. 

(2) Option Expiration & Last Trading Day. For options on futures contracts, specification of 

expiration dates should consider the relationship of the option expiration date to the delivery period

for the underlying futures contract. In particular, an assessment should be made of liquidity in the 

underlying futures market to assure that any futures contracts acquired through exercise can be 

liquidated without adversely affecting the orderly liquidation of futures positions or increasing the 

underlying futures contract's susceptibility to manipulation. When the underlying futures contract 

exhibits a very low trading activity during an expiring delivery month's final trading days or has a 

greater risk of price manipulation than other contracts, the last trading day and expiration day of 

the option should occur prior to the delivery period or the settlement date of the underlying future. 

For example, the last trading day and option expiration day might appropriately be established 

prior to first delivery notice day for option contracts with underlying futures contracts that have 

very limited deliverable supplies. Similarly, if the futures contract underlying an option contract is

cash settled using cash prices from a very limited number of underlying cash market transactions, 

the last trading and option expiration days for the option contract might appropriately be 

established prior to the last trading day for the futures contract. 

As noted above, the last trading day of the Contract is the Expiration Date, which is the last opportunity 

(and in the case of European options, the only opportunity) for the holder of the option to exercise it. As 

previously stated, foreign currency is an extremely liquid market with massive volume. Accordingly, the 

Contract is not readily susceptible to manipulation. 

(3) Speculative Limits. In cases where the terms of an underlying futures contract specify a spotmonth speculative position limit and the option contract expires during, or at the close of, the 

futures contract's delivery period, the option contract should include a spot-month speculative 

position limit provision that requires traders to combine their futures and option position and be 

subject to the limit established for the futures contract. 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. 

 
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EXHIBIT D 

Terms and Conditions for Non-Deliverable Foreign Exchange Options 

Marked Against November 13, 2013 Version 

Summary: This covers non-deliverable vanilla American or 

European style foreign exchange options“NonDeliverable Foreign Exchange Options”. 

Limitations on Available Selections and Default 

SettingsIncorporated Standards: 

The terms under which a Non-Deliverable Vanilla 

American or European Style Foreign Exchange Option 

may be traded are as specified in these terms and 

conditions and in the attached tables. 

This contract description incorporates by reference the 

following industry standard documentation and standards:

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”);

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate Options. 

(b) the current EMTA Template Terms for NonDeliverable Currency Option Transactions applicable to 

the Reference Currency and Settlement Currency (to the 

extent available for a particular Currency Pair) (available 

at: https://www.emta.org/ndftt.aspx); and

(c) ISDA OTC Taxonomies.The parties may add 

additional locations from the Available Locations and 

may eliminate some or all of the other locations, so long 

as there is at least one location in which payment may be 

made. 

For these purposes “TARGET”/EUTA is considered a 

location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 
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London versus NY). In that case the default settings may 

vary by market.

Incorporated StandardsContract Types: Each Non-Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.This contract description 

incorporates by reference the following industry standard 

documentation and standards:

(a) the 1998 FX and Currency Option Definitions and 

2005 Amendment and Annex A and supplements 

(b) ISDA OTC Taxonomies

(c) FpML Location Codes 

For convenience, certain terms are mapped to their FpML 

5.5 equivalent. 

For purposes of this description, the term COP means the 

lawful currency of the Republic of Columbia 

Product Type/ISDA OTC Taxonomy: 

ISDA OTC Asset Class: Foreign Exchange 

ISDA OTC Base Product: Foreign ExchangeVanilla Option, NDO, Simple Exotic or 

Complex Exotic

ISDA OTC Sub-Product: Vanilla Option 

Further Limitations: None 

FpML Schema: “confirmation.fxOption” 

Terms: 

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties. 

Commencement Date

(“americanExercise.commencementDate”): 

AsThe Trade Date, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American. 

Buyer (“buyerPartyReference”): As specified by the parties. 

Seller (“sellerPartyReference”): As specified by the parties. 

Currency Option Style: As specified by the parties.
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(An American option can be exercised any time up to and 

including the Expiration Date; a European option can 

only be exercised on the Expiration Date.)

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a binary 

or digital option. 

Call Currency (“callCurrencyAmount”): The currency and amount as specified by the parties, or, if 

not so specified, derived from the Put from among those 

included in the list of available Currency Amount and 

Strike PricePairs. 

The Put Currency and Call Currency must represent a

traded pair as shown onincluded in the attached list of 

currenciesavailable Currency Pairs. 

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price. 

Put Currency: The currency as specified by the parties from among

those included in the list of available Currency Pairs. 

The Put Currency and Call Currency must represent a

traded pair included in the list of available Currency 

Pairs. 

Put Currency (“putCurrencyAmount”)Amount: The currency and amount asAs specified by the parties,

or, if not so specified, derived from the Call Currency 

Amount and Strike Price. 

Strike Price (“strikePrice”): As specified by the parties (if only one of the Put

Currency or Call Currency is specified). 

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the Optionoption is to be automatically exercised. 

Reference Currency: As specified by the parties. 

Settlement Currency: As specified by the parties. 

Settlement Rate: As specified by the parties, if no Settlement Rate Option 

is specified or otherwise per the 1998 Definitions. 

Settlement Rate Option: As specified by the parties from among the Available 

Settlement Rate Options if the Settlement Currency is 

USD. 

Expiration Date (“expiryDate”): As specified by the parties. 

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: As The Expiration Time, unless otherwise specified by 

the parties. This applies only where the Currency Option 

Style is American. 

Expiration Time (“americanExercise.expiryTime” or 

“europeanExercise.expiryTime”)Automatic Exercise: 

The time in the locationApplicable, unless otherwise 

specified by the paritiesparties. 
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Automatic ExerciseSettlement: As specified by the parties.Non-Deliverable

Settlement DateAmount: AsIn the case of a digital or binary option, as specified by 

the parties.

ValuationSettlement Date: As specified by the parties. 

Averaging DatesValuation Date: As specified by the parties.

Premium (“premium”) As specified by the parties. 

Premium Payment DateAveraging Dates: As specified by the parties. 

Calculation AgentPremium: As specified by the parties. 

Business Days for Premium Payment Date: As specified by the parties. 

Business Days for Settlement DateBarrier Event: As specified by the parties. 

Business Days for Exercise Date For American Options, as specified by the parties. 

Business Days for Expiration DateCalculation Agent: As specified by the parties. 

Business Days (General)Day: As specified by the parties. 

Business Day Convention for Premium Payment Date: As specified by the parties. 

Business Day Convention for Expiration Date: As specified by the parties. 

Business Day Convention for Settlement Date: As specified by the parties. 

Event Currency: As specified by the parties if any Disruption Events are 

applicable. 

Disruption Events: As specified by the parties. 

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event applicableor otherwise per the 1998 Definitions. 

FX Non-Deliverable VanillaForeign Exchange Option Available Currencies and Principal Financial 

CentersCurrency Pairs

AUD/CNY Three Letter 

Currency Code 

(ISDA/ISO)CNY/TH

B

Currency Name 

(ISDA)IDR/PHP

Principal Financial 

Centers for Currency 

(FpML 

Codes)MYR/CNH

THB/INR 

AUD/IDR CNY/TWD IDR/THB MYR/CNY THB/KRW 

AUD/INR EUR/ARS Argentine PesoIDR/TWD ARBAMYR/EUR THB/MYR 

AUD/KRW EUR/BRL Brazilian RealINR/AUD BRBR, BRRJ or 

BRSPMYR/GBP

THB/PHP 

AUD/MYR EUR/CLP Chilean PesoINR/CAD CLSAMYR/IDR THB/TWD 

AUD/PHP EUR/CNY Chinese 

RenminbiINR/CHF

CNBEMYR/INR TWD/AUD 

AUD/TWD EUR/COP Colombian PesoINR/CNH COBOMYR/JPY TWD/CAD 

EGP Egyptian Pound EGCA 

EUR Euro EUTA 

BRL/JPY EUR/IDR Indonesian 

RupiahINR/CNY

IDJAMYR/KRW TWD/CHF 
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BRL/MXN EUR/INR Indian RupeeINR/EUR INMUMYR/NZD TWD/CNH 

CAD/BRL EUR/KRW Korean WonINR/GBP KRSEMYR/PHP TWD/CNY 

CAD/CNY EUR/KZT Kazakhstan 

TengeINR/HKD

KZALMYR/SGD TWD/EUR 

CAD/IDR EUR/MYR Malaysian RinggitINR/IDR MYKLMYR/TWD TWD/GBP 

CAD/INR EUR/PEN Peruvian Nuevo 

SolINR/JPY

PELINZD/CNY TWD/HKD 

CAD/KRW EUR/PHP Philippine PesoINR/KRW PHMANZD/IDR TWD/IDR 

RUB Russian Ruble RUMO 

CAD/MYR EUR/TWD Taiwanese DollarINR/NZD TWTANZD/INR TWD/INR 

USD United States Dollar USNY 

VEB Venezuelan Bolivar VECA 

CAD/PHP VNDEUR/UAH Vietnamese DongINR/PHP VNHANZD/KRW TWD/JPY 

The Minimum Amount for any currency pair is 5,000,000 of the Call Currency with an Increment of 5,000,000 of 

the Call Currency 

FX Non-Deliverable Vanilla Option Available Settlement Rate Options 

ARS ARS01 ARS BNAR

ARS ARS02 ARS OFFICIAL RATE

ARS ARS03 CME/EMTA ARS INDUSTRY SURVEY RATE

ARS ARS03 EMTA ARS INDUSTRY SURVEY RATE

ARS ARS04 EMTA ARS INDICATIVE INDUSTRY SURVEY RATE

BRLCAD/TWD GBP/BRL01 BRL 

BRBY

INR/SGD NZD/MYR TWD/KRW 

CHF/BRL BRL02 BRL 

OFFICIAL 

RATEGBP/CNY

INR/TWD NZD/PHP TWD/MYR 

BRLCHF/CNY BRL03 BRL 

PCOTGBP/IDR

JPY/CNY NZD/TWD TWD/NZD 

BRLCHF/IDR BRL09 BRL 

PTAXGBP/INR

JPY/IDR PHP/AUD TWD/PHP 

BRL BRL10 BRL PTAX BRFR 

BRLCHF/INR BRL11 BRL 

INDUSTRY SURVEY 

RATEGBP/KRW

JPY/INR PHP/CAD TWD/SGD 

BRL BRL12 EMTA BRL INDUSTRY SURVEY RATE 

BRLCHF/KRW BRL13 EMTA BRL 

INDICATIVE 

SURVEY 

RATEGBP/MYR

JPY/KRW PHP/CHF TWD/THB 

CLP CLP01 BCCCHILG 

CLP CLP02 CLP INFORMAL 

CLPCHF/MYR CLP03 CLP JPY/MYR PHP/CNH USD/ARS 
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INTERBANKGBP/PHP

CLP CLP04 CLP OBSERVADO 

CLP CLP08 CLP OFFICIAL RATE 

CLP CLP09 CLP TELERATE 38942 

CLP CLP10 CLP DOLAR OBS 

CLP CLP11 EMTA CLP INDICATIVE SURVEY RATE 

CNYCHF/PHP CNY01 CNY 

SAEDGBP/TWD

JPY/PHP PHP/CNY USD/BRL 

CNYCHF/TWD HKD/CNY02 SFEMC 

CNY INDICATIVE 

SURVEY RATE

JPY/TWD PHP/EUR USD/CLP 

COP COP01 COP CO/COL03 

COP COP02 COP TRM 

COP COP03 COP INDICATIVE SURVEY RATE 

EGP EGP01 EGP FEMF 

EGP EGP02 EMTA EGP INDICATIVE SURVEY RATE 

CNH/IDR HKD/IDR01 IDR ABS KRW/AUD PHP/GBP USD/CNY 

IDR IDR02 SFEMC INDICATIVE SURVEY RATE 

IDR IDR03 IDR VWAP 

CNH/INR HKD/INR01 INR RBIB KRW/CAD PHP/HKD USD/COP 

INR INR02 SFEMC INR INDICATIVE SURVEY RATE 

CNH/KRW HKD/KRW02 KRW 

KFTC18

KRW/CHF PHP/IDR USD/EGP 

KRWCNH/MYR KRW03 KRW 

TELERATE 

45644HKD/MYR

KRW/CNH PHP/INR USD/GHS 

KRW KRW04 SFEMC KRW INDICATIVE SURVEY RATE 

KZT KZT01 KZT KASE

KZT KZT 02 EMTA KZT INDICATIVE SURVEY RATE

MYR MYR01 MYR ABS

MYR MYR02 SFEMC MYR INDICATIVE SURVEY RATE

MYR MYR03 MYR PPKM

PEN PEN01 PEN PDSB

PEN PEN02 PEN PDSC

PEN PEN03 PEN WT AVE

PEN PEN04 EMTA PEN INDICATIVE SURVEY RATE

PEN PEN05 PEN INTERBANK AVE

CNH/PHP HKD/PHP01 PHPESO KRW/CNY PHP/JPY USD/IDR 

PHPCNH/TWD PHP02 PHP 

TELERATE 

2920HKD/TWD

KRW/EUR PHP/KRW USD/INR 

PHP PHP03 PHP TELERATE 15439 

PHP PHP04 PHPES01 

PHPCNY/AUD PHP05 SFEMC PHP 

INDICATIVE 

SURVEY 

RATEIDR/AUD

KRW/GBP PHP/MYR USD/KES 
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PHP PHP06 PHP PDSPESO 

RUBCNY/CAD RUB01 RUB 

MICEXFRXIDR/CAD

KRW/IDR PHP/NZD USD/KRW 

RUB RUB02 RUB MMVB 

RUB RUB03 RUB CME-EMTA 

RUBCNY/CHF RUB04 EMTA RUB 

INDICATIVE 

SURVEY 

RATEIDR/CHF

KRW/INR PHP/THB USD/KZT 

TWD TWD01 TWD TELERATE 6161 

TWDCNY/EUR TWD02 TWD 

TFEMAIDR/CNH

KRW/JPY PHP/TWD USD/MYR 

TWD TWD03 TWD TAIFIX1 

TWD TWD04 SFEMC 

VEBCNY/GBP VEF01 VEF 

FIXIDR/CNY

KRW/MYR SGD/CNY USD/NGN 

VND VND01 VND ABS 

VNDCNY/HKD VND02 VND 

FXIDR/EUR

KRW/NZD SGD/IDR USD/PEN 

VND VND03 SFEMC VND INDICATIVE SURVEY RATE

CNY/IDR IDR/GBP KRW/PHP SGD/INR USD/PHP 

CNY/INR IDR/HKD KRW/SGD SGD/KRW USD/RUB 

CNY/JPY IDR/INR KRW/THB SGD/MYR USD/TWD 

CNY/KRW IDR/JPY KRW/TWD SGD/PHP USD/UAH 

CNY/MYR IDR/KRW MYR/AUD SGD/TWD USD/VND 

CNY/NZD IDR/MYR MYR/CAD THB/CNY USD/ZMW 

CNY/PHP IDR/NZD MYR/CHF THB/IDR 
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FX Non-Deliverable Vanilla Option Requirements and Defaults 

Variable Requirement Default 

Commencement Date American Style ONLY Trade Date 

Latest Exercise Time American Style ONLY Same as Expiration Time 

Automatic Exercise Applicable 

Business Days for Premium 

Payment Date 

At least one of the specified 

locations must be able to settle 

relevant Currency 

Principal Financial Center for 

Currency of Premium 

Business Days for Settlement Dates: The specified locations must at least 

be able to settle each Currency in the 

Currency Pair 

Principal Financial Center for each 

Currency of the Currency Pair 

Business Days for Exercise Date Location of Seller Location of Seller 

Business Days for Expiration Dates: If Automatic Exercise does not 

apply, location of Seller 

If Automatic Exercise does apply, 

trading day for each Currency of 

Currency Pair 

Location of Seller and trading day 

for each Currency of Currency Pair 

Business Day Convention for 

Premium Payment Date: 

Cannot result in payment due prior 

to Trade Date 

Following 

Business Day Convention for 

Expiration Date: 

Following 

Business Day Convention for 

Settlement Date 

Cannot result in payment due prior 

to Exercise Date 

Following 

Disruption Events: Price Source Disruption ONLY

Disruption Fallbacks: Required only if there are Disruption 

Events 

For Price Source Disruption per the 

1998 Definitions 

FX Non-Deliverable Vanilla Available Option Styles 

Style Description Default 

American Can be exercised on any Exercise 

Business Day from and including the 

Commencement Date to and 

including the Expiration Date 

Yes 

European Can be exercised only on the 

Expiration Date 

No 

Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding