Bloomberg SEF LLC 

New Contract Submission 2023-P-02 

March 28, 2023 

1. The Contract’s terms and conditions are provided in Attachment A. 

 

2. The intended listing date is March 31, 2023. 

 

3. Attached, please find a certification that, concurrent with this submission, Bloomberg 

SEF LLC (“BSEF”) posted on its website: (a) a notice of pending certification of this 

Contract with the U.S. Commodity Futures Trading Commission (“Commission”); and 

(b) a copy of this submission. 

4. Attached, please find a certification that the Contract complies with the Commodity 

Exchange Act (the “Act”) and the Commission regulations thereunder. 

5. Capitalized terms used but not defined herein have the meaning ascribed to them in the 

BSEF Rulebook. 

EXPLANATION AND ANALYSIS OF THE CONTRACT’S COMPLIANCE WITH 

APPLICABLE CORE PRINCIPLES AND COMMISSION REGULATIONS 

As required by Commission Regulation § 40.2(a), the following analysis demonstrates that the 

Contract is consistent with the requirements of the Act and the Commission regulations and 

policies thereunder (in particular, Appendix B to Part 37 and Appendix C to Part 38, 

respectively). 

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 
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its own reference price using suitable and well-established 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. 

This Contract is standard of a non-deliverable forward contract, in that the counterparties arrange 

settlement by calculating the difference between the contracted reference currency rate 

(“Forward Rate”), which is agreed on between the counterparties at the start of the Contract, and 

the spot reference currency rate, on the Fixing Date (“Spot FX Rate”). This difference is then 

multiplied by the notional amount, which is also determined at the start of the Contract. As such, 

the reference price is the prevailing Spot FX Rate on the date / time in which the parties agree 

that the comparison will be made (“Fixing Date”). The applicable Spot FX Rate for this 

Contract is calculated by Central Banks, the Emerging Market Trades Association (“EMTA”), 

Bloomberg Index Services Limited (“BISL”), and Refinitiv Benchmark Services Limited 

(“Refinitiv”). 

Reference Price is Not Readily Susceptible to Manipulation 

The applicable Spot FX Rate (i.e., the reference price) of the Contract is not easily susceptible to 

manipulation since it is generated through a transparent, rules-based process. 

Spot FX Rates are easily accessible to the public from the sources indicated below.1

 AOA (Angolan Kwanza): The Spot FX Rate (“AOA OFFICIAL” or “AOA1”) for the 

Fixing Date will be the Angolan Kwanza/U.S. Dollar currency exchange rate, expressed 

as the amount of Angolan Kwanza per one U.S. Dollar, for settlement in two Business 

Days, reported by the Banco Nacional de Angola (National Bank of Angola) 

(www.bna.ao) as its selling (“Venda”) rate by approximately 5:00 p.m., Luanda time, on 

that Rate Calculation Date. AOA OFFICIAL is currently published on the Bloomberg 

Terminal page WMCO<GO>, under Daily Spot Rate Fixings then US Dollar Rates 

Source, and on the Refinitiv Screen AOAFIX= on the relevant Rate Calculation Date. 

 CRC (Costa Rican Colon): The Spot FX Rate (“CRC”) for the Fixing Date will be the 

spot rate, or closing spot rate, as the case may be, for the Currency Pair identified in the 

related Confirmation reported by either: 

1

 Please see https://www.bloomberg.com/professional/product/indices/bfix/ and 

https://www.emta.org/media/fdtdreoj/annex-a-to-the-1998-fx-and-currency-option-definitions-amended-andrestated-as-of-november-19-2017-amended-february-23-2022.pdf. Terms used but not defined herein or otherwise 

defined in this Contract have the meaning ascribed to them in the documents referenced in this footnote 1. 
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o BFX03: Bloomberg Index Services Limited which appears on Bloomberg Screen 

BFIX under the caption “MID” at the Specified Time on that Rate Calculation 

Date. A further description of the “Bloomberg MID” or “BFX03” Spot FX rate 

for CRC is currently published on the Bloomberg Terminal page under BFIX. 

o WMR03: Refinitiv Benchmark Services (UK) Ltd. which appears on the 

Refinitiv Screen WMRPSPOT (or Refinitiv Screen WMRSPOT, in the case of 

the closing rate) for such Currency Pair under the caption “MID” at the Specified 

Time on that Rate Calculation Date. A further description of the “WM/Refinitiv 

MID” or “WMR03” Spot FX rate for CRC is currently published on the 

Bloomberg Terminal page WMCO under Daily Spot Rate Fixings then US 

Dollar Rates Source; or 

 DOP (Dominican Republic Peso): The Spot FX Rate (“DOP”) for the Fixing Date will 

be the spot rate, or closing spot rate, as the case may be, for the Currency Pair identified 

in the related Confirmation reported by either: 

o BFX03: Bloomberg Index Services Limited which appears on Bloomberg Screen 

BFIX under the caption “MID” at the Specified Time on that Rate Calculation 

Date. A further description of the “Bloomberg MID” or “BFX03” Spot FX rate 

for DOP is currently published on the Bloomberg Terminal page under BFIX. 

o WMR03: Refinitiv Benchmark Services (UK) Ltd. which appears on the 

Refinitiv Screen WMRPSPOT (or Refinitiv Screen WMRSPOT, in the case of 

the closing rate) for such Currency Pair under the caption “MID” at the Specified 

Time on that Rate Calculation Date. A further description of the “WM/Refinitiv 

MID” or “WMR03” Spot FX rate for DOP is currently published on the 

Bloomberg Terminal page WMCO under Daily Spot Rate Fixings then US 

Dollar Rates Source; or 

 GEL (Georgian Lari): The Spot FX Rate (“GEL”) for the Fixing Date will be the spot 

rate, or closing spot rate, as the case may be, for the Currency Pair identified in the 

related Confirmation reported by either: 

o BFX03: Bloomberg Index Services Limited which appears on Bloomberg Screen 

BFIX under the caption “MID” at the Specified Time on that Rate Calculation 

Date. A further description of the “Bloomberg MID” or “BFX03” Spot FX rate 

for GEL is currently published on the Bloomberg Terminal page under BFIX. 

o WMR03: Refinitiv Benchmark Services (UK) Ltd. which appears on the 

Refinitiv Screen WMRPSPOT (or Refinitiv Screen WMRSPOT, in the case of 

the closing rate) for such Currency Pair under the caption “MID” at the Specified 

Time on that Rate Calculation Date. A further description of the “WM/Refinitiv 

MID” or “WMR03” Spot FX rate for GEL is currently published on the 

Bloomberg Terminal page WMCO under Daily Spot Rate Fixings then US 

Dollar Rates Source; or 

 NPR (Nepalese Rupee): The Spot FX Rate (“NPR”) for the Fixing Date will be the spot 

rate, or closing spot rate, as the case may be, for the Currency Pair identified in the 

related Confirmation reported by either: 
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o BFX03: Bloomberg Index Services Limited which appears on Bloomberg Screen 

BFIX under the caption “MID” at the Specified Time on that Rate Calculation 

Date. A further description of the “Bloomberg MID” or “BFX03” Spot FX rate 

for NPR is currently published on the Bloomberg Terminal page under BFIX. 

o WMR03: Refinitiv Benchmark Services (UK) Ltd. which appears on the 

Refinitiv Screen WMRPSPOT (or Refinitiv Screen WMRSPOT, in the case of 

the closing rate) for such Currency Pair under the caption “MID” at the Specified 

Time on that Rate Calculation Date. A further description of the “WM/Refinitiv 

MID” or “WMR03” Spot FX rate for NPR is currently published on the 

Bloomberg Terminal page WMCO under Daily Spot Rate Fixings then US 

Dollar Rates Source; or 

 PYG (Paraguayan Guarani): The Spot FX Rate (“PYG”) for the Fixing Date will be 

the spot rate, or closing spot rate, as the case may be, for the Currency Pair identified in 

the related Confirmation reported by either: 

o BFX03: Bloomberg Index Services Limited which appears on Bloomberg Screen 

BFIX under the caption “MID” at the Specified Time on that Rate Calculation 

Date. A further description of the “Bloomberg MID” or “BFX03” Spot FX rate 

for PYG is currently published on the Bloomberg Terminal page under BFIX. 

o WMR03: Refinitiv Benchmark Services (UK) Ltd. which appears on the 

Refinitiv Screen WMRPSPOT (or Refinitiv Screen WMRSPOT, in the case of 

the closing rate) for such Currency Pair under the caption “MID” at the Specified 

Time on that Rate Calculation Date. A further description of the “WM/Refinitiv 

MID” or “WMR03” Spot FX rate for PYG is currently published on the 

Bloomberg Terminal page WMCO under Daily Spot Rate Fixings then US 

Dollar Rates Source; or 

 UGX (Ugandan Shilling): The Spot FX Rate (“UGX MID” or “UGX01”) for the Fixing 

Date will be the arithmetic average of the Ugandan Shilling/U.S. Dollar “Mid” buying 

and selling exchange rates, expressed as the amount of Ugandan Shilling per one U.S. 

Dollar, for settlement in two Business Days, reported by the Bank of Uganda 

(www.bou.or.ug) by approximately 12:00 noon, Kampala time, on that Fixing Date. 

UGX MID is currently published on the Bloomberg Terminal page WMCO under Daily 

Spot Rate Fixings then US Dollar Rates Source. 

The relevant Spot FX Rates for CRC, DOP, GEL, NPR, and PYG (“Non-Trade Currencies”) are 

calculated as reported by BISL, the administrator of the Bloomberg Fixings (“BFIX”) Spot, 

Forward and NDF rate fixings for certain currencies and metals, or Refinitiv, the administrator of 

the WM/Refinitiv Spot, Forward and NDF foreign exchange benchmarks; each are supervised by 

the European Securities and Markets Authority (“ESMA”) and the UK Financial Conduct 

Authority ("FCA") as a Benchmark Administrator. 

(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. 
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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). 

Terms of the Contract 

The terms of the contract are attached as Attachment A and will be added to BSEF Rule 1401. 

Calculation of Cash Settlement Price 

As noted above and as is typical with non-deliverable forwards, the cash settlement price will be 

the difference between the Forward Rate and the prevailing Spot FX Rate multiplied by an 

agreed upon notional amount. Thus, the settlement will be based on the following: 

1. Reference Currency: As selected by the counterparties at the Trade Date (i.e., start of 

the Contract); available Reference Currencies are listed in Annex B. 

2. Settlement Currency: As determined by the counterparties at the Trade Date; available 

currencies are listed in the Contract’s terms and conditions (Annex A). 

3. Notional Amount: Amount agreed by the counterparties at the Trade Date. 

4. Forward Rate: Rate agreed by counterparties, expressed as Reference Currency per unit 

of Settlement Currency. 

5. Spot FX Rate: Exchange rate, expressed as Reference Currency per unit of Settlement 

Currency. The Spot FX Rate is determined on the Fixing Date by reference to a rate 

published by a source set forth in Annex B hereto. 

6. Fixing Date: Date, agreed by counterparties, on which the difference between the Spot 

FX Rate and the Forward Rate is calculated. 

7. Settlement Date: Date, agreed by counterparties, on which settlement payments will be 

made. 

On the Fixing Date, the parties will calculate the difference between the Forward Rate and the 

Spot FX Rate and multiply that difference by the notional amount, to arrive at the cash 

settlement price. The cash settlement will be due on the Settlement Date. As noted, this method 

of calculating settlement for the Contract is a common, widely-used, and widely accepted 

method of calculating the cash settlement for non-deliverable forward contracts. 
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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. Cash-settled 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 Contract is not readily susceptible to manipulation for a number of reasons. First, the 

foreign exchange market is an extremely liquid market with massive volume, making 

manipulation very difficult to achieve. Second, as noted above, the method for calculating the 

cash settlement price – calculating the difference between the Spot FX Rate and the Forward 

Rate – is widely used and generally accepted by market participants. Third, as discussed above, 

the reference used for the Spot FX Rate is very reliable and widely available, and used by 

numerous market participants. And last, BSEF has a robust market surveillance program that is 

designed to surveil this market, detect uncommon activity, and investigate any such activity for 

signs of 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 cash-settled 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 cash-settlement computation in order to profit on a 
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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. 

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

(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, indicating that the 

method of calculating the cash settlement price is widely accepted in the market. 

(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 reliability and widespread acceptance of the method used to 

generate 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. 
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The Spot FX Rates are readily available via a number of sources including websites of Central 

Banks, EMTA, Bloomberg, and Refinitiv. 

(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. 

The terms and conditions of the Contract include all applicable information, including that: (a) 

the cash settlement amount of the contract will be determined on the Fixing Date; (b) payments 

will be transferred on the Settlement Date; and (c) the Contract size will be determined by the 

counterparties. 

(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 note that the Contract is based on the applicable foreign 

exchange rates. 

(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 the Contract, which will be determined by the counterparties, is consistent with 

customary transactions 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 it is reliable, accepted, publicly 

available, and reported in a timely manner appears 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 the counterparties, the pricing basis is consistent with customary transactions 

in the market. 
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(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 is the Fixing Date, when the difference between the prevailing market 

exchange rate and the agreed upon exchange rate is calculated. 

(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. 

The contract will be entered into on the Trade Date, the settlement price will be determined on 

the Fixing Date, and the settlement payments will be made on the Settlement Date. As is 

common with non-deliverable forwards, these dates will be set by the individual counterparties.

(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. 
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BSEF 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 Contract is traded 14:00 Sunday to 17:00 Friday U.S. Eastern Time. 
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 

I hereby certify that: 1) the Contract complies with the Commodity Exchange Act, 7 

U.S.C. §1 et seq. and regulations thereunder; and 2) concurrent with this submission, Bloomberg 

SEF LLC posted on its website: (a) a notice of pending certification of the Contract with the 

Commission; and (b) a copy of this submission. 

_________________________ 

By: Daniel Glatter

Title: Chief Compliance Officer
Attachment A 

Terms and Conditions 

Contract Overview A non-deliverable forward (NDF) is a forward contract which counterparties 

settle by exchanging in Settlement Currency the difference between the Forward 

Rate agreed upon at the inception of the contract and the Reference Rate on the 

Fixing Date on an agreed notional amount. 

Ticker NDF-[currency pair][settlement currency][fixing date] 

Reference Currency (i.e., NonDeliverable Currency) 

 AOA Angolan Kwanza 

 CRC Costa Rican Colon 

 DOP Dominican Republic Peso 

 GEL Georgian Lari 

 NPR Nepalese Rupee 

 PYG Paraguayan Guarani 

 UGX Ugandan Shilling 

Reference Rate For a specific currency, see Annex B 

Settlement Currency See Settlement Currency List in Annex A 

Quoting Convention 

and Minimum Increment

Notional amount, as agreed by counterparties. 

Minimum Size Notional amount, as agreed by counterparties. 

Notional Currency Currency in which contract size is expressed in, as agreed by counterparties. 

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency. 

Forward Rate Currency exchange rate expressed as the amount of Reference Currency per unit 

of Settlement Currency. 

Trade Date The date on which parties enter into the contract. 

Settlement Date Specified settlement or payment date, as agreed by counterparties. 

Fixing Date The date at which the difference between the Reference Rate and the Forward 

Rate is calculated. 

Settlement Procedure Bilateral settlement performed in settlement currency. 

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 151 of the CFTC Regulations. 

Reportable Levels As set in CFTC Regulation 15.03. 
Annex A 

Settlement Currencies 

AED UAE Dirham GBP British Pound MRO Mauritania Ouguiya SLL Sierra Leone Leone 

AFN Afghanistan Afghani GEL Georgia Lari MUR Mauritius Rupee SOS Somali Shilling 

AMD Armenia Dram GHS Ghanaian cedi MVR Maldives Rufiyaa SRD Suriname Dollar 

ANG Neth. Ant. Guilder GMD Gambian Dalasi MWK Malawi Kwacha SSP South Sudanese Pound

AOA Angolan Kwanza GNF Guinea Franc MXN Mexican Peso STD Sao Tome Dobra 

ARS Argentine Peso GTQ Guatemala Quetzal MYR Malaysian Ringgit SVC El Salvador Colon 

AUD Australian Dollar GYD Guyana Dollar MZM Mozambique Metical THB Thai Baht 

AWG Aruban Guilder HKD Hong Kong Dollar MZN New Mozambique Metical TJS Tajikistan Somoni 

BAM Bosnia-Herze Convrt Mrka HNL Honduras Lempira NGN Nigeria Naira TND Tunisian Dinar 

BBD Barbados Dollar HRK Croatia Kuna NID New Iraqi Dinar TOP Tonga Pa’Anga 

BDT Banglaldesh Taka HTG Haiti Gourde NIO Nicaragua Cordoba TRY Turkish Lira 

BGD Bulgarian Lev HUF Hungarian Forint NLG Dutch Guilder TTD Trinidad/Tobago Dol 

BHD Bahraini Dinar IDR Indonesian Rupiah NOK Norwegian Krone TWD Taiwan Dollar 

BIF Burundi Franc ILS Israeli Shekel NPR Nepalese Rupee TZS Tanzanian Shilling 

BMD Bermudian Dollar INR Indian Rupee NZD New Zealand Dollar UAH Ukraine Hryvnia 

BND Brunei Dollar ISK Iceland Krona OMR Omani Rial UDI Mexican UDI 

BOB Bolivian Boliviano JMD Jamaica Dollar PAD Panamanian Balboa UGX Ugandan Shilling 

BRL Brazilian Real JOD Jordanian Dinar PEN Peruvian New Sol USD US Dollar 

BSD Bahamas Dollar JPY Japanese Yen PGK Papua N.G. Kina UYU Uruguay Peso 

BWP Botswana Pula KES Kenyan Shilling PHP Philippines Peso UZS Uzbekistan Sum 

BYR Belarus Ruble KGS Kyrgyzstan Som PKR Pakistani Rupee VEE Venezuela Essential Rate 

BZD Belize Dollar KHR Cambia Riel PLN Polish Zloty VEF Venezuelan Bolivar 

CAD Canadian Dollar KMF Comoros Franc PTE Portuguese Escudo VND Vietnamese Dong 

CDF Congolese Franc KRW South Korean Won PYG Paraguay Guarani VUV Vanuatu Vatu 

CHF Swiss Franc KWD Kuwaiti Dinar ROL Romanian Leu WAR Qatari Riyal 

CLP Chilean Peso KYD Cayman Islands Dollar RON New Romanian Leu WST Samoa (West) Tala 

CNY China Renminbi (NDF) KZT Kazakhstan Tenge RSD Serbian Dinar XAF CFA Franc Beac 

COP Colombian Peso LAK Laos Kip RUB Russian Ruble (NDF) XCD East Caribbean Dollar

CRC Costa Rican Colon LBP Lebanese Pound RWF Rwanda Franc XDR Special Drawing Rights 

CVE Cape Verde Escudo LKR Sri Lankan Rupee SAR Saudi Riyal XOF CFA Franc Bceao 

CZK Czech Koruna LTL Lithuanian Litas SBD Solomon Is. Dollar XPF Pacific Island Franc 

DJF Djibouti Franc LVL Latvian Lats SCR Seychelles Rupee XSU Sucre 

DKK Danish Krone MAD Moroccan Dirham SDD Sudanese Dinar YER Yemeni Rial 

DOP Dominican Repb. MDL Moldova Leu SDG New Sudanese Pound ZAR S. African Rand

DZD Algerian Dinar MGA Malagascy Ariary SDP Old Sudanese Pound ZMK Zambian Kwacha 

EGP Egyptian Pound (NDF) MKD Macedonia Denar SEK Swedish Korna ZMW Zambia Kwacha 

ERN Eritrean Nakfa MMK Myanmar Kyat SGD Singapore Dollar ZWR Zimbabwe Dollar 

EUR Euro MNT Mongolian Togrog SIT Slovenia Tolar 

FJD Fiji Dollar MOP Macau Pataca SKK Slovakia Koruna 
Annex B 

Exchange Rate Sources

Currency Spot FX Rate 

Sources 

Description 

Angolan 

Kwanza (AOA) 

AOA Official 

or AOA1 

“AOA Official” 

 or “AOA1” as described in ANNEX A to the 1998 FX and Currency Option 

Definitions effective on the Fixing Date published by International Swaps and 

Derivatives Association, Inc and Trade Association for the Emerging Markets. 

Costa Rican 

Colon (CRC) 

Bloomberg 

MID or 

BFX03 

“Bloomberg MID” or “BFX03” as described in the ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

WM/Refinitiv 

MID or 

WMR03 

“WM/ RefinitivMID” or “WMR03” as described in ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

Dominican 

Republic Peso 

(DOP) 

Bloomberg 

MID or 

BFX03 

“Bloomberg MID” or “BFX03” as described in the ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

WM/Refinitiv 

MID or 

WMR03 

“WM/ RefinitivMID” or “WMR03” as described in ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

Georgian Lari 

(GEL) 

Bloomberg 

MID or 

BFX03 

“Bloomberg MID” or “BFX03” as described in the ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

WM/Refinitiv 

MID or 

WMR03 

“WM/ RefinitivMID” or “WMR03” as described in ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

Nepalese Rupee 

(NPR) 

Bloomberg 

MID or 

BFX03 

“Bloomberg MID” or “BFX03” as described in the ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

WM/Refinitiv 

MID or 

WMR03 

“WM/ RefinitivMID” or “WMR03” as described in ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

Paraguayan 

Guarani (PYG) 

Bloomberg 

MID or 

BFX03 

“Bloomberg MID” or “BFX03” as described in the ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

WM/Refinitiv 

MID or 

WMR03 

“WM/ RefinitivMID” or “WMR03” as described in ANNEX A to the 1998 FX 

and Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets. 

Ugandan 

Shilling (UGX) 

UGX MID or 

UGX01 

“UGX MID” or “UGX01” as described in ANNEX A to the 1998 FX and 

Currency Option Definitions effective on the Fixing Date published by 

International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets.