Bloomberg SEF LLC 

New Contract Submission 2023-P-01 

January 30, 2023 

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

 

2. The intended listing date is January 1, 2024. 

 

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

on its website: (a) a notice of pending certification of this Contract with the U.S. 

Commodity Futures Trading Commission (the “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 meanings ascribed to them in the 

Bloomberg SEF LLC (“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 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 

its own reference price using suitable and well-established acceptable methods or carefully 
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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. 

Background 

As the following demonstrates, BSEF, through the terms and conditions of the Contract, has 

given careful consideration to potential for manipulation and price distortion and has constructed 

the Contract’s terms and conditions to reduce potential for price manipulation or distortion. 

The Contract is a cash-settled, uncleared swap contract allowing the counterparties to buy or sell 

YLDVUS Index (as defined below) at a specified price on a future date. 

Under the Contract, which is denominated in U.S. Dollars (USD), one counterparty agrees to buy 

or sell the Contract at a pre-determined price for a particular tenor and the other counterparty 

agrees to take the opposite position. The Contract could be used by market participants to hedge 

“Vega”, i.e., the price sensitivity of an instrument to changes to volatility of the underlying asset 

– U.S. interest rates. The underlying commodity for the Contract is the T3 Yield Volatility Index 

US, also known as USD YLDVOL Index (“YLDVUS Index”), which represents the implied 

normal volatility of a 1 month 10 years at-the-money option straddle1

 on a USD SOFR OIS 

Fixed-to-Floating swap contract (the “YLDVOL Swaption Straddle”). 

The Contract settles to a settlement price (“Settlement Price”), which is determined by a 

monthly auction operated by BSEF (the “Auction”) on the YLDVOL Swaption Straddle. The 

terms of the Auction are set forth in BSEF’s Rulebook. The terms provide that a participant must 

post both firm bids and offers with the maximum spread between bids and offers and fixed strike 

price specified by BSEF. The maximum spread and fixed strike price are communicated to 

participants when they launch a BSEF Auction ticket and prior to submitting a bid or an offer to 

BSEF. 

The terms of the Auction also provide for a fixed notional amount for a transaction of 100 

million USD. The Auction is held at 9:30 a.m. EST on the third Wednesday of each calendar 

month, unless that day falls on a U.S. public holiday, in which case the Auction takes place on 

the preceding trading day, or as otherwise specified in the Contract terms (see Attachment A). 

BSEF will not enter into the Auction bids and offers that are significantly higher or lower than 

the rest of the bids submitted to the Auction as described in BSEF’s Rulebook. BSEF will 

execute trades only if there is an overlap between the bids and offers. To execute trades, BSEF 

will match orders where the bid is equal or greater than the offer based on a price-time priority 

1 A straddle is an options strategy involving the purchase of both a put and call option for the same expiration date

and strike price on the same underlying.
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algorithm, as described in BSEF’s Rulebook. The price entered first (bid or offer) will be the 

execution price. 

Solactive, A.G. (“Solactive”), on behalf of T3I Pty Ltd (“T3”), will calculate the Settlement 

Price for the expiring Contract as described in Attachment A, based on Auction bids and offers 

sent by BSEF. The Contract provides for back-up methodologies for determination of the 

Settlement Price if the Auction bids and offers were not available or available in an insufficient 

amount to be a reliable indicator of market price. BSEF will publish the Settlement Price on its 

website at: https://www.bloomberg.com/professional/product/swap-execution-facility/. It will 

also be made available on the Bloomberg Terminal and on T3’s website at 

https://t3index.com/indices/yldvol. 

The Settlement Price will be calculated by Solactive, the calculation agent.2 Solactive was 

established in 2007 and located in Frankfurt, Germany. Solactive is registered with the German 

Federal Financial Supervisory Authority (BaFin) as a benchmark administrator under the 

European Benchmarks Regulation (BMR). It is included on the European Securities and Markets 

Administration’s register of benchmark administrators.3

 Solactive has confirmed its compliance 

with IOSCO principles for Financial Benchmarks.4

 Solactive, as calculation agent, will calculate 

the Settlement Price based upon data provided by BSEF from the Auction that BSEF hosts. 

The YLDVUS Index is not a component of the Settlement Price calculation, which as noted 

above, is based on actual transactions in the monthly Auction hosted by BSEF. The YLDVUS 

Index is owned by T3. YLDVUS Index is calculated by Solactive, T3’s calculation agent, from 

inputs derived from transaction and indicative prices of the YLDVOL Swaption Straddles of an 

interdealer broker (“IDB”). T3 receives a data feed from the IDB that contains both transaction 

and indicative prices for the YLDVOL Swaption Straddle. 

The algorithm used by Solactive for calculation of the YLDVUS Index is programed to choose 

actual transactions over bids or offers, to use the last transaction if there is no current bid or 

offer, and to disregard outlier bids or offers that exceed (or are below) the next closest bid (offer) 

by a specified percentage. The YLDVUS Index is calculated and published every 15 minutes 

during each trading day. The YLDVUS Index calculation methodology can be found at 

https://t3index.com/indices/yldvol. YLDVOL Index is made available at least every 15 minutes 

on the Bloomberg Terminal and by T3 on its website at: https://t3index.com/indices/yldvol/.5

(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. 

2

 BSEF contracted with T3 to calculate the Settlement Price. T3 has hired Solactive to act as a calculation agent. 3

 The registration status of Solactive may be verified at: 

https://registers.esma.europa.eu/publication/searchRegister?core=esma_registers_bench_entities. 4

 Solactive has registered over 1,700 indices with BaFin, the German Federal Financial Supervisory Authority, and 

its indices may be directly investable or underlying other instruments. It provides a variety of other calculation 

services, including providing real-time calculation of indicative net asset values of ETFs, which it distributes 

globally to exchanges. 

5

 Also see: https://www.solactive.com/indices/?se=1&index=DE000SL0FJQ0 
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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). 

The Settlement Price will be commercially acceptable and reliable due to its reliance on actual 

trading in the YLDVOL Swaption Straddles. The very frequent publication of the YLDVUS 

Index will enhance the acceptability, public availability, and timeliness of the price series 

associated with the Settlement Price. These factors will discourage price manipulation or 

distortion of the Contract. 

The Settlement Price is Robust, Reliable and Acceptable 

The Settlement Price is calculated using traded prices or bids and offers from the Auction. The 

Auction is an anonymous auction. Any BSEF participant that complies with Auction rules can 

participate, but the likely participants in the Auction will be major swap dealers. BSEF reserves 

the right to suspend the ability of a participant to respond to request for quotes for the Contract 

from other BSEF participants if such participant does not participate in an Auction on a regular 

basis, as specified in BSEF’s Rulebook. In this way, BSEF will ensure sufficient participation so 

that the bids and offers in the Auction are entered by market participants that are knowledgeable 

of market conditions and able to make or take delivery of YLDVOL Swaption Straddles through 

the Auction. 

The procedures for determining the Settlement Price are robust and include specific limits and 

thresholds designed to forestall undue influence on the prices and to eliminate outlier data. 

The rules of the Auction themselves will discourage price manipulation or distortion of the 

Settlement Price. First, the Settlement Price will be based on firm bids and offers entered into the 

Auction. Second, participants must enter both bids and offers, with the maximum spread 

established by BSEF, based on BSEF’s own analytics. This ensures that participants will be 

equally likely to make delivery as to take delivery. Third, there is a BSEF-mandated transaction 

size and Fixed Strike Price, so that no one participant can dominate the Auction through an 

outsized position or more favorable pricing. Fourth, the bids and offers are subject to further 

automated scrutiny by BSEF which will not enter into the Auction any bids or offers that are 
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significantly different from the rest into the Auction, protecting against obvious attempts to 

manipulate or distort the settlement price. Fifth, the Settlement Price will be based either on 

traded prices or be an average of bids and offers, if no trades were executed, further lessening 

any one entity’s ability to affect the Settlement Price. Finally, the calculation of the Settlement 

Price will take place after trading in the Contract has terminated. This discourages any gaming 

of trading in the Contract while the Settlement Price is being determined.6 

 

The Settlement Price will be acceptable to market participants based upon 1) participation of 

major swap dealers in the Auction; 2) the use of an actual Auction that includes the safeguards 

mentioned above to determine the Settlement Price. 

BSEF will operate the Auction, and Solactive will calculate the Settlement Price using inputs 

from the Auction. Solactive, as a registered benchmark administrator, provides for appropriate 

protections and controls in respect of its handling of this data, and prohibits its employees from 

trading for their own accounts in the Contract or related products. 

One component of the acceptability and reliability of a Settlement Price is the oversight and 

surveillance of the Settlement Price determination. In this regard, BSEF will undertake 

surveillance of the Auction and has in place an information sharing agreement with T3 to share 

information as appropriate and necessary to address any anomalous pricing situation. 

Publication of the Settlement Price will be shortly after conclusion of the Auction. The 

Settlement Price will be made publicly available on BSEF’s website as soon as it is calculated. 

Insofar as there is only a monthly Auction to determine Settlement Price, the YLDVUS Index 

level will be available to assist in Contract valuation, throughout the life of a Contract’s tenor. 

YLDVUS Index is Robust, Reliable and Acceptable 

T3 is the owner of the YLDVUS Index. The YLDVUS Index is calculated and published on an 

ongoing basis during the periods between BSEF’s publication of the Settlement Price.7

 The 

YLDVUS Index will provide important information which will assist market participants in 

measuring the value of the Contract (in addition to indicative quotes and trades on the BSEF 

market) during the intervals between publication of the Settlement Price. 

The robust nature of the YLDVUS Index8

 is achieved through its construction and its data 

sources. As explained above, Solactive uses independent data feeds from a major IDB in the 

swaption markets. The use of IDB pricing feeds that are independent of each other provides a 

means of cross-checking price information. Because this IDB intermediates significant liquidity 

in the swaption market, independent agreement of the sources with respect to price levels 

provides a degree of assurance that the price inputs to the index are reliable. Moreover, given the 

fact that these are market leaders in terms of price information, it would be more difficult for a 

counterparty that is a customer of an IDB to attempt to move the price with off-market bids or 

offers. Such actions would be more likely to garner greater scrutiny of the IDB’s customers. 

6

 This is a common safeguard used in the trading of cash-settled futures. 7

 See https://t3index.com/indices/yldvol/ and https://www.solactive.com/indices/?se=1&index=DE000SL0FJQ0 8

 See https://t3index.com/indices/yldvol. 
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Finally, by referring to pricing feeds which are supplied independently, Solactive through its 

surveillance algorithms can cross-reference them and remove outliers. Thus, the use of these 

sources of data provides a mechanism designed to assure the quality of the data upon which the 

YLDVUS Index is calculated. 

The quality of the YLDVUS Index construction, the use of a diverse source of market data by 

Solactive and Solactive’s automated surveillance, support acceptance of the YLDVUS Index by 

market participants. Moreover, the difficulty of computing the multiple factors that go into the 

index, and the current lack of a readily available alternative source of such an index, further 

support the YLDVUS Index’s commercial acceptance. 

Finally, in furtherance of its enhanced surveillance of the Contract, BSEF has entered into an 

information sharing arrangement with T3 in respect of Solactive’s calculation of the YLDVUS 

Index. This agreement will enable BSEF and T3 to share information as appropriate and 

necessary to address any anomalous pricing situation. 

Both the Settlement Price determination and the YLDVUS Index has been constructed and will 

be operated in a manner to meet the requirements that the Contract not be readily subject to 

manipulation, and its listing by BSEF is in accordance with Section 5h(f)(3) of the Act and 

regulations thereunder. 

Essential Economic Characteristics of the Contract 

Terms 

The terms of the Contract are described in Attachment A. The Contract is composed of both 

fixed and variable terms. This combination of standard and flexible terms allows the Contract to 

have a basic consistent form, while allowing counterparties to tailor the Contract to their 

economic needs. The structure follows industry convention; the terms of the Contract match the 

terms of equity futures contracts that are commonly offered in the market. 

Contract Not Readily Susceptible to Manipulation 

The Contract is not readily susceptible to manipulation for a number of reasons. First, all 

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

throughout the life of the swap. Second, manipulation is difficult to achieve given the 

calculation of the YLDVUS Index is based on inputs derived from transaction and indicative 

prices of the YLDVOL Swaption Straddles of a large IDB that is registered with the Commission 

as an introducing broker. 

Calculation of Cash Settlement Price 

Please see above. 

(2) Cash settled contracts may be susceptible to manipulation or price distortion. In 
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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 Settlement Price is not easily susceptible to manipulation or distortion, as it is calculated by 

Solactive, which is registered with the German Federal Financial Supervisory Authority (BaFin) 

as a benchmark administrator under the European Benchmarks Regulation (BMR). 

(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 

futures position in that commodity, a designated contract market should, whenever 

practicable, enter into an information-sharing agreement with the third-party provider 

which would enable the designated contract market to better detect and prevent 

manipulative behavior. 

As described above, the Settlement Price is calculated through an Auction that will not be 

influenced by daily trading prices and volume in the Contract and is not easily susceptible to 
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manipulation. 

(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. 

(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. 

(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 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. 
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The Contract’s terms are described in Attachment A and specifies trading months, last trading 

day, size and minimum price change. 

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

describe the commodity underlying the contract. 

The reference to YLDVUS Index is included in the Contract’s terms and conditions. 

(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 Contract has a fixed size of US$ 1,000 of Normal Vega. Normal Vega is Vega when 

assumed returns in interest rates follow a normal distribution. 

(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. 

Please see above. The cash settlement procedure and an explanation of how, in the context of this 

Contract, it is not readily susceptible to manipulation, is described above. 

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

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

increment commonly observed in cash market transactions for the underlying commodity. 

Specifying a futures’ minimum tick that is greater than the minimum price increment in 

the cash market can undermine the risk management utility of the futures contract by 

preventing hedgers from efficiently establishing and liquidating futures positions that are 

used to hedge anticipated cash market transactions or cash market positions. 

Prices to be expressed in points to two decimal places with 1 point = $1000. The minimum price 

change (tick) is .01 or $10. 

The contract multiplier for each Contract is $1000 of Normal Vega. 

(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, 
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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. 

Subject to BSEF Rule 535. Risk Controls 

(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. 

Expiration date of the Contract is the third Wednesday of the calendar month, unless that day 

falls on a U.S. public holiday, in which case the Expiration Date will be the preceding trading 

day, or as otherwise specified by BSEF. No trading in the Contract will be permitted after 8:00 

p.m. on the New York business day immediately preceding the third Wednesday of the 

Contract’s named month of delivery. 

(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 is intended to standardize interest volatility trading and provides market 

participants with an efficient way of such trading by concentrating liquidity in 12 monthly dates. 

To allow market participants hedging on a continuous basis, BSEF lists the Contract for each 

month of the year based on the dates when the Settlement Price Auction is conducted. 

(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 of the Commission’s regulations. 

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

BSEF will adhere to 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. 
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The Contract is traded twenty-four hours a day (00:01 – 24:00), Sunday to Friday (ET). 
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
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Attachment A 

Terms and Conditions 

USD YLDVOL Forward Swap Contract

Contract Overview The Contract is a cash-settled, uncleared swap contract allowing the counterparties to buy or sell YLDVUS Index at a 

specified price on a future date. Under the Contract, one counterparty agrees to buy or sell the Contract at a predetermined price for a particular tenor and the other counterparty agrees to take the opposite position. 

Ticker USD Forward v YLDVUS MM/DDDD where MM/DDDD is the maturity date of the forward 

Index YLDVUS 

Settlement Currency USD 

Quoting Convention and 

Minimum Increment 

Prices to be expressed in points to two decimal places. 

1 point = $1000 

The minimum price change (tick) is .01 or $10. 

Contract Multiplier The contract multiplier for each Contract is $1000 of Normal Vega. Normal Vega is Vega when assuming returns in 

interest rates follow a normal distribution. 

Vega is the price sensitivity of an instrument to changes to volatility of the underlying asset. 

Contract Value Price * Contract Multiplier 

Contract Maturities 12 active monthly contracts 

Contract Expiration The third Wednesday of the Contract named calendar month of delivery, unless that day falls on a U.S. public holiday, 

in which case the Expiration Date will be the preceding trading day, or as otherwise specified by BSEF. 

Termination of Trading 8:00 pm New York time on the New York business day immediately preceding the third Wednesday of the Contract’s 

named month of delivery. 

Settlement Price The Settlement Price will be determined based on firm bids and offers from the Auction held by BSEF on the 

Expiration Date for a spot month Contract, as described in Chapter 5A of the BSEF Rulebook. The Settlement Price 

will be determined based upon the Auction Price calculated using the following hierarchy: 

Auction Price Calculation 

A. If there is no overlap between bids and offers participating in the Auction, then the Auction Price will be an 

arithmetic average of the highest four bids and lowest four offers. If there are less than four bids and offers, the 

Auction price will be an arithmetic average of all bids and offers; 

B. If there is an overlap between bids and offers participating in the Auction, then: 

1. Consider all eligible prices (i.e., integer increments) from the range of traded prices as matched on the 

Auction, including intermediate price levels where no trade took place. This ensures that the Auction Price 

falls within the range of traded prices at the conclusion of the Auction. 

2. The Auction Price is set where the maximum volume of eligible orders will trade. If there is more than one 

such price, principle 3 is applied to this select range of prices. 

3. The Auction Price is set where order imbalances (i.e., surplus volumes) are minimized. These are buying or 

selling volumes that will not be matched (i.e., leftovers) at a particular price. If there is more than one such 

price (where match volume is maximized AND order imbalance is minimized), consider principle 4. 

4. Look at the direction (buy or sell) of the order imbalances. 

a. If there are both buy and sell surplus volumes, the Settlement Price is set to be the average of the 

two prices where buy and sell surplus volumes switch. 

b. If all are excess buy (sell) volumes, use the highest (lowest) of these select price levels as the 

Settlement Price. 

c. If there are prices where both buy and sell imbalances are zero, the Settlement Price is set to be 

the average (or mid-point) of these prices. 

YLDVOL Settlement Price Calculation 

Once the Auction is concluded, the Settlement Price will be calculated using the following formula: 

Where: 

 is the year fraction from calculation date to the YLDVOL Swaption Straddle expiration date according to ISDA 

ACT/360 day count convention. 

 F is the Auction Price. 

 is the discount factor from the Spot Date to the Effective Date, where: 

o Spot Date is the day that is two business days after calculation date. 

o Effective Date is the effective date of the underlying swap and is set two business days after the 

Expiration Date. 
600574561

 is the year fraction from the i

th period accrual start date of the underlying swap to the ith period accrual end 

date of the underlying swap according to ISDA ACT/360 day count convention. 

 is the discount factor from calculation date to the i

th period payment date of the underlying swap. 

Fallback Settlement Price Determination:

If no Settlement Price can be calculated due to a Failed Auction, then Settlement Price shall be calculated in accordance 

with the following fallback rules: 

i. using an average of three (3) randomly selected snapshots taken of the levels of YLDVUS Index in the 

thirty-minute period prior to the Auction; 

ii. if the process described in the preceding subsection (i) does not produce a Settlement Price, then the 

YLDVUS Index’s prior business day’s end-of-day level (using the calculation calendar for the option 

described in a contract listed in Rule 1318.B to determine the prior business day) shall be used; and 

iii. if the end-of-day level of YLDVUS Index for the prior business day is not available, the previous month’s 

Settlement Price shall be used to the extent a prior month’s Settlement Price is available. 

Settlement Price Publication

The Settlement Price will be published by BSEF on https://www.bloomberg.com/professional/product/swap-executionfacility/. The Settlement Price based on the Auction Price will be published at 10 a.m. EST, and the Settlement Price 

based on the fallback Settlement Price Determinations will be published at 10:15 a.m. EST 

Settlement Date 3rd Friday of the Contract month 

Settlement Procedure Cash-settled 

At Maturity: 

Number of Contracts * Settlement Price * Multiplier = Cash Settlement Value 

Intra-Period: 

Index Points * Number of Contracts * Multiplier 

(Index Points is the difference in value of where the YLDVUS Contract was bought / sold in the market) 

Termination of Trading 6:59 p.m. EST on the Business Day prior to the Expiration Date. 

Trading Hours 00:01-24:00 EST, from Sunday-Friday 

“Made Available to Trade” 

Determination 

None 

Mandatory Clearing 

Determination 

None 

Clearing House None 

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03