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Bloomberg SEF LLC

New Contract Submission 2023-P-18

December 7, 2023

1. The terms and conditions for the Foreign Exchange Contract – Non-Deliverable Forward -

South African Rand ("ZAR") (“Contract”) are provided in Annex A.

 

2. The intended listing date is January 5, 2024. 

 

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 
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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 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.

Reference Currency: South African Rand ("ZAR")

This Contract is a standard foreign exchange non-deliverable forward contract on South African 

Rand ("ZAR") counterparties settle by paying the difference between the contracted reference

currency rate (“Forward Rate”), agreed upon by the counterparties at the start of the Contract,

and the exchange rate on the Fixing Date (“Fixing Rate”). The Fixing Date is the expiration date of 

the contract. This difference is then multiplied by the notional amount, which is also determined

at the start of the Contract. The applicable Fixing Rate is published by Bloomberg Index Services 

Limited (“BISL”), the administrator of the Bloomberg Fixings (“BFIX”) Spot, Forward, and NDF rate 

fixings for certain currencies and metals; or Refinitiv Benchmark Services Limited (“Refinitiv”), the 

administrator of the WM/Refinitiv Spot, Forward and NDF foreign exchange benchmarks (each, a 

“Publisher”).1 BISL and Refinitiv are each supervised by the European Securities and Markets 

Authority (“ESMA”) and the UK Financial Conduct Authority ("FCA") as Benchmark Administrators. 

Reference Price is Not Readily Susceptible to Manipulation

The applicable Fixing Rate of the Contract is not easily susceptible to manipulation since it is 

generated through a transparent, rules-based process established by a respective Publisher. The 

Fixing Rate “ZAR” is determined on the Fixing Date and will be the spot rate, or closing spot rate

reported by either: 

• “Bloomberg MID” or “BFX03” 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” Fixing Rate for ZAR is currently published on the Bloomberg

Terminal page under BFIX and is described in Section 4.5B of ANNEX A to the 1998 FX and 

Currency Option Definitions published by International Swaps and Derivatives Association, 

Inc and Trade Association for the Emerging Markets; or

• “WM/RefinitivMID” or “WMR03” 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” Fixing rate for ZAR is currently published on the 

1 Available at https://www.isda.org/a/e6uTE/Annex-A-Amended-031620.pdf and 

https://assets.bbhub.io/professional/sites/10/BFIX-Methodology.pdf. 
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Bloomberg Terminal page WMCO under Daily Spot Rate Fixings then US Dollar Rates 

Source and is described in Section 4.5B of ANNEX A to the 1998 FX and Currency Option 

Definitions published by International Swaps and Derivatives Association, Inc and Trade 

Association for the Emerging Markets.

(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. 

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 Annex A and will be added to BSEF Rule 1401. As 

described in Annex A, some terms of the Contract are fixed (i.e., Reference Currency and 

Reference Currency Rate Source), while other terms are flexible and determined by the 

counterparties (i.e., Effective Date). This combination of standard and flexible terms allows the 

Contract to have a basic consistent form, while allowing counterparties to tailor some aspects of 

the Contract to their economic needs. This structure follows industry convention; the terms of the 

Contract match the terms of non-deliverable forward contracts that are commonly offered in the 

market.

Calculation of Cash Settlement Price

The contract is financially settled. 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 selected Fixing

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 the Contract’s terms and conditions 

(Annex A). 

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

Settlement Currencies are listed in the Contract’s terms and conditions (Annex A). 
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3. Notional Amount: Amount agreed by the counterparties at the Trade Date.

4. Forward Rate: Rate of exchange from converting the unit currency into the quoted 

currency determined on the Fixing Date

5. Fixing Rate: Rate of exchange from converting the unit currency into the quoted currency 

determined on the Fixing Date. The Fixing Rate is determined on the Fixing Date by 

reference to a rate published by a selected Reference Currency Rate Source set forth in the 

Contract’s terms and conditions (Annex A).

6. Fixing/Expiration Date: The date that the difference between the Forward Rate and the 

Fixing Rate is calculated and unadjusted date at which obligations stopped being effective.

7. Final Contractual Settlement Date: Unadjusted date by which all transfer of cash should 

take place and the counterparties no longer trade any outstanding obligations under the 

contract, as agreed by counterparties.

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

Fixing Rate and multiply that difference by the notional amount, to arrive at the cash settlement 

price. The cash settlement will be due on the Final Contractual 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.

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 cashsettlement 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 
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– calculating the difference between the Fixing Rate, published by an independent reputable 

source, and the Forward Rate – is widely used and generally accepted by market participants. 

Third, as discussed above, the reference used for the Fixing Rate is very reliable, 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 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.

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 
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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.

The Fixing Rate is readily available via a number of sources including websites of 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 Final Contractual 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 describe the Reference Currency.

(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.
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(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.

(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/Expiration Date, when the difference between the Fixing Rate and 

the Forward 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 
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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/Expiration Date, and the settlement payments will be made on the Final Contractual

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.

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. 
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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 this Contract with the Commission; 

and (b) a copy of this submission. 

_________________________

By: Daniel Glatter

Title: Chief Compliance Officer 

Date: December 5, 2023 
#600795870v21

600796495

Trading Conventions Buy or Sell

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

Settlement Currency

Effective Date

Contract Overview

The unadjusted date at which obligations come into effect.

Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Fixing/Expiration

Date

The date that the difference between the Forward Rate and the Fixing Rate is calculated and unadjusted date at which

obligations stopped being effective.

Quoting Convention

Final Contractual

Settlement Date

Reference Currency

(i.e., Non-Deliverable

Currency)

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any

outstanding obligations under the contract, as agreed by counterparties.

Forward Rate

A non-deliverable forward (NDF) is a forward contract which counterparties settle by exchanging in Settlement

Currency the difference between the Forward Rate and the Fixing Rate on the Fixing Date on an agreed notional

amount. Forward Rate means the rate of exchange from converting the unit currency into the quoted currency

determined at the inception of the contract. Fixing Rate means the rate of exchange from converting the unit currency

into the quoted currency determined on the Fixing Date.

Settlement Method Financially settled

• AOA Angolan Kwanza

• ARS Argentine Peso

• AZN Azerbaijani Manat

• BRL Brazilian Real

• CLP Chilean Peso

• CNY Chinese Renminbi

• COP Colombian Peso

• CRC Costa Rican Colon

• DOP Dominican Republic Peso

• EGP Egyptian Pound

• ETB Ethiopian Birr

• EUR Euro

• GEL Georgian Lari

• GHS Ghanaian Cedi

• GTQ Guatemalan Quetzal

• HNL Honduran Lempira

• IDR Indonesian Rupiah

• INR Indian Rupee

• KES Kenyan Shilling

• KRW South Korean Won

• KZT Kazakh Tenge

• MYR Malaysian Ringgit (See Notice to

Participants 2017-3 on BSEF’s website)

Minimum Increment

Settlement

Procedure

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward

Bilateral settlement performed in settlement currency.

Any value greater than zero (0).

• MZN Mozambican Metical

• NGN Nigerian Naira

• NPR Nepalese Rupee

• PEN Peruvian Nuevo sol

• PHP Philippine Peso

• PKR Pakistani Rupee

• PYG Paraguayan Guarani

• RUB Russian Ruble

• RWF Rwandan Franc

• SLE Sierra Leonean Leone

• THB Thai Baht

• TWD Taiwan Dollar

• TZS Tanzanian Shilling

• UAH Ukrainian Hryvnia

• UGX Ugandan Shilling

• UYU Uruguayan Peso

• VND Vietnamese Dong

• XAF Central African Franc

• XOF West African Franc

• ZAR South African Rand

• ZMW Zambian Kwacha

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

Minimum Size

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

Any value greater than zero (0).

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

Reference Currency

Rate Source

Notional Currency

Reportable Levels

Ticker

As set in CFTC Regulation 15.03.

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

• Any source as described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option Definitions published by

International Swaps and Derivatives Association, Inc and Trade Association for the Emerging Markets; or

• “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency Option

Definitions published by International Swaps and Derivatives Association, Inc and Trade Association for the

Emerging Markets; or

• “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency Option

Definitions published by International Swaps and Derivatives Association, Inc and Trade Association for the

Emerging Markets.