SUBMISSION COVER SHEET

Registered Entity Identifier Code (optional): 2014-P-98 Date: December 4, 2014

IMPORTANT: CHECK BOX IF CONFIDENTIAL TREATMENT IS REQUESTED. 

ORGANIZATION Bloomberg SEF LLC

 FILING AS A: DCM SEF DCO SDR ECM/SPDC 

TYPE OF FILING

• Rules and Rule Amendments

 Certification under § 40.6 (a) or § 41.24 (a)

 “Non-Material Agricultural Rule Change” under § 40.4 (b)(5)

 Notification under § 40.6 (d)

 Request for Approval under § 40.4 (a) or § 40.5 (a)

 Advance Notice of SIDCO Rule Change under § 40.10 (a)

• Products

 Certification under § 39.5(b), § 40.2 (a), or § 41.23 (a)

 Swap Class Certification under § 40.2 (d)

 Request for Approval under § 40.3 (a)

 Novel Derivative Product Notification under § 40.12 (a)

RULE NUMBERS

None Applicable; terms and conditions of the “MAT IRS EUR Euribor Swap vs 3M IMM 30

Years (LCH)” are attached as Attachment A. 

DESCRIPTION

In accordance with Commodity Futures Trading Commission (“Commission”) Regulation § 

40.2(a), this is a submission, by Bloomberg SEF LLC (“BSEF”), for certification of a new 

product for trading – the “MAT IRS EUR Euribor Swap vs 3M IMM 30 Years (LCH)”

(“Contract”). 
2

Bloomberg SEF LLC

New Contract Submission 2014-P-98

December 4, 2014

1. The Contract’s terms and conditions are attached as Attachment A.

2. The intended listing date is December 8, 2014. 

3. Attached, please find a certification that: (a) the Contract complies with the Act and the 

Commission regulations thereunder; and (b) concurrent with this submission, BSEF 

posted on its website: (i) a notice of pending certification of this Contract with the 

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

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, in the form of narrative 

and explanatory charts, 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 

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 
3

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.

Calculation of Euribor

Euribor (Euro Interbank Offered Rate) is the benchmark rate of the large Euro money market. It 

is sponsored by the European Banking Federation, which represents 2,800 banks in the fifteen 

Member States of the European Union and the EMU division of ACI, the Financial Markets 

Association. A representative sample of prime banks provide daily quotes, for thirteen maturities 

(from one week to one year), at which interbank term deposits, denominated in Euro, are being 

offered within the euro zone between prime banks. The average rate is calculated after 

elimination of the highest/lowest quotations (15% each side). Euribor is quoted for spot value 

(T+2) and on an actual/360 day-count convention, to three decimals. The rate has been 

displayed since January 4, 1999. The Euribor is widely accepted as a reliable interbank rate for 

the Euro money market, and is widely distributed by Thomson Reuters. The Euribor 

administrators have put systemic safeguards in place to ensure the reliability of the rate, 

including a code of conduct and selection criteria for panel banks.1

(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).

Essential Economic Characteristics of the Contract

Terms

 1 See Euribor site, available at http://www.euribor-ebf.eu/euribor-org/about-euribor.html.
4

The terms of Contract are attached as Attachment A, including the following:

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and 

floating interest rate to a specified notional over a term to maturity. 

Ticker EUR [Fixed Pay] 3M [IMM start/end month]

Currency EUR

Floating Rate Index 3 Month EUR-EURIBOR

Quoting Convention 

and Minimum 

Increment

As agreed by counterparties

Contract Size / 

Notional

Fixed notional; as agreed by counterparties

Minimum Size As agreed by counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual

• Day Count Conventions: ACT/360

• Holiday Calendar: Target

• Business Day Conventions: Modified Following with adjustment 

to period end dates 

Floating Leg 

• Payment/Resets : Quarterly

• Day Count Conventions: ACT/360 

• Holiday Calendar: Target

• Fixing Calendar: Target

• Business Day Conventions: Modified Following with 

adjustment to period end dates 

Swap Tenor 30 years

Effective Date The date on which parties begin calculating accrued obligations such as fixed 

and floating interest rate payments. Also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: 

Notional, Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with payment frequency of the swap. 

First Fixing Date The first Euribor Fixing Date is 2 Target business days prior to the Effective 

Date. 

Trade Start Types International Money Market (“IMM”) (next four IMM dates)

Fixed Rate Par

Settlement Procedure As determined by the Clearing Venue

Trading Hours 00:01 - 24:00 Sunday-Friday Eastern Time

Clearing Venue LCH

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
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Thus, the Contract is composed of both fixed and variable terms. Fixed terms include: the 

currency (EUR), fixing date and trading hours (24 hours, Sunday to Friday). Variable terms 

includes the swap tenor (can be from 28 days to 50 years), the effective date, and maturity date. 

Counterparties are also able to choose from limited options for trade types, trade start types, 

clearing venues, and the floating rate index. 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 interest rate swaps that are commonly offered in the market. 

Contract Not Readily Susceptible to Manipulation

The Contract is not susceptible to manipulation for a number of reasons. First, as noted above, 

interest rate products are very liquid – the market is very large and deep, making manipulation 

very difficult to achieve. Second, BSEF has a robust market surveillance program that is 

effectively able to surveil this market, detect uncommon activity, and investigate any such 

activity for signs of manipulation. And third, the Euribor rate, the reference rate upon which the 

Contract is based, is a widely used and relied upon benchmark. 

Calculation of Cash Settlement Price

The cash settlement price will be calculated as the cash settlement price in the following manner: 

I. Fixed Leg – The payment amount is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate. 

II. Floating Leg – The payment amount is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset 

Dates. 

All payments are settled in accordance with the payment frequency of the swap. The detailed 

settlement procedure will be determined by the clearing venue.

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 
6

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.

As noted above, the Contract operates in a very liquid market with numerous participants. Also, 

the cash settlement price is not easily susceptible to manipulation or distortion as the method of 

determining the price is based on factors that are fixed at the start of Contract (i.e., payment 

frequency, day count conventions, fixed interest rate, floating reset dates) and Euribor. And as 

noted above, the Euribor rate is widely accepted by market participants, and timely Euribor data 

is readily accessible through Thomson Reuters outlets. 

(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 cash settlement price will be calculated through a cash settlement 

method that is not easily susceptible to 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.
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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.

Euribor rates are widely and readily available through Thomson Reuters outlets.

(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.

As described above, the contract terms are attached as Attachment A. As noted above, while 

there are common terms such as the trading hours and the currency, many of the terms are 

flexible. Nevertheless, the terms are all within commonly accepted market norms. 

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

describe the commodity underlying the contract.

The reference to Euribor is included in the Contract’s terms and conditions (Attachment A).
8

(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 is consistent with the customary size of similar 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 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.

As agreed by the counterparties, which is consistent with market custom.

(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 by the counterparties, which is consistent with market custom.

(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 
9

designated contract market should show that futures trading would not distort the final 

settlement price calculation.

The last trading day will be the maturity date of each contract, which is set by the individual 

counterparties. 

(G) Trading Months: Trading months should be established based on the risk management 

needs of commercial entities as well as the availability of price and other data needed to 

calculate the cash settlement price in the specified months. Specification of the last trading 

day should take into consideration whether the volume of transactions underlying the cash 

settlement price would be unduly limited by occurrence of holidays or traditional holiday 

periods in the cash market. Moreover, a contract should not be listed past the date for 

which the designated contract market has access to use a proprietary price index for cash 

settlement.

As noted above, payments are settled in accordance with the payment frequency of the Contract, 

which is annual for the fixed leg and semi-annual or quarterly, based on agreement by the 

counterparties, for the floating leg of the Contract. 

(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 twenty-four hours a day (00:01 – 24:00) (ET), Sunday to Friday. 

Attachment A

Terms and Conditions

[see attached]
Bloomberg SEF LLC

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and 

floating interest rate to a specified notional over a term to maturity. 

Ticker EUR [Fixed Pay] 3M [IMM start/end month]

Currency EUR

Floating Rate Index 3 Month EUR-EURIBOR

Quoting Convention 

and Minimum 

Increment

As agreed by counterparties

Contract Size / 

Notional

Fixed notional; as agreed by counterparties

Minimum Size As agreed by counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual

• Day Count Conventions: ACT/360

• Holiday Calendar: Target

• Business Day Conventions: Modified Following with adjustment 

to period end dates 

Floating Leg 

• Payment/Resets : Quarterly

• Day Count Conventions: ACT/360 

• Holiday Calendar: Target

• Fixing Calendar: Target

• Business Day Conventions: Modified Following with 

adjustment to period end dates 

Swap Tenor 30 years

Effective Date The date on which parties begin calculating accrued obligations such as fixed 

and floating interest rate payments. Also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: 

Notional, Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with payment frequency of the swap. 

First Fixing Date The first Euribor Fixing Date is 2 Target business days prior to the Effective 

Date. 

Trade Start Types International Money Market (“IMM”) (next four IMM dates)

Fixed Rate Par

Settlement 

Procedure 

As determined by the Clearing Venue

Trading Hours 00:01 - 24:00 Sunday-Friday Eastern Time

Clearing Venue LCH

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

Interest Rate Swaps:

MAT IRS EUR Euribor Swap vs 3M IMM 30 Years (LCH)
Bloomberg SEF LLC

Speculative Limits As set in Part 151 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03