Effective Sunday, March 19 (trade date Monday, March 20), to facilitate more efficient trading of the US Dollar/Brazilian Real and US Dollar/Indian Rupee End of Month (EOM) non-deliverable forward (NDF), EBS Market will make the following changes:

• Eight permanent contracts will be made available for trading in US Dollar/Brazilian Real EOM and US Dollar/Indian Rupee EOM (ON SEF and OFF SEF) NDFs which will roll once a month. Tag 64-SettlDate and tag 541-MaturityDate will contain the same values for the duration of the month. Each of the NDF pairs will have a set of instruments representing the Front and Next month, respectively. At the end of the fixing date, (5:00 PM Easter Time (ET)) the instruments will roll to their new dates, and the fixing date and settlement date will be populated at the start of the week and will reflect the roll of the contract on the week, starting with the trade date when the roll occurs. Clients will not have to subscribe to new contracts each month.

Currently, the EBS Market orderbook uses 12 distinct contracts for trading End of Month NDFs (24 contracts, comprised of 12 ON SEF and 12 OFF SEF). These contracts have fixed expiry dates which do not change. Near the end of every month a new contract becomes active while the current active contract expires the day preceding the fixing of active contract.

Upon implementation, this current model will no longer be available with the launch of the new contract listing model.

• With this change, NDF Expiration Date (tag 200-MaturityMonthYear) will be null. Currently, the fixed date for BRL EOM ON SEF and OFF SEF is two business days (BRL and USD Calendars) after the fixing date. The settlement date for INR EOM ON SEF and OFF SEF is the last business day (INR and USD Calendars) of the month.
• The tenor code value (tag 63-SettlType=B) will continue to be reflected in the security definition message for these contracts.