1177 Avenue of Americas

New York, New York 10036

Via CFTC Portal

December 7, 2018

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: Commission Regulation 40.6(d) 

Weekly Notification of Rule Amendments - Update of Swap Specifications 

for Additional Derivatives Clearing Organization

Dear Mr. Kirkpatrick:

TW SEF LLC (“TW SEF”) hereby notifies the Commodity Futures Trading Commission (the 

“Commission”), pursuant to Commission Regulation 40.6(d) of the following amendments made 

effective during the week of December 3, 2018:

 TW SEF made certain non-substantive revisions to its Interest Rate Swap Specifications

set forth in Rules 901(a), 901(b) and 901(c). Specifically, the non-substantive revisions 

add Eurex Clearing AG, a Derivatives Clearing Organization (“DCO”) registered with 

the Commission, to the Swap Specifications. 

The updates to the Interest Rate Swap Specifications were effective on December 7, 2018. 

Attached as Exhibit A are the updates to Rules 901(a), 901(b) and 901(c) with the additions and 

deletions indicated in redline format. 

TW SEF certifies that it has concurrently published this submission on the TW SEF website at: 

https://www.tradeweb.com/our-markets/market-regulation/sef/. The TW SEF Rules have been 

updated with the amendments noted above and the revised TW SEF Rules are available at: 

https://www.tradeweb.com/our-markets/market-regulation/sef/ 
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

December 10, 2018

2

If you have any questions please feel free to contact the undersigned at 646-560-7223 or 

gregory.compa@tradeweb.com. 

Very truly yours,

Gregory Compa

Chief Compliance Officer

TW SEF LLC
EXHIBIT A

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CHAPTER 9. SWAPS

901. Swap Specifications

Each Swap will meet such specifications, and all trading in such Swap will be subject to such 

procedures and requirements, as described in the terms and conditions governing such Swap (as 

set forth below and in the Company’s technical specifications) and will be posted on the website 

of the Company (www.tradeweb.com).

(a) Interest Rate Swaps - Fixed-to-Floating

Contract Description

A fixed-to-floating swap is an agreement between two parties to exchange a fixed 

interest payment for a floating interest payment that is based on one of the indices 

listed below.

Currency and Floating 

Rate Index - Time 

Period

U.S. Dollar (USD) London Interbank Offered Rate (LIBOR) - 1 

Month, 3 Month, 6 Month

Canadian Dollar (CAD) Canadian Dealer Offered Rate (CDOR) - 3 

Month

Eurodollar (EUR) Euro Interbank Offered Rate (EURIBOR) - 1 

Month, 3 Month, 6 Month, 12 Month

Japanese Yen (JPY) LIBOR - 6 Month

British Pound Sterling (GBP) LIBOR - 3 Month, 6 Month

Swiss Franc (CHF) LIBOR - 3 Month, 6 Month

Swedish Krona (SEK) Stockholm Interbank Offered Rate (STIPOR) -

3 Month

Danish Krone (DKK) Copenhagen Interbank Offered Rate (CIBOR) -

6 Month

Norwegian Krone (NOK) Norwegian Inter Bank Offered Rate (NIBOR) -

6 Month

Australian Dollar (AUD) Bank Bull Reference Rate or Bank Bill Swap 

Interest Rate (BBR-BBS) - 6 Month

New Zealand Dollar (NZD) Bank Bill Reference Rate (BBR-FRA) - 3 Month

Polish Zloty (PLN) Windhoek Inter-bank Agreed Rate (WIBOR) -

6 Month

South African Rand (ZAR) Johannesburg Interbank Agreed Rate (JIBAR) -

3 Month

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date

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

floating interest rate payments.

Stated Maturity 

Range | Maturity Date

1 year to 50 years | The final date on which the obligations no longer accrue and 

the final payment occurs.
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Trade Start Types

 Spot Starting (T+2/T+0)

 IMM Start Date (September, December, March, June).

 Custom start dates

Fixed Leg  Payment Frequency: Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; Actual/360; Actual/365F

Floating Leg  Monthly (1M) Quarterly (3M), Semi-Annual (6M), Annual (1Y)

 Day Count Convention: Actual/360

Notional Fixed Notional

Fixed Rate Types

 Par

 Standard Coupon (for Market Agreed Coupon (“MAC”) contracts)

 Customized Coupon

Holiday Calendar(s) NY/London/TARGET

Business Day 

Conventions

Following

Modified Following

Unadjusted

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 the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”), and Chicago Mercantile Exchange Inc. (“CME”), 

and Eurex Clearing AG (“Eurex”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.

(b) Interest Rate Swaps - Basis

Contract Description

A basis swap is an agreement between two parties to exchange a floating interest 

payment based on a reference rate for a floating interest payment based on a 

different reference rate in the same currency. 

Currency and 

Floating Rate Index -

USD LIBOR - 1 Month, 3 Month, 6 Month
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Time Period EUR EURIBOR –1 Month, 3 Month, 6 Month

Eonia

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range | Maturity Date

1 year to 40 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

First Fixing Date  The first LIBOR/EURIBOR Fixing Date is 2 London business days prior to 

the Effective Date.

Trade Start Types  Spot Starting (T+2)

Notional Fixed Notional

Holiday Calendar NY/London/TARGET

Business Day 

Conventions Modified Following

Floating Leg 1  Payment Frequency: Monthly, Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; Actual/360

Floating Leg 2  Payment Frequency: Monthly, Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; Actual/360

Periodic Settlement: 

Payment and Resets 

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on the 

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

Interest Rate Index, and Floating Reset Dates.

 Floating Leg 2: The payment amount of the Floating Leg 2 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 the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) Chicago Mercantile Exchange Inc. (“CME”)LCH,

and CME, and Eurex.

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
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(c) Overnight Indexed Swaps - Fixed for Floating

Contract Description

An Overnight Index Swap (OIS) is an agreement between two parties to exchange 

a fixed interest payment for a floating interest payment based on the geometric 

average of an overnight index over every day of the payment period.

Currency and Floating 

Rate Index

USD Federal Funds

EUR Euro Overnight Index Average (EONIA)

GBP Sterling Overnight Index Average (SONIA)

CHF Swiss Franc Tom/Next Index Swaps (TOIS)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

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

floating interest rate payments.

Stated Maturity 

Range | Maturity Date

7 days to 30 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types  Spot Starting (T+2/T+0)

Fixed Leg  Payment Frequency: Term and Annual

 Day Count Convention: Actual/360F

Floating Leg  Term and Annual

 Day Count Convention: Actual/360

Notional Fixed Notional

Holiday Calendar(s) Federal and TARGET

Business Day 

Conventions Modified Following

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 the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) LCH, and CME, and Eurex.
7

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.