1177 Avenue of Americas

New York, New York 10036

Via CFTC Portal

April 2, 2019

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 –

Correction of Swap Specifications 

Dear Mr. Kirkpatrick:

DW SEF LLC (“DW 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 March 25, 2019:

 DW SEF made certain revisions to its Product Specifications set forth in Rules 901 to add 

the Product Specifications for certain Forward Rate Agreements (“FRAs”), specifically: 

US Dollar denominated Forward Rate Agreements (Rule 901(d)); Canadian Dollar 

denominated Forward Rate Agreements (Rule 901(e)); EURO denominated Forward 

Rate Agreements (Rule 901(f)); Great Britain Pound Sterling denominated Forward Rate 

Agreements (Rule 901(g)). As a result of these additions, the Product Specifications for 

Equity Index Swaps (formerly Rule (901(d)) and Cash-Settled Equity Index Forwards 

(formerly Rule (901(e)) were reordered to be Rule 901(h) and Rule 901(i), respectively. 

The FRAs were added to DW SEF via a Self-Certification filing with the Commission on 

April 11, 2017.

While the FRA Product Specifications were effective on April 11, 2017, this Weekly 

Notification updates the Rulebook to include the FRA Product Specifications as of March 29, 

2019. Attached as Exhibit A are the updates to Rule 901 with the additions and deletions 

indicated in redline format. 

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

https://www.tradeweb.com/our-markets/market-regulation/sef/. The DW SEF Rules have been 
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

April 2, 2019

2

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

https://www.tradeweb.com/our-markets/market-regulation/sef/ 

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

DW SEF LLC
EXHIBIT A

3

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) - 1 

Month, 3 Month, 6 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

30 days to 50 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types  Spot Starting (T+2)

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

Transaction Types

 Outright

 Benchmark Spread

 Off Benchmark Spread

 Rate Switch

 Spread Switch

 Butterfly

 Combinations of above

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

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

Floating Leg  Quarterly (3M) or Semi-Annual (3M or greater)

 Day Count Convention: Actual/360

Notional Fixed Notional

Fixed Rate Types  Par

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

Holiday Calendar(s) NY/London

Business Day 

Conventions

Following

Modified Following
4

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 DW SEF.

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

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.
5

(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 - Time 

Period

USD LIBOR - 1 Month, 3 Month, 6 Month

CAD CDOR - 1 Month, 3 Month, 6 Month

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

the final payment occurs.

First Fixing Date  The first LIBOR 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

Business Day 

Conventions Modified Following

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

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

Floating Leg 2  Payment Frequency: 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 DW SEF.

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

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
6

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
7

(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)

 Forward Starting (starting on next Federal Reserve Announcement Date)

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 DW SEF.

DCO(s) LCH and CME
8

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.
9

(d) US Dollar denominated Forward Rate Agreements

Contract Description

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS) where 

one party buys (pays) a fixed interest rate and receives a floating interest rate and 

one party sells (receives) a fixed interest rate and pays a floating interest rate.

Currency and Floating 

Rate Index – Time 

Period

USD – LIBOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+2)

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

 Forward Start Date 

Fixing Date LIBOR fixing date is two London business days prior to the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) London/NY

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

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.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
10

DCO(s) LCH and CME

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.
11

(e) Canadian Dollar denominated (CAD) Forward Rate Agreements

Contract Description

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS) where 

one party buys (pays) a fixed interest rate and receives a floating interest rate and 

one party sells (receives) a fixed interest rate and pays a floating interest rate.

Currency and Floating 

Rate Index – Time 

Period

CAD – CDOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+0)

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

 Forward Start Date 

Fixing Date CDOR fixing date is the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) Toronto

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/365F

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/365F

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.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
12

DCO(s) LCH and CME

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.
13

(f) EURO denominated Forward Rate Agreements

Contract Description

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS) where 

one party buys (pays) a fixed interest rate and receives a floating interest rate and 

one party sells (receives) a fixed interest rate and pays a floating interest rate.

Currency and Floating 

Rate Index – Time 

Period

EURO - EURIBOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+2)

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

 Forward Start Date 

Fixing Date EURIBOR fixing date is two Target business days prior to the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) Target

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

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.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
14

DCO(s) LCH and CME

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.
15

(g) Great Britain Pound Sterling (GBP) denominated Forward Rate Agreements

Contract Description

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS) where 

one party buys (pays) a fixed interest rate and receives a floating interest rate and 

one party sells (receives) a fixed interest rate and pays a floating interest rate.

Currency and Floating 

Rate Index – Time 

Period

GBP – GBP LIBOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+0)

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

 Forward Start Date 

Fixing Date GBP LIBOR fixing date is the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) London

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/365F

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/365F

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.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
16

DCO(s) LCH and CME

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.
17

(h) Equity Index Swaps

Contract Description

A contract to pay or receive regular fixed or floating interest payments on a 

notional amount of an equity index in exchange for the notional based return 

performance of an equity index.

Available Underlying 

Indexes

Standard and Poors 500 Index (SPX or S&P 500)

Russell 2000 (RTY)

Nasdaq 100 (NDX)

Dow Jones 30 (DIA)

Standard & Poors MidCap 400 Index (MID)

Contract Size The minimum size available to trade on DW SEF is at least $1,000,000 notional, 

and sizes are incremental in amounts of $1,000,000.

Tenor As agreed by the parties, 0 years to 50 years.

Trade Date The trade date of the contract refers to the date on which the swap contract was 

agreed.

Trade Start Types Immediate and Delayed Start

Initial Equity 

Valuation Date A calendar date, as agreed by the parties.

Equity Reset 

Frequency As agreed by the parties in any valid time integer.

Final Equity Valuation 

Date A calendar date, as agreed by the parties.

Interest Rate Reset 

Frequency As agreed by the parties in any valid time integer

Quote Conventions Contracts are quoted in basis points as a spread or fixed rate

Trading Hours Trading hours of DW SEF

Settlement Cash settlement based on floating rate schedule.

Settlement Payments

Buyer - The buyer of a contract will pay the rate of interest on the underlying leg 

plus the swap premium, and in return receive the appreciation in value of the 

underlying equity.

Seller - The seller of a contract will receive the rate of interest plus the swap 

premium and in return pay the value of the appreciation of the underlying equity.

Payment Frequency Determined by agreed LIBOR (3m, 6m, etc.) or agreed fixed rate frequency

Day Count Actual/360

Maturity As agreed by the parties, any maturity up to 50 years

Notional Amount Any amount agreed by the parties

Leg Conventions Floating Leg - Xm LIBOR + Spread or an agreed fixed rate.

Equity Leg – Notional X (% increase of equity index over floating rate period).

Business Day 

Convention As agreed by the parties.

Breaks/Resets As agreed by the parties.

Minimum and 

Incremental Price

There is no minimum price for a contract.

There is no minimum incremental price for a contract.
18

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

Clearing Trades are not cleared, and are subject to a post-execution credit check.
19

(i) Cash-Settled Equity Index Forward

Contract Description

A Cash-Settled Equity Index Forward is an over the counter derivative that 

involves the simultaneous buying of a cash-settled European Put and selling of a 

European call (or vice versa) at the same strike price and same expiration with a 

net premium of zero.

Available Underlying 

Indexes

Standard and Poors 500 Index (SPX or S&P 500)

Russell 2000 (RTY)

Nasdaq 100 (NDX)

Dow Jones 30 (DIA)

Standard & Poors MidCap 400 Index (MID)

Contract Size The minimum size available to trade on DW SEF is at least 1000 units notional, 

and sizes are incremental in amounts of 1000 units.

Strike Price The Strike Price will equal the closing price of the Index on the Trade Date plus 

the quoted basis.

Tenor As agreed by the parties, 0 years to 3 years.

Trade Date The trade date of the contract refers to the date on which the contract was 

agreed.

Trading Conventions

Forward Buyer - The buyer of the forward buys a European OTC Call and sells a 

European OTC Put.

Forward Seller - The seller of the forward sells a European OTC Call and buys a 

European OTC Put.

Quoting Conventions Contracts are quoted in index points.

Trading Hours Trading hours of DW SEF

Settlement Cash settlement based on floating rate schedule.

Settlement Price The Settlement Price will be equal to the futures valuation price of the index on 

the expiration date.

Premium Both options have a net premium of zero.

Day Count Actual/360

Maturity As agreed by the parties, any maturity up to 3 years.

Expiration Date A calendar date, as agreed by the parties. On this date, obligations under the 

contract no longer accrue.

Business Day 

Convention Following

Breaks/Resets As agreed by the parties.

Minimum and 

Incremental Price

There is no minimum price for a contract.

There is no minimum incremental price for a contract.

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

Clearing Trades are not cleared, and are subject to a post-execution credit check.