Bennett Kirschner

TRADITION SEF, LLC General Counsel and Secretary

May 19, 2023 

VIA E-MAIL (submissions@cftc.gov)

Mr. Christopher Kirkpatrick 

Secretary

Commodity Futures Trading Commission 

Three Lafayette Centre

1155 21st Street, N.W. 

Washington, D.C. 20581 

RE: CFTC Regulation 40.2 and 40.6(a) Certification. Request for New Product Certification of 

Tradition SEF’s Interest Rate and Credit Swap Asset Classes Product Listings and nonsubstantive changes to IRS Product Listing

Tradition SEF Submission No. 2023-01 

Dear Mr. Kirkpatrick:

Pursuant to Section 5c(c) of the Commodity Exchange Act, as amended (the “Act”), and Commodity 

Futures Trading Commission (“CFTC” or the “Commission”) Regulations 40.2 and 40.6(a), Tradition 

SEF, LLC (“Tradition SEF” or “The SEF”) hereby notifies the Commission of revisions to the following:

1) its Interest Rate Swap Asset Class Product Listing Terms and Conditions (the “IRS Product Listing 

Terms and Conditions”) with respect to the addition of the following interest rate index underlying 

the interest rate swaps offered for trading: CAD Overnight Repo Rate Average (CORRA); and 

2) the addition of the following index as a benchmark for credit swaps offered for trading: Markit® 

iBoxx USD Liquid Investment Grade (IG Index) Credit Index. 

Redlined versions of Tradition SEF Rulebook Appendix A and Appendix B are attached hereto as Exhibit 

A and Exhibit B to reflect the changes. The effective date for these additions and revisions is June 5, 2023.

Please note that Tradition SEF Submission No. 2023-01 includes the following revisions to the IRS 

Product Listing and Terms and Conditions: 

Appendix A, “General Information”: 

Tradition SEF, LLC 32 Old Slip, 28th Floor, New York, NY 10005 212-791-4500 www.traditionsef.com
2

• The statistics associated with Interest Rate Swaps has been updated.

• Canadian Overnight Repo Rate Average (CORRA) has been added to Section 2 of the Product List within 

Appendix A to the Tradition SEF Rulebook. 

• Clearing information for the designated clearing organizations associated with Canadian Overnight Repo Rate 

Average (CORRA) swaps has been added to Section 5 of Appendix A to the Tradition SEF Rulebook. 

• Reference to Canadian Overnight Repo Rate Average (CORRA) has been added to Section 6 within Appendix A 

to the Tradition SEF Rulebook. 

• Reference to Canadian Overnight Repo Rate Average (CORRA) has been added to Table 2 within Appendix A 

to the Tradition SEF Rulebook detailing the available currencies and the current publisher associated with each 

of the aforementioned reference indexes. 

• Reference to Markit® iBoxx USD Liquid Investment Grade (IG Index) has been added 

to Section 1 of Appendix B of the Tradition SEF Rulebook. 

• Reference to Markit® iBoxx USD Liquid Investment Grade (IG Index) has been added 

to Section 2 of Appendix B of the Tradition SEF Rulebook. 

• Reference to Markit® iBoxx USD Liquid Investment Grade (IG Index) has been added 

to table 4.b within Section 4 of Appendix B of the Tradition SEF Rulebook.

• Reference to Markit® iBoxx USD Liquid Investment Grade (IG Index) TRS has been 

added to Appendix B of the Tradition SEF Rulebook. 

Tradition SEF hereby certifies compliance with applicable provisions of the Act, including The SEF core 

principles (“Core Principles”) as set forth in Section 5h of the Commodity Exchange Act and Part 37 of 

the Commission’s regulations promulgated thereunder. In particular, the products listed in this submission 

adhere to Core Principles 3 (“Swaps Not Readily Susceptible to Manipulation”) and 7 (“Financial 

Integrity of Transactions”) and CFTC Rules 37.300-301 and 37.700-37.702. 

Herein, Tradition SEF demonstrates that the contracts listed for trading on Tradition SEF are not readily 

susceptible to manipulation as follows:

CAD CORRA Swaps:

The following is a description of the Canadian Overnight Repo Rate Average (CORRA): 

The Canadian Overnight Repo Rate Average (CORRA) is a measure of the cost of overnight general 

collateral funding in Canadian dollars using Government of Canada (GoC) treasury bills and bonds as 

collateral for repurchase transactions (repos). The Bank of Canada calculates CORRA based on 

transaction-level repo data that Canadian government securities distributors, including primary 

dealers, and the six largest federally regulated financial institutions in Canada submit to the Investment 

Industry Regulatory Organization of Canada (IIROC) through the Market Trade Reporting System 

(MTRS). This approach makes CORRA robust, reliable and representative, similar to overnight risk-free 
3

reference rates published by other central banks. It also aligns CORRA with the Principles for Financial 

Benchmarks published by the International Organization of Securities Commissions. 

The CORRA calculation methodology was developed under the guidance of the Canadian Alternative 

Reference Rate Working Group (CARR), representing a wide range of market participants. It was also 

informed by CARR’s public consultations, held February to April 2019, on the methodology 

enhancements.

IG Index Swaps:

The following is a description of Markit® iBoxx USD Liquid Investment Grade (IG Index): 

Markit® iBoxx USD Liquid Investment Grade (IG Index) The iBoxx USD Liquid Investment Grade IG 

Index is not readily susceptible to manipulation. Swaps indexed to the iBoxx IG Index trade on multiple 

SEFs. The Markit iBoxx USD Liquid Investment Grade Index is designed to reflect the performance of 

US Dollar (USD) denominated investment grade corporate debt. The index consists of investment grade 

USD denominated bonds issued by corporate issuers from developed countries and contains solely fixedrate bonds whose cash flow can be determined in advance. All bonds in the Markit iBoxx IG Index must 

have an iBoxx rating of investment grade. Ratings from the following three credit rating agencies are 

considered for the calculation of the iBoxx Rating: Fitch Ratings; Moody’s Investor Service; S&P Global 

Ratings Investment grade is defined as BBB- or higher from Fitch Ratings and S&P Global Ratings and 

Baa3 or higher from Moody’s Investor Service. The Total Return Swap format underlying bonds is 

weighted by market capitalization, with an issuer cap of 3% of index composition. The Markit iBoxx IG 

Index is rebalanced once a month at the month-end. The Markit iBoxx USD Liquid Investment Grade IG 

Index uses multi-source prices. The development and management of the iBoxx Indexes is rules-based, 

therefore making it difficult for individuals or entities to change selection practices for purposes of 

manipulation. 

Tradition SEF hereby certifies that the products comply with the Commodity Exchange Act and the 

Commission’s regulations promulgated thereunder. No substantive opposing views were expressed that 

were not incorporated into the product amendments. Tradition SEF hereby certifies that it has posted a 

notice of pending certification with the Commission and a copy of the submission on its website (See 

http://www.traditionsef.com/news/), concurrent with the filing of this submission with the Commission. 

Should you require additional information related to this submission, please contact the 

undersigned at 212-377-2337 or bennett.kirschner@tradition.com. Please reference Tradition 

SEF Submission No. 2022-02 in any related correspondence. 

Sincerely,

Bennett Kirschner

General Counsel and Secretary

Att. 

Exhibit A

Exhibit B
EXHIBITS 

A) Appendix A to Tradition SEF Rulebook

Interest Rate Swap Product Listing

B) Appendix B to Tradition SEF Rulebook

Credit Swap Product Listing