Mr. Christopher Kirkpatrick Page 1 of 7 April 12, 2023

4856-9088-9551 v.12

April 12, 2023

By Electronic Submission

Mr. Christopher J. Kirkpatrick

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: TW SEF LLC – Self-Certification for Swaps to be Made Available to Trade

Dear Mr. Kirkpatrick:

TW SEF LLC (“TW SEF” ) is registered as a swap execution facility (“SEF”) with the Commodity 

Futures Trading Commission (the “Commission” or “CFTC”). TW SEF hereby voluntarily submits for 

Commission review and approval, pursuant to CFTC Rules 37.10 and 40.5, its determination of certain 

swaps that are made available to trade on the SEF under Section 2(h)(8) of the Commodity Exchange Act 

(the “CEA”), which was added to the CEA by Section 723 of the Dodd-Frank Wall Street Reform and 

Consumer Protection Act (the “Dodd-Frank Act”).1

A. Background

Since 1998, through its operating affiliates, Tradeweb Markets Inc. (“Tradeweb”) has offered 

regulated electronic trading systems to institutional investors. Since 2013, TW SEF has offered trading to 

over 600 eligible contract participants (including more than two dozen dealers and hundreds of other 

entities) in a variety of derivatives instruments, including interest rate swaps (“IRS”) in multiple currencies. 

Through flexible trading protocols (Request-for-Quote (“RFQ”), Request-for-Market, Click-to-Trade, and 

Order Book), Tradeweb’s platforms have played an important role in providing greater transparency, 

improving efficiency, and reducing risk in the trading of fixed income securities and derivatives – hallmarks 

of Title VII of the Dodd-Frank Act. Indeed, for swaps that are now subject to the clearing mandate and 

denominated in U.S. Dollars (“USD”) or British pounds (“GBP”), TW SEF has done over $185 trillion in 

USD equivalent notional value since 2013.2 Much of the IRS electronic trading activity on our platforms 

has been in standardized, “on-the-run” instruments, and virtually all of the trading activity has been and 

continues to be in instruments for which there are ready and willing buyers and sellers, reflecting their 

suitability for electronic, multiple-to-multiple platform execution.

In October and November 2013, TW SEF self-certified to the Commission that certain credit 

default swaps and IRS were made available to trade (“MAT”) on its SEFs. In particular, TW SEF selfcertified that IRS (i) referencing the London Interbank Offered Rate (“LIBOR”), (ii) denominated in USD 

or GBP and (iii) in the 2y, 3y, 4y, 5y, 6y, 7y, 10y, 12y, 15y, 20y and 30y tenors in the fixed-to-floating rate 

swaps class were MAT. 

 

1 Pub. L. No. 111-203, 124 Stat. 1376 (2010).

2 When referring to the swaps we intend to make available to trade and platform data, we are 

specifically referring to TW SEF (and its predecessor exempt board of trade platform). TW SEF’s affiliate, 

DW SEF LLC, is also temporarily registered as a SEF and lists a subset of the swaps listed on the SEF 

operated by TW SEF.
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In August 2022, the Commission amended its swap clearing rules (17 C.F.R. § 50.4) to (i) remove 

from the clearing requirement (or, in certain cases, schedule the end date for the clearing requirement) for 

certain swaps, including swaps referencing GBP LIBOR and USD LIBOR and (ii) revise the clearing 

requirement to include swaps referencing risk-free rates (“RFRs”), including GBP Sterling Overnight 

Index Average (“SONIA”) overnight index swaps (“OIS”) in tenors from 7 days to 50 years and USD 

Secured Overnight Financing Rate (“SOFR”) OIS in tenors from 7 days to 50 years.3

Given the regulatory mandate to transition away from swaps referencing LIBOR and toward swaps 

referencing RFRs (including SONIA and SOFR), the implementation of clearing requirements for swaps 

referencing RFRs, the increased volume and liquidity of such swaps on SEFs, and the ongoing obligation 

on SEFs to make MAT determinations, TW SEF believes it is appropriate that the additional swaps 

described below be designated as MAT. 

B. MAT Standard

Under Section 2(h)(8) of the CEA, any swap that is subject to mandatory clearing must be traded 

on a SEF or designated contract market (“DCM”), unless no such platform “makes the swap available to 

trade.” Thus, a category of swap that must be cleared is excluded from the trade execution requirement 

only if no SEF or DCM makes it available to trade (or if a CFTC exemption applies, such as for certain 

package transactions and inter-affiliate swaps). A determination that a swap is available to trade therefore 

has significant implications because it subjects that swap to the mandatory trade execution requirement of 

the Dodd-Frank Act.

Pursuant to the Commission’s rules, a SEF or DCM is required to submit any determination that a 

swap is available to trade either for approval or under self-certification procedures under Rule 37.10 or 

Rule 38.12, respectively, pursuant to the procedures in Part 40 of the CFTC’s regulations. In connection 

with making “available to trade” determinations (as well as preparing annual reports), a SEF or DCM must 

consider, as appropriate, six enumerated factors with respect to the particular swap: (i) whether there are 

ready and willing buyers and sellers; (ii) the frequency or size of transactions; (iii) the trading volume; 

(iv) the number and types of market participants; (v) the bid/ask spread; and (vi) the usual number of resting 

firm or indicative bids and offers. The Commission notes in this regard that “no single factor would be 

dispositive, as the DCM or SEF may consider any one factor or any combination of factors in its 

determination that a swap is available to trade.”4 We respectfully submit this self-certification 

determination pursuant to CFTC Rules 37.10 and 40.5. 

TW SEF respectfully submits that its MAT self-certification complies with the CEA and supports 

compliance with the Core Principles (“CPs”) applicable to SEFs. For the reasons stated in this submission, 

TW SEF’s MAT submission will promote the financial integrity of transactions (CP 7 (Financial Integrity 

of Transactions)) through the designation of swaps that are most actively traded and most easily lend 

themselves to the post-trade clearing and reporting regime, which in turn will provide greater pre- and posttrade price transparency (CPs 4 (Monitoring of Trading and Trade Processing), 9 (Timely Publication of 

Trading Information), and 10 (Recordkeeping and Reporting), and monitoring and surveillance (CPs 3 

 

3 Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for 

Interest Rate Swaps To Account for the Transition From LIBOR and Other IBORs to Alternative Reference 

Rates, 87 F.R. 52192 (Aug. 24, 2022). 

4 Process for a Designated Contract Market or Swap Execution Facility To Make a Swap Available 

to Trade, Swap Transaction Compliance and Implementation Schedule, and Trade Execution Requirement 

Under the Commodity Exchange Act, 78 F.R. 33606, 33612 (Jun. 4, 2013). Upon a determination by a 

SEF or DCM that a swap has been made available to trade, that swap would also be deemed available to 

trade on all SEFs and DCMs that list or offer such swap for purposes of Section 2(h)(8) of the CEA. 

However, other SEFs or DCMs would not be required to list or offer the swap for trading.
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(Swaps Not Readily Susceptible to Manipulation) and 4). Of course, compliance with these CPs provides 

for compliance with CPs 1 (Compliance with Core Principles) and 2 (Compliance with Rules).5 

C. TW SEF’s MAT Determination

Given Tradeweb’s 18-year history in managing electronic derivatives marketplaces (and our 25-

year history in electronic fixed income trading), Tradeweb believes it is in a unique position to observe and

quantify market participants’ electronic trading behavior. Due to the breadth of institutions participating 

on our platforms and the metrics that we can capture from the activity on our platforms, we have been able 

to develop a very clear picture of the electronic execution of swaps (including swaps that are relatively new 

to SEF trading and mandatory clearing), which allows us to quantify the trading experience of both liquidity 

takers and liquidity providers.6 

As noted above, a determination that a swap has been MAT has significant implications because it 

subjects such a swap to the mandatory trade execution requirement under the Dodd-Frank Act. 

Accordingly, while we are supportive of the migration of mandatorily cleared swaps onto regulated 

platforms (and such migration is in our commercial interest),7 we believe it is critically important that SEFs 

and DCMs treat the MAT determination process responsibly so that swaps subject to the trading mandate 

actually meet the enumerated criteria, and the trading mandate is not unnecessarily disruptive to the 

marketplace and market participants. To that end, we considered the six enumerated MAT factors in light 

of the activity we have observed on our platforms and in the marketplace to make this MAT determination. 

With this perspective and experience in mind, we have addressed below each of the six factors with 

respect to certain additional IRS that are subject to the clearing mandate and are listed on Tradeweb’s SEFs, 

and have set out below the swaps TW SEF has determined to MAT:

 

5 The foregoing factors and compliance with CPs will also support compliance with CPs 6 (Position 

Limits and Accountability) and 8 (Emergency Authority) to the extent necessary for the SEF to exercise its 

authority under these CPs. 

6

In addition to the enumerated criteria, we have analyzed other quantifiable measures such as hit 

ratio (i.e., conversion of request into an executed transaction), quote ratio (how often a liquidity provider 

quotes a request vs allowing it to time out), number of streaming contributors (where applicable), time to 

quote (how long it takes for a liquidity provider to respond to an RFQ from a liquidity taker), and time to

accept (average length of a trading session) when defining our initial MAT list—all indicators which 

contribute to our assessment of an “electronically tradable” swap.

7 As noted, we submitted to the CFTC in 2013 a MAT determination letter with respect to certain 

IRS and credit default swaps. See https://www.cftc.gov/sites/default/files/stellent/groups/public/@otherif/

documents/ifdocs/tradewebmatdeter101813.pdf.
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Specification Overnight Index Swaps (OIS) Overnight Index Swaps (OIS)

Currency U.S. Dollar 

(USD)

U.S. Dollar 

(USD)

U.S. Dollar 

(USD)

Sterling (GBP) Sterling (GBP)

Floating Rate 

Indices

Secured 

Overnight 

Financing 

Rate (SOFR)

Secured 

Overnight 

Financing 

Rate (SOFR)

Secured 

Overnight 

Financing 

Rate (SOFR)

Sterling 

Overnight 

Index Average 

(SONIA)

Sterling 

Overnight 

Index Average 

(SONIA)

Trade Start 

Type

Spot Starting 

(T+2)

IMM Start 

Date (next two 

IMM dates)

IMM Start 

Date (next two 

IMM dates)

Spot Starting 

(T+0)

IMM Start 

Date (next two 

IMM dates)

Optionality No No No No No

Fixed Leg

Payment 

Frequency

Annual Annual Annual Annual Annual

Day Count 

Convention

ACT/360 ACT/360 ACT/360 ACT/

365.FIXED

ACT/

365.FIXED

Business 

Calendars

New 

York/USNY

New 

York/USNY

New 

York/USNY

London/GBLO London/GBLO

Payment Lag 2 Days 2 Days 2 Days 0 Day 0 Day

Floating Leg

Payment/ 

Reset 

Frequency

Annual Annual Annual Annual Annual

Day Count 

Convention

ACT/360 ACT/360 ACT/360 ACT/

365.FIXED

ACT/

365.FIXED

Business 

Calendars

New 

York/USNY

New 

York/USNY

New 

York/USNY

London/GBLO London/GBLO

Payment Lag 2 Days 2 Days 2 Days 0 Days 0 Days

Fixing 

Calendars

US 

Government 

Securities/

USGS

US 

Government 

Securities/

USGS

US 

Government 

Securities/

USGS

London/GBLO London/GBLO

Fixing Offset 0 day 0 Days 0 Days 0 Days 0 Days

Dual 

Currencies

No No No No No

Notional Fixed 

Notional

Fixed 

Notional

Fixed 

Notional

Fixed Notional Fixed Notional

Fixed Rate Par Par Standard 

Coupon

Par Par

Tenors 2, 3, 4, 5, 6, 

7, 10, 12, 15, 

20, 30 Years

2, 3, 4, 5, 6, 7, 

10, 12, 15, 20, 

30 Years 

(Standard and 

IMM end/roll 

date 

convention)

1, 2, 3, 4, 5, 7, 

10, 15, 20, 30 

Years 

(Standard 

end/roll date 

conventions)

1, 2, 3, 4, 5, 6, 

7, 8, 9, 10, 12, 

15, 20, 25, 30 

Years

1, 2, 3, 4, 5, 6, 

7, 8, 9, 10, 12, 

15, 20, 25, 30 

Years 

(Standard and 

IMM end/roll 

date 

convention)
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D. Application of the MAT Factors to OIS SOFR IRS

(1) Whether there are ready and willing buyers and sellers

The OIS SOFR IRS and OIS SONIA IRS markets are deep and liquid. Swap Data Repositories 

(“SDRs”)

8

reported total volume of spot transactions9in OIS SOFR IRS and OIS SONIA IRS traded from 

January 2022 to November 2022 as over USD 6.4 trillion of notional in SOFR and over GBP 976 billion 

of notional in SONIA in the benchmark points in the proposed MAT tenors noted in the table above. 

The total volume of spot OIS SOFR IRS traded on TW SEF from January 2022 to November 2022 

was over USD 2.5 trillion of notional in the same benchmark points. The total volume of spot OIS SONIA 

IRS traded on TW SEF from January 2022 to November 2022 was over GBP 294 billion of notional in the 

same benchmark points. 

(2) The frequency or size of transactions

Size and Frequency of IRS Transactions

Reported by SDRs 1/1/2022 through 11/30/202210

Currency GBP USD

Average Trade Size (millions) 37 50

Number of Trades per Month 2,366 11,600

(3) The trading volume

The volume provided in (1) and (2) illustrates the frequency of proposed MAT OIS SOFR IRS and 

OIS SONIA IRS trading on a market-wide basis and on TW SEF. 

Additionally, average daily trading volume on TW SEF alone, from January 2022 to November 

2022 for OIS SOFR IRS equaled over USD 83 billion of notional. The average daily trading volume on 

TW SEF for OIS SONIA IRS for the same time period equaled over GBP 38 billion. These average daily 

trading numbers represent total platform volumes, including swaps in tenors not listed in our proposed 

MAT designation.

(4) The number and types of market participants

As noted above, over 600 entities transact on TW SEF, including dealers, asset managers, banks, 

broker-dealers, government-sponsored entities, central banks, hedge funds, insurance firms, pension funds, 

endowments, proprietary trading firms and REITs. The needs and reasons for these institutions to trade the 

different OIS SOFR IRS and OIS SONIA IRS products vary greatly, and that is one of the reasons this 

market is so liquid. 

 

8 When referencing SDR data and volume statistics herein, all block size trades reported to the SDR 

are assumed to be at the minimum block size.

9

“Spot” is defined (1) for SOFR to mean trade date = swap effective date minus 2 business days and 

(2) for SONIA to mean trade date = swap effective date. 

10 Data in this table refers to spot- and benchmark-transactions in OIS SOFR IRS and OIS SONIA 

IRS in the proposed MAT tenors. 
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(5) The bid/ask spread

In January 2022 to November 2022, the bid/ask spread in the OIS SOFR IRS and OIS SONIA IRS 

products that we have proposed for MAT consideration are all consistently under 1 basis point from bidto-offer. 

(6) The usual number of resting firm or indicative bids and offers

As described above, the OIS SOFR IRS and OIS SONIA IRS swaps that we have proposed for 

MAT designation trade frequently each day by a variety of market participants with varying hedging and 

risk-taking needs. In this regard, on a typical trading day there are a large number of dealers that are 

streaming prices to our platform in various OIS SOFR IRS and OIS SONIA IRS tenors. For example, in 

the 2y, 5y, 10y, and 30y OIS SOFR IRS products, there are typically 24 dealers streaming pricing on the 

average trading day. In the 2y, 5y, 10y, and 30y OIS SONIA IRS products, there are typically 22 dealers 

streaming prices on the average trading day.
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* * * * *

TW SEF hereby certifies that this filing complies with the CEA and regulations promulgated by 

the Commission thereunder. TW SEF is unaware of any opposing views with regard to this filing. 

In accordance with the requirements of Part 40 of the Commission’s regulations, TW SEF also 

hereby notifies the Commission that TW SEF has electronically filed this voluntary submission to the 

Commission under cover of the enclosed submission cover sheet in accordance with Appendix D to Part 

40. TW SEF further certifies that it has, concurrent with the filing of this submission, posted a notice of 

pending certification with the Commission together with a copy of this submission on TW SEF’s website, 

available at http://www.tradeweb.com. TW SEF’s MAT certification shall be effective on June 1, 2023. 

Should you or your staff have questions or comments or require further information regarding this 

submission, please contact the undersigned.

Respectfully submitted,

Devi Shanmugham

Devi.Shanmugham@tradeweb.com

TW SEF CCO