311613552 

 Plaza 5, 185 Hudson St #2200 

Jersey City, NJ 07311 

February 4, 2022

Submitted via CFTC Portal 

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 Regulations 40.2(a) and 40.2(d): Class Certification of Basis Swaps - USD 

3-Month BSBY vs. 1-Month BSBY; Basis Swaps - USD SOFR vs. 3-Month BSBY; and 

Basis Swaps - USD SOFR vs. 1-Month BSBY 

Dear Mr. Kirkpatrick: 

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

“Commission”), pursuant to Commission Regulations 40.2(a) and 40.2(d), that it is certifying a 

class of: (1) Basis Swaps - USD 3-Month BSBY vs. 1-Month BSBY; (2) Basis Swaps - USD SOFR 

vs. 3-Month BSBY; and (3) Basis Swaps - USD SOFR vs. 1-Month BSBY (“Swaps”) for trading 

on DW SEF’s electronic trading system. This certification should be read in conjunction with the 

class certification of interest rate swaps and other swaps submitted by DW SEF on October 2, 

2013. 

DW SEF will list the Swaps no earlier than February 18, 2022. 

This submission letter contains the following attachments: 

 Attached as Exhibits A-1 to A-3 is a concise explanation and analysis of each class of 

Swaps; 

 Attached as Exhibits B-1 to B-3 is a copy of the product Rules, which will be published as 

contract specifications on DW SEF’s website in accordance with DW SEF Rule 901; 

 Attached as Exhibit C is a concise explanation and analysis of the products’ compliance with 

applicable provisions of the Commodity Exchange Act (the “CEA”), including the Core 

Principles and the Commission’s Regulations thereunder. 

As required by Commission Regulation 40.2(d)(1), DW SEF hereby certifies that, with regard to 

the Swaps: 

(i) Each particular Swap within the certified class of Swaps is based upon an “excluded 

commodity” specified in Commission Regulation 40.2(d)(1); 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

2 

(ii) Each particular Swap within the certified class of Swaps is based upon an excluded 

commodity with an identical pricing source, formula, procedure, and methodology for 

calculating reference prices and payment obligations; 

(iii) The pricing source, formula, procedure, and methodology for calculating reference 

prices and payment obligations in each particular Swap within the certified class of 

swaps is identical to a pricing source, formula, procedure, and methodology for 

calculating reference prices and payment obligations in a product previously submitted 

to the Commission and certified or approved pursuant to Commission Regulation 40.2 

or Commission Regulation 40.3; and 

(iv) Each particular Swap within the certified class of Swaps is based upon an excluded 

commodity involving an identical currency or identical currencies. 

Based on the foregoing, DW SEF certifies that each Swap complies with the CEA and 

Commission Regulations thereunder. DW SEF additionally certifies that it has concurrently 

posted a copy of this submission letter and attachments hereto on DW SEF’s website at 

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

Should you have questions regarding this submission, please contact the undersigned at (646) 

767-4923 or by email at Devi.Shanmugham@tradeweb.com. 

Very truly yours, 

Devi Shanmugham 

DW SEF CCO
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

3 

Exhibit A-1 

Below is a concise explanation and analysis of Basis Swaps - USD 3-Month BSBY vs. 1-Month 

BSBY for trading on DW SEF’s electronic trading system. 

USD 3-Month BSBY vs. 1-Month BSBY 

A 3-Month BSBY vs. 1-Month BSBY Basis Swap is an agreement between two Parties A and B, 

whereby Party A pays Party B compounded 1-Month BSBY plus an agreed Spread, on an agreed 

Notional, every three months over the Tenor of the Swap. In exchange, Party B pays Party A 3-

Month BSBY every three months, on the agreed Notional, over the Tenor of the Swap. 

For more information, the contract specifications for USD 3-Month BSBY vs. 1-Month BSBY are 

attached as Exhibit B-1. 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

4 

Exhibit A-2 

Below is a concise explanation and analysis of Basis Swaps - USD SOFR vs. 3-Month BSBY for 

trading on DW SEF’s electronic trading system. 

USD SOFR vs. 3-Month BSBY 

A USD SOFR vs. 3-Month BSBY basis swap is an agreement between two Parties A and B, 

whereby Party A pays Party B compounded SOFR plus an agreed Spread, on an agreed Notional, 

every three months over the Tenor of the Swap. In exchange, Party B pays Party A 3-Month 

BSBY every three months, on the agreed Notional, over the Tenor of the Swap. 

For more information, the contract specifications for USD SOFR vs. 3-Month BSBY are attached 

as Exhibit B-2. 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

5 

Exhibit A-3 

Below is a concise explanation and analysis of Basis Swaps - USD SOFR vs. 1-Month BSBY for 

trading on DW SEF’s electronic trading system. 

USD SOFR vs. 1-Month BSBY 

A USD SOFR vs. 1-Month BSBY basis swap is an agreement between two Parties A and B, 

whereby Party A pays Party B compounded SOFR plus an agreed Spread, on an agreed Notional, 

every one month over the Tenor of the Swap. In exchange, Party B pays Party A 1-Month BSBY 

every month, on the agreed Notional, over the Tenor of the Swap. 

For more information, the contract specifications for USD SOFR vs. 1-Month BSBY are attached 

as Exhibit B-3. 

 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

6 

Exhibit B-1

Rule 901(p) Basis Swaps - USD 3-Month BSBY vs. 1-Month BSBY 

Contract Description 

A 3-Month BSBY vs. 1-Month BSBY Basis Swap is an agreement between two 

Parties A and B, whereby Party A pays Party B compounded 1-Month BSBY plus 

an agreed Spread, on an agreed Notional, every three months over the Tenor of 

the Swap. In exchange, Party B pays Party A 3-Month BSBY every three months, 

on the agreed Notional, over the Tenor of the Swap. 

Currency and 

Floating Rate Index - 

Time Period 

Floating Leg 1 (Spread 

Adjusted) 

USD 1-Month Bloomberg Short-Term Bank 

Yield Index 

Floating Leg 2 USD 3-Month Bloomberg Short-Term Bank 

Yield Index 

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 

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs. 

First Fixing Date  The first BSBY Fixing Date is 2 New York business days prior to the 

Effective Date. 

Trade Start Types  Spot Starting (T+2) and Forward Starting 

Notional Fixed Notional 

Holiday Calendar NY 

Business Day 

Conventions Modified Following 

Floating Leg 1: 1-

Month USD BSBY 

 Payment Frequency: Compounded and Paid Quarterly 

 Day Count Convention: Actual/360 

Floating Leg 2: 3-

Month USD BSBY 

 Payment Frequency: Quarterly 

 Day Count Convention: 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 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

7 

Settlement Procedure As determined by the DCO. 

Trading Hours Trading hours of DW SEF. 

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.
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

8 

Exhibit B-2

Rule 901(q) Basis Swaps - USD SOFR vs. 3-Month BSBY 

Contract Description 

A USD SOFR vs. 3-Month BSBY basis swap is an agreement between two Parties 

A and B, whereby Party A pays Party B compounded SOFR plus an agreed 

Spread, on an agreed Notional, every three months over the Tenor of the Swap. 

In exchange, Party B pays Party A 3-Month BSBY every three months, on the 

agreed Notional, over the Tenor of the Swap. 

Currency and 

Floating Rate Index - 

Time Period 

Floating Leg 1 (spread 

adjusted) 

USD Secured Overnight Financing Rate 

(SOFR) 

Floating Leg 2 USD 3-Month Bloomberg Short-Term Bank 

Yield Index 

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 

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs. 

First Fixing Date 

 The first SOFR fixing date is the Start Date of the Swap 

 The first BSBY Fixing Date is 2 New York business days prior to the 

Effective Date. 

Trade Start Types  Spot and Forward-Starting 

Notional Fixed Notional 

Holiday Calendar NY 

Business Day 

Conventions Modified Following 

Floating Leg 1: SOFR  Payment Frequency: Compounded and Paid Quarterly 

 Day Count Convention: Actual/360 

Floating Leg 2: 3-

Month BSBY 

 Payment Frequency: Quarterly (TBD ) 

 Day Count Convention: 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 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

9 

Dual Currencies No 

Settlement Procedure As determined by the DCO. 

Trading Hours Trading hours of DW SEF. 

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.
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

10 

Exhibit B-3

Rule 901(r) Basis Swaps - USD SOFR vs. 1-Month BSBY 

Contract Description 

A USD SOFR vs. 1-Month BSBY basis swap is an agreement between two Parties 

A and B, whereby Party A pays Party B compounded SOFR plus an agreed 

Spread, on an agreed Notional, every one month over the Tenor of the Swap. In 

exchange, Party B pays Party A 1-Month BSBY every month, on the agreed 

Notional, over the Tenor of the Swap. 

Currency and 

Floating Rate Index - 

Time Period 

Floating Leg 1 (spread 

adjusted) 

USD Secured Overnight Financing Rate 

(SOFR) 

Floating Leg 2 USD 1-Month Bloomberg Short-Term Bank 

Yield Index 

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 

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs. 

First Fixing Date 

 The first SOFR fixing date is the Start Date of the Swap 

 The first BSBY Fixing Date is 2 New York business days prior to the 

Effective Date. 

Trade Start Types  Spot and Forward-Starting 

Notional Fixed Notional 

Holiday Calendar NY 

Business Day 

Conventions Modified Following 

Floating Leg 1: SOFR  Payment Frequency: Compounded and Paid monthly 

 Day Count Convention: Actual/360 

Floating Leg 2: 1-

month BSBY 

 Payment Frequency: Monthly 

 Day Count Convention: 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 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

11 

Dual Currencies No 

Settlement Procedure As determined by the DCO. 

Trading Hours Trading hours of DW SEF. 

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.
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

12 

Exhibit C

DW SEF has determined that the Swaps certified herein bear upon the below Core Principles. 

This Exhibit should be read in conjunction with the class certification of interest rate swaps and 

other swaps submitted by DW SEF on October 2, 2013. 

Core Principle 2 – Compliance with Rules

Trading in the Swaps will be subject to the DW SEF Rulebook (the “Rules”), which prohibits 

abusive trading practices, including: acts detrimental to DW SEF (Rule 609) or that are 

inconsistent with just and equitable principles of trade (Rule 602), fraudulent acts (Rule 603), 

fictitious transactions (Rule 604), price manipulation (Rule 606), disruptive trading practices (Rule 

605), misstatements (Rule 608), wash sales (Rule 613) and pre-arranged or non-competitive 

trades, including money passes (Rule 614). 

As with all swaps listed for trading on the Trading System (as such terms are defined in the DW 

SEF Rulebook), trading activity in Swaps will be subject to monitoring and surveillance by DW 

SEF’s Market Regulation Team. DW SEF has the authority to exercise its investigatory and 

enforcement power where potential Rule violations are identified. See Chapter 7 of the Rules. 

Core Principle 3 – Swaps Not Readily Susceptible to Manipulation

Swaps based on standard interest rate swaps are not readily susceptible to manipulation because 

wide dealer and industry support provides significant liquidity in all market conditions for such 

products. 

Core Principle 4 – Monitoring of Trading and Trade Processing

Chapter 5 of the Rules prohibits traders from manipulating, distorting the price of, and disrupting 

the cash settlement process of the Swaps. Such Rules are enforced by the Market Regulation 

Team. 

Core Principle 5 – Ability to Obtain Information

Pursuant to the Rules, DW SEF will have the ability and authority to obtain sufficient information 

for each Swap to allow DW SEF to fully perform its operational, risk management, governance 

and regulatory functions and requirements under Part 37 of Commission Regulations. 

Core Principle 6 – Position Limits or Accountability

Rule 409 allows DW SEF to adopt position limits and/or accountability levels for Required 

Transactions. Persons with positions in excess of position accountability levels established by 

DW SEF will be required to provide, upon request by DW SEF, information about their positions 

in excess of the relevant position accountability threshold and consent to halt any further 

increases in those positions. 
Mr. Christopher J. Kirkpatrick 

Commodity Futures Trading Commission 

February 4, 2022 

13 

Core Principle 7 – Financial Integrity of Transactions

All Swaps that are required to be cleared pursuant to Section 2(h) of the CEA or that are voluntarily 

cleared by the counterparties will be submitted for clearing through a DCO. See Rule 1002. 

Core Principle 9 – Timely Publication of Trading Information

In accordance with Part 16 of Commission Regulations, DW SEF will publish daily market volume 

data reports for each Swap in terms of notional value. In addition, DW SEF will publish for each 

trading day, by tenor of the Swap, the opening price and the high and low prices. DW SEF will 

publish a settlement price for each such Swap. 

DW SEF will submit electronic reports of all primary economic terms data for each Swap to a 

registered swap data repository immediately following execution of such Swap. All such reports 

will meet the standards set out in Commission Regulation 45.3, including the requirement to 

produce a unique swap identifier for each transaction.