1177 Avenue of Americas

New York, New York 10036

Via CFTC Portal

March 9, 2020

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 Credit Default Swaps - Europe/Asia Untranched CDS 

Indices

Dear Mr. Kirkpatrick:

TW SEF LLC (“TW 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: Credit Default Swaps - Europe/Asia Untranched CDS Indices (“Swaps”) for trading on 

TW 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 TW SEF on September 

30, 2013, the class certification of swaptions submitted by TW SEF on January 12, 2017 and 

the class certification of interest rate swaps, forward rate agreements; and zero coupon inflation 

swaps submitted by TW SEF on November 5, 2019.

TW SEF will list the Swaps no earlier than March 12, 2020.

This submission letter contains the following attachments:

 Attached as Exhibits A is a concise explanation and analysis of the Swaps;

 Attached as Exhibits B is a copy of the product Rules, which will be published as contract 

specifications on TW SEF’s website in accordance with TW SEF Rule 901. We have 

provided Exhibits B in redline to show additions to existing contract specifications and new 

contract specifications, which will be published in TW SEF’s Rules. 
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

March 9, 2020

2

 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), TW 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 Regulation 40.2(d)(1);

(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 Regulation 40.2 

or 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, TW SEF certifies that the Swaps comply with the CEA and Commission 

Regulations thereunder. TW SEF additionally certifies that it has concurrently posted a copy of 

this submission letter and attachments hereto on TW SEF’s website at

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

* * *

In the event that you have questions, please contact the undersigned at (646) 560-7223 or 

Gregory.Compa@tradeweb.com.

Very truly yours,

Gregory Compa

Chief Compliance Officer

TW SEF LLC
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

March 9, 2020

3

Exhibit A

Below is a concise explanation and analysis of the Credit Default Swaps - Europe/Asia 

Untranched CDS Indices (“Swaps”) for trading on TW SEF’s electronic trading system. The 

Swaps subject to this filing are similar to other credit default swaps currently available for trading 

on TW SEF. See TW SEF Rule 901(g) - (i).

Credit Default Swap

A credit default swap (“CDS”) is a derivative transaction that allows for one party to transfer to 

another party for an agreed period of time the credit risk associated with an index of reference 

entities (an Index CDS). In each CDS, one party (the Buyer) pays a cash premium (the 

Premium) to the other party (the Seller) to purchase credit protection against the occurrence of 

an adverse event (a Credit Event) with respect to the reference entity or entities.

For more information, the contract specifications for the Swaps are attached as Exhibit B.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

March 9, 2020

4

Exhibit B

Rule 901(j) Credit Default Swaps - Europe/Asia Untranched CDS Indices

Contract 

Description

A credit default swap (CDS) is a derivative transaction that allows for one party to transfer 

to another party for an agreed period of time the credit risk associated with an index of 

reference entities (an Index CDS). In each CDS, one party (the Buyer) pays a cash 

premium (the Premium) to the other party (the Seller) to purchase credit protection against 

the occurrence of an adverse event (a Credit Event) with respect to the reference entity or 

entities.

The most common Credit Events are bankruptcy, failure to pay obligations and 

restructuring of obligations. The credit protection can relate to a specific type of obligation 

or all obligations of a reference entity and is expressed in terms of a notional amount of the 

relevant obligations.

Selling credit protection is economically equivalent to owning the relevant obligations. 

Buying credit protection is economically equivalent to selling those obligations short.

If a Credit Event occurs before the maturity date of a CDS, the Seller must make a

payment to the Buyer in accordance with the settlement terms of the CDS. In cash 

settlement, a cash payment is made by the Seller to the Buyer equal to par minus the 

recovery rate of the reference asset, with recovery rate being calculated by referencing 

dealer quotes or observable market prices over some period after default has occurred.

Credit Events are determined by International Swaps and Derivatives Association, Inc. 

(lSDA) committees made up of market practitioners and settlement prices for obligations 

are determined by standardized auctions.

Reference 

Entities Corporate, Financial

Region Europe/Asia

Indices | Tenor

ITRAXX ASIA EX-JAPAN 5-Year

ITRAXX JAPAN 5-Year

ITRAXX AUSTRALIA 5-Year

Applicable 

Series

ITRAXX ASIA EX-JAPAN Series 25 and all subsequent Series, up to and including 

the current Series.

ITRAXX JAPAN Series 25 and all subsequent Series, up to and including 

the current Series.

ITRAXX AUSTRALIA Series 25 and all subsequent Series, up to and including 

the current Series.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

March 9, 2020

5

Tranched No

Quoting 

Convention and 

Minimum 

Increment

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 payments.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments as agreed 

by parties.

Settlement 

Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) ICE

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

March 9, 2020

6

Exhibit C

TW 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 TW SEF on September 30, 2013, the class certification of swaptions 

submitted by TW SEF on January 12, 2017 and class certification of interest rate swaps, 

forward rate agreements, and zero coupon inflation swaps submitted by TW SEF on November 

5, 2019.

Core Principle 2 – Compliance with Rules

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

abusive trading practices, including: acts detrimental to TW 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 noncompetitive trades, including money passes (Rule 614).

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

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

SEF’s Market Regulation Team. TW 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 credit default swaps are not readily susceptible to manipulation 

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

for such products. This Exhibit should be read in conjunction with the class certification of 

interest rate swaps and other swaps submitted by TW SEF on September 30, 2013, the class 

certification of swaptions submitted by TW SEF on January 12, 2017 and the class certification 

of interest rate swaps, forward rate agreements; and zero coupon inflation swaps submitted by 

TW SEF on November 5, 2019.

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, TW SEF will have the ability and authority to obtain sufficient information 

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

and regulatory functions and requirements under Part 37 of Commission Regulations.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

March 9, 2020

7

Core Principle 6 – Position Limits or Accountability

Rule 409 allows the Company to adopt position limits and/or accountability levels for Required 

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

the Company will be required to provide, upon request by the Company, information about 

their positions in excess of the relevant position accountability threshold and consent to halt 

any further increases in those positions.

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, TW SEF will publish daily market 

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

for each trading day, by tenor of the Swap, the opening price and the high and low prices. TW 

SEF will publish a settlement price for each such Swap. 

TW 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.