1177 Avenue of Americas

New York, New York 10036

August 1, 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: TW SEF LLC – Amendment of Rule 901 (Swap Specifications)

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 ILS 

TELBOR Fixed-to-Floating Swaps, TWD TAIBOR Fixed-to-Floating Swaps and THB THOR 

Overnight Index Swaps (“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; the class certification of interest rate swaps, forward 

rate agreements and zero coupon inflation swaps submitted by TW SEF on November 5, 2019; 

the class certification of credit default swaps submitted by TW SEF on March 9, 2020; and the 

class certification of cross currency basis swaps submitted by TW SEF on June 2, 2020.

This submission letter contains the following Exhibits:

• Attached as Exhibit A is a concise explanation and analysis of the Swaps;

• Attached as Exhibit B-1 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. Attached as 

Exhibit B-2 is a redline showing the changes made to TW SEF Rule 901. 

• Attached as Exhibit C is a concise explanation and analysis of the product’s 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) The Swaps are based upon an “excluded commodity” specified in Regulation 40.2(d)(1);

(ii) The Swaps are 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 the Swaps are identical to a pricing source, formula, 
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

2

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) The Swaps are 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/.

* * *

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

TW SEF CCO
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

3

Exhibit A

Below is a concise explanation and analysis of ILS TELBOR Fixed-to-Floating Swaps, TWD 

TAIBOR Fixed-to-Floating Swaps and THB THOR Overnight Index Swaps (“Swaps”) for 

trading on TW SEF’s electronic trading system. See TW SEF Rules 901(a) and 901(c).

Fixed-to-Floating Swap

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.

Overnight Index Swap

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.

Certain fixed-to-floating swaps may be non-deliverable, which is when the fixed-to-floating swap 

is settled on a cash basis, generally in USD, instead of through a physical exchange of interest 

payment flows.

For more information, the contract specifications for the Swaps are attached as Exhibit B-1.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

4

Exhibit B-1

Amended Rule 901

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.

Certain fixed-to-floating swaps may be non-deliverable, which is when the fixedto-floating swap is settled on a cash basis, generally in USD, instead of through 

a physical exchange of interest payment flows.

Currency and 

Floating Rate Index -

Time Period

U.S. Dollar (USD)

• London Interbank Offered Rate (LIBOR) -

1 Month, 3 Month, 6 Month

• Secured Overnight Financing Rate (USDSOFR-COMPOUND)

Canadian Dollar (CAD) • Canadian Dealer Offered Rate (CDOR) - 3 

Month

Eurodollar (EUR) 

• Euro Interbank Offered Rate (EURIBOR) -

1 Month, 3 Month, 6 Month, 12 Month

• Euro Short-Term Rate (EUR-EuroSTRCOMPOUND)

Japanese Yen (JPY) 

• Tokyo Interbank Offered Rate published 

by published by Japanese Bankers 

Association (JPY-TIBOR-ZTIBOR) - 6 

Month

Swedish Krona (SEK) • Stockholm Interbank Offered Rate 

(STIPOR) - 3 Month

Danish Krone (DKK) • Copenhagen Interbank Offered Rate 

(CIBOR) - 6 Month 

Norwegian Krone (NOK)

• Norwegian Inter Bank Offered Rate 

(NIBOR) - 6 Month

• Norwegian Inter Bank Offered Rate (NOKNIBOR-NIBR) - 3 Month

Australian Dollar (AUD) • Bank Bull Reference Rate or Bank Bill 

Swap Interest Rate (BBR-BBS) - 6 Month

New Zealand Dollar (NZD) • Bank Bill Reference Rate (BBR-FRA) - 3 

Month

Polish Zloty (PLN)

• Windhoek Inter-bank Agreed Rate 

(WIBOR) - 6 Month

• Windhoek Inter-bank Agreed Rate (PLNWIBOR-WIBO) - 3 Month

South African Rand (ZAR) • Johannesburg Interbank Agreed Rate 

(JIBAR) - 3 Month

Hong Kong Dollar (HKD) • Hong Kong Inter Bank Offered Rate 

(HKD-HIBOR-HKAB) - 3 Month
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

5

Singapore Dollar (SGD) • Singapore Overnight Rate (SGD-SORVWAP) - 6 Month

Chinese Yuan (CNY)

• Repo Rate for Chinese Renminbi 

published by the China Foreign Exchange 

Trade System (CNY-CNREPOFIX=CFXSReuters) - 3 Month

South Korean Won (KRW)

• Korean Bond Rate published by the Korea 

Financial Investment Association (KRWCD-KSDA-Bloomberg) - 3 Month

Hungarian Forint (HUF)

• Rate for Deposits in Hungarian Forint 

(HUF-BUBOR-Reuters) - 3 Month and 6 

Month

Czech Koruna (CZK) • Rate for Deposits in Czech Koruna (CZKPRIBOR-PRBO) - 3 Month and 6 Month

Brazilian Real (BRL) • Overnight Brazilian Interbank Deposit 

Rate (BRL-CDI) - 1 Day

Chilean Peso (CLP)

• Indice Cámara Promedio Rate published 

by the Asociación de Bancos e 

Instituciones Financieras de Chile A.G. 

(CLP-TNA) - 6 Month

Colombian Peso (COP)

• Colombian Floating Overnight Lending 

Rate (COP-IBR-OIS-COMPOUND) - 3 

Month

Indian Rupee (INR) • Mumbai Inter-Bank Offer Rate (INR-FBILMIBOR-OIS) - 6 Month

Mexican Peso (MXN)

• Interbank Equilibrium Interest Rate 

published by Banco de México (MXN-TIIEBanxico) - 28 Days

Israeli New Shekel (ILS) • Tel Aviv Inter-Bank Offered Rate 

(TELBOR) - 3 Month

New Taiwan Dollar (TWD) • Taiwan Three Month Interbank Rate 

(TAIBOR) - 3 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

1 day 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/T+0)

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

• Custom start dates

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

• Day Count Convention: 30/360; Actual/360; Actual/365F

Floating Leg • Monthly (1M) Quarterly (3M), Semi-Annual (6M), Annual (1Y)

• Day Count Convention: Actual/360

Notional Fixed Notional

Fixed Rate Types

• Par

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

• Customized Coupon

• Zero Coupon

Holiday Calendar(s) NY/London/TARGET
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

6

Business Day 

Conventions

Following

Modified Following

Unadjusted

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 TW SEF.

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

Eurex Clearing AG (“Eurex”) and Japan Securities Clearing Corp (“JSCC”).

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

August 1, 2022

7

(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

• Secured Overnight Financing Rate (USDSOFR-COMPOUND)

• Federal Funds Rate - Overnight Index 

Swap (USD-Federal Funds-H.15-OISCOMPOUND)

EUR 

• EURIBOR –1 Month, 3 Month, 6 Month 

Eonia

• Euro Short-Term Rate (EUR-EuroSTRCOMPOUND)

• Euro Eonia Overnight Index Swap (EUREONIA-OIS-COMPOUND)

GBP

• Sterling Overnight Index Average GBPSONIA-COMPOUND

• LIBOR - 3 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 year to 40 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

First Fixing Date • The first LIBOR/EURIBOR 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/TARGET

Business Day 

Conventions Modified Following

Floating Leg 1

• Payment Frequency: Monthly, Quarterly; Semi-Annual; or Annual

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

Floating Leg 2 • Payment Frequency: Monthly, 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
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

8

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) LCH, CME, and Eurex.

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

August 1, 2022

9

(c) Overnight Index Swaps - Fixed-to-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.

Certain OIS may be non-deliverable, which is when the OIS is settled on a cash 

basis, generally in USD, instead of through a physical exchange of interest 

payment flows.

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)

THB Thailand Overnight Repurcahse Rate (THB 

THOR)

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/T+0)

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.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

10

Trading Hours Trading hours of TW SEF.

DCO(s) LCH, CME, and Eurex.

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

August 1, 2022

11

(d) Option–USD LIBOR Fixed-to-Floating Swap Contract (“Swaption”)

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a 

Swap listed for trading on TW SEF which is exercisable only on a specific date.

Option Type Payer, Receiver or Straddle

Underlying Swap USD 

Index of Underlying 

Swap

LIBOR

Tenor of Underlying 

Swap

Any (1Y – 30Y)

Currency US Dollar

Notional Notional of the underlying swap ($1 million minimum size)

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where 

it pays the fixed leg and receives the floating leg. A receiver option gives the 

owner of the option the right to enter into a swap in which it receives the fixed leg 

and pays the floating leg.

Quoting Conventions Quoted in $ Premium (basis points of notional)

Option Strike Price Fixed rate of the underlying swap

Option Expiry Date As agreed by the parties (1M – 10Y)

Option Settlement 

Type

Cash or a delivery of a cleared swap

Roll Type Standard or IMM Roll

Exercise Method The purchaser of the Swaption must notify the seller of the Swaption of the 

purchaser’s intent to exercise the Swaption prior to negotiation of the manner of 

the exercise: cash or physical (delivery). Notice shall be in the form indication on 

the order ticket. If the counterparties elect the exercise by physical delivery, the 

counterparties must submit the underlying Swap for clearing to the designated 

Clearing House (either CME or LCH). Otherwise, cash will be exchanged. 

Exercise Procedure In the case of exercise by physical delivery, positions in the underlying swap will 

be established via book entry by the designated Clearing House. In case of cash 

settlement, the exercise shall be conducted by exchanging cash as agreed by the 

counterparties.

Speculative Limits Speculative position limits or position accountability will be the same as for the 

underlying swap.

Clearing House for 

the Underlying Swap

Chicago Mercantile Exchange, Inc. or LCH.Clearnet Ltd. 

Block Size As set forth in Appendix F to Part 43of the CFTC Regulations 
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

12

(e) U.S. Dollar and Non-U.S. 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 – BBA (1 Month, 3 Months, 6 Months)

EUR – LIBOR – BBA (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.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

13

Trading Hours Trading hours of TW 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

August 1, 2022

14

(f) Zero Coupon Inflation Swaps - Fixed-to-Floating

Contract Description A Zero Coupon Inflation Swaps (ZCI) is an agreement between two parties in 

which at maturity date, a fixed rate payment on a notional amount is exchanged 

for a floating payment derived from the value of the inflation rate. There is only 

one cash flow at the maturity of the swap, without any coupon. The final cash flow 

consists of the difference between the fixed amount and the value of the floating 

amount at expiry of the swap. 

Currency and Floating 

Rate Index

EUR | Euro Area CPI excluding tobacco / French CPI Excluding Tobacco

GBP | UK Retail Price Index (RPI)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

The date on which the initial inflation rate is determined by the parties, taking into 

account the time lag preceding the start date. 

Stated Maturity 

Range | Maturity Date

1 year to 50 years for GBP, 30yr for CPI| The final date on which the obligations 

no longer accrue and the final payment occurs.

Trade Start Types Spot Starting (T+2/T+0)

On the 15th of the month

Fixed Leg Payment Frequency: Term

Day Count Convention: 1/1

Floating Leg Payment Frequency: Term

Day Count Convention: 1/1

Notional Fixed Notional

Holiday Calendar(s) London and TARGET

Business Day 

Conventions

Modified Following / Unadjusted

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, CPI 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 TW SEF.

DCO(s) LCH, CME, and Eurex.

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

August 1, 2022

15

(g) Credit Default Swaps - North American 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

Region North America

Indices | Tenor

CDX.NA.IG

(Investment Grade) 3-Year, 5-Year, 7-Year, 10-Year

CDX.NA.HY

(High Yield) 3-Year, 5-Year, 10-Year

Applicable Series

CDX.NA.IG 3Y Series 19 and all subsequent Series, up to and 

including the current Series.

CDX.NA.IG 5Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.NA.IG 7Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.NA.1G 10Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.NA.HY. 3Y Series 19 and all subsequent Series, up to and 

including the current Series

CDX.NA.HY 5Y Series 16 and all subsequent Series, up to and 

including the current Series.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

16

CDX.NA.HY 10Y Series 16 and all subsequent Series, up to and 

including the current Series.

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) CME; ICE Clear U.S. / ICE Clear Europe (collectively, 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

August 1, 2022

17

(h) Credit Default Swaps - European 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

Indices | Tenor

iTraxx Europe 5-Year, 10-Year

iTraxx Europe Crossover 5-Year, 10-Year

iTraxx Europe Senior 

Financials 5-Year, 10-Year

iTraxx Europe Sub Financials 5-Year, 10-Year

iTraxx Europe HiVol 5-Year, 10-Year

Applicable Series

iTraxx Europe 5Y Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe 10Y Series 17 and all subsequent Series, up to and

including the current Series.

iTraxx Europe Crossover 5Y Series 17 and all subsequent Series, up to and 

including the current Series.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

18

iTraxx Europe Crossover 10Y Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Senior 

Financials 5Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Senior 

Financials 10Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Sub Financials 

5Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Sub Financials 

10Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe HiVol 5Y Series 14 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe HiVol 10Y Series 13 and all subsequent Series, up to and 

including the current Series.

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) CME; 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

August 1, 2022

19

(i) Credit Default Swaps – Emerging Markets 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 Sovereign

Region EM

Indices | Tenor CDX.EM 5-Year, 10-Year

Applicable Series

CDX.EM 5Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.EM 10Y Series 16 and all subsequent Series, up to and 

including the current Series.

Tranched No

Quoting Convention 

and Minimum 

Increment

As agreed by parties.

Minimum Size As agreed by parties.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

20

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

August 1, 2022

21

(j) Cross Currency Basis Swaps

Contract Description

A Cross Currency Basis swap is an agreement between two parties to exchange 

floating interest payments in different currencies based on one of the indices 

listed below.

Currency and 

Floating Rate Index -

Time Period

U.S. Dollar (USD) • London Interbank Offered Rate (LIBOR) -

3 Month

Eurodollar (EUR) • Euro Interbank Offered Rate (EURIBOR) - 

3 Month

British Pound Sterling 

(GBP) • LIBOR - 3 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

1 year 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)

• Custom start dates

Floating Legs • Quarterly (3M)

• Day Count Convention: ACT/360 & ACT/365F

Notional • Fixed Notional or varying Mark to Market notional in USD

Holiday Calendar(s) NY/London/TARGET

Business Day 

Conventions

Modified Following

• Adjusted

Periodic Settlement: 

Payment and Resets

• 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 Yes

Settlement Procedure Bilateral / as determined by LCH Swap Agent

Trading Hours Trading hours of TW SEF.

Netting Agent LCH Swap Agent 
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

22

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

August 1, 2022

23

(k) Total Return Swaps

Contract Description Each contract is a total return swap where the buyer is obligated to pay a 

predetermined set rate, fixed or variable, to the seller in exchange for notionalbased returned performance of one of the Referenced Indices below. 

Reference Index iBoxx USD Liquid Investment Grade

iBoxx USD Liquid High Yield

iBoxx USD Liquid Leveraged Loans

iBoxx EUR Corporates 

iBoxx EUR Liquid High Yield 

iBoxx EUR Contingent Convertible Liquid Developed Market AT1

Trade Date The date on which the parties enter into the contract, which shall be prior to the 

Termination Date.

Effective Date The first day of the term of the contract, as agreed by the parties. 

Quoting Convention 

and Minimum 

Increment

Notional amount, as agreed by the parties.

Minimum Size Notional amount, as agreed by the parties

Termination Date The date on which the contract expires, as agreed by the parties.

Tenor The duration of time from the Effective Date to the Termination Date.

Settlement Type Cash settlement.

Settlement Terms Buyer: The buyer pays (i) a fixed rate of interest plus a differential, as agreed by 

the parties and (ii) the depreciation of the Referenced Index, as applicable.

Seller: The seller pays (i) the income of the Referenced Index and (ii) the 

appreciation of the Referenced Index, as applicable.

Settlement Currency EUR, GBP or USD

Trading Hours 06:00-17:00(ET), Sunday-Friday.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

24

Exhibit B-2

Redlined Pages of Current TW SEF Rulebook Rule 901
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

August 1, 2022

25

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; the class certification of interest rate swaps, forward 

rate agreements and zero coupon inflation swaps submitted by TW SEF on November 5, 2019; 

the class certification of credit default swaps submitted by TW SEF on March 9, 2020; and the 

class certification of cross currency basis swaps submitted by TW SEF on June 2, 2020.

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 

(Rules 605 and 607); 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 the 

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 

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

inflation swaps submitted by TW SEF on November 5, 2019; the class certification of credit default 

swaps submitted by TW SEF on March 9, 2020; and the class certification of cross currency basis 

swaps submitted by TW SEF on June 2, 2020.

Core Principle 4 – Monitoring of Trading and Trade Processing 

Chapters 5 and 6 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

August 1, 2022

26

Core Principle 6 – Position Limits or Accountability 

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

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

SEF will be required to provide, upon request by TW SEF, 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.