Plaza 5, 185 Hudson St #2200 

Jersey City, NJ 07311

June 29, 2023

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: DW SEF LLC – Amendment of Rule 901 (Swap Specifications)

Dear Mr. Kirkpatrick:

Pursuant to Section 5c(c) of the Commodity Exchange Act (the “Act”) and Section 40.6(a) of the 

regulations of the Commodity Futures Trading Commission (the “Commission”), DW SEF LLC 

(“DW SEF”) hereby submits an amendment to its Rulebook related to the above-captioned Rule. 

Specifically, the Rulebook has been amended as detailed below.

The Rulebook has been amended to reflect the delisting of contracts which reference LIBOR and 

any additional amendments that need to be made to reflect the same including relevant updates 

to 901 (b), (c), and (g). DW SEF will delist the LIBOR referenced products no earlier than June 

30, 2023. The Rulebook has also been updated so that the product specifications set forth in Rule 

901 align with DW SEF’s technical specifications. The amendment will become effective on June 

30, 2023.

In connection with this submission, DW SEF hereby notifies the Commission that:

1. DW SEF certifies that it has posted a notice of this pending certification with the 

Commission and a copy of this submission on DW SEF’s website, including a redline 

of Rule 901, which is attached hereto as Exhibit A, and a copy of Rule 901, which is 

attached hereto as Exhibit B;

2. DW SEF certifies that the Rule complies with the Act and the Commission’s regulations 

thereunder; and 

3. No substantive opposing views with respect to the Rule were expressed to DW SEF 

by its governing board or committee members, members of DW SEF or market 

participants.

* * *
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

2

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

June 29, 2023

3

Exhibit A

Redline Version of Rule 901
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

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Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

42

Exhibit B

Amended Rule 901
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

43

(a) Interest Rate Swaps: Canadian Dollar 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.

Currency and 

Floating Rate Index -

Time Period

Canadian Dollar (CAD) 3-Month Canadian Dollar Offered Rate 

(CDOR)

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

30 days to 50 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types • Spot Starting (T+0)

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

Transaction Types

• Outright

• Spread vs. Gov’t of Canada Securities (“Swap Spread” or “Spreadover”)

• Rate Switch

• Spread Switch

• Butterfly

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

• Day Count Convention: 30/360; 

Floating Leg • Quarterly (3M) or Semi-Annual (3M or greater)

• Day Count Convention: Actual/365

Notional Fixed Notional

Fixed Rate Types • Par

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

Holiday Calendar(s) Toronto

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
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

44

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

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

June 29, 2023

45

(b) Overnight Index Swaps: US Dollar Federal Funds Effective Rate

Contract Description

An Overnight Index Swap referencing the US Dollar Federal Funds Effective Rate 

is an agreement between two parties to exchange a fixed interest payment for a 

floating interest payment based on the compounded rate of the Federal Funds 

Effective Rate over every day of the payment period.

Currency and Floating 

Rate Index USD Federal Funds Effective Rate, per H-15

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)

• Forward Starting (starting on next Federal Reserve Announcement Date)

Fixed Leg • Payment Frequency: Term and Annual

• Day Count Convention: Actual/360

Floating Leg • Term and Annual

• Day Count Convention: Actual/360

Notional Fixed Notional

Holiday Calendar(s) Federal Reserve

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.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH and CME
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

46

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

June 29, 2023

47

(c) Overnight Index Swaps: US Dollar Secured Overnight Financing Rate

Contract Description

An Overnight Index Swap referencing the Secured Overnight Financing Rate 

(SOFR) is an agreement between two parties to exchange a fixed interest 

payment for a floating interest payment based on the compounded rate of SOFR 

over every day of the payment period.

Currency and Floating 

Rate Index USD Secured Overnight Financing Rate

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

7days 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)

• Forward Starting (starting on next Federal Reserve Announcement Date)

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

Fixed Leg • Payment Frequency: Term, Annual, Quarterly 

• Day Count Convention: Actual/360

Transaction Types

• Outright

• Spread vs. US Treasury Securities (“Swap Spread” or “Spreadover”)

• Rate Switch

• Spread Switch

• Butterfly

Floating Leg • Term, Annual, Quarterly 

• Day Count Convention: Actual/360

Notional Fixed Notional

Holiday Calendar(s) US Government Securities Calendar

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.

Trading Hours Trading hours of DW SEF.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

48

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

June 29, 2023

49

(d) Overnight Index Swaps: Canadian (Dollar) Overnight Repo Rate Average

Contract Description

An Overnight Index Swap referencing the Canadian Overnight Repo Rate 

Average (CORRA) is an agreement between two parties to exchange a fixed 

interest payment for a floating interest payment based on the geometric average 

of CORRA over every day of the payment period.

Currency and Floating 

Rate Index CAD Canadian Overnight Repo Rate Average (CORRA)

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+0)

• Forward Starting 

Fixed Leg • Payment Frequency: Term and Annual

• Day Count Convention: Actual/365

Floating Leg • Term and Annual

• Day Count Convention: Actual/365

Notional Fixed Notional

Holiday Calendar(s) Toronto

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.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH and CME
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

50

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

June 29, 2023

51

(e) Single Period Swaps: US Dollar Secured Overnight Financing Rate

Contract Description

A Single-Period Interest Rate Swap referencing the Secured Overnight Financing 

Rate (SOFR) is a forward-starting Fixed-vs.-Floating Interest-Rate Swap, with a 

single floating-rate period. One party buys (pays) a fixed interest rate and receives 

compounded SOFR and one party sells (receives) a fixed interest rate and pays 

compounded SOFR. A net payment is made on the Maturity Date.

Currency and Floating 

Rate Index – Time 

Period

USD – Secured Overnight Financing Rate

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 SOFR fixing date is two good business days prior to the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) US Government Securities Calendar

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

June 29, 2023

52

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

June 29, 2023

53

(f) Single Period Swaps: Canadian Dollar Offered Rate

Contract Description

A Single-Period Interest Rate Swap referencing Canadian Dollar Offered Rate 

(CDOR) is a forward-starting Fixed-vs.-Floating Interest-Rate Swap, with a single 

floating-rate period. One party buys (pays) a fixed interest rate and receives 

CDOR rate and one party sells (receives) a fixed interest rate and pays CDOR. A 

net payment is made on the Maturity Date.

Currency and Floating 

Rate Index – Time 

Period

CAD – CDOR (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+0)

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

• Forward Start Date 

Fixing Date CDOR is fixed on the SPS’ Effective Date

Business Day 

Conventions Modified Following

Holiday Calendar(s) Toronto

Fixed Leg • Payment Frequency: One Time

• Day Count Convention: Actual/365F

Floating Leg • Payment Frequency: One Time

• Day Count Convention: Actual/365F

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

June 29, 2023

54

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

June 29, 2023

55

(g) Basis Swaps: USD SOFR vs. USD Federal Funds Effective Rate Basis Swap

Contract Description

A SOFR vs. Federal Funds Effective Rate 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 compounded Fed Funds Effective 

Rate, on the agreed Notional, every three months, 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 Federal Funds Effective, per H-15

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 Federal Funds Fixing Date is the Start Date of the Swap

Trade Start Types • Spot and Forward-Starting

Notional Fixed Notional

Holiday Calendar NY/ US Government Securities Calendar

Business Day 

Conventions Modified Following

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

• Day Count Convention: Actual/360

Floating Leg 2: FFe • Payment Frequency: Compounded and Paid 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

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

56

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

June 29, 2023

57

(h) 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

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

58

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

June 29, 2023

59

(i) Basis Swaps: USD SOFR vs. 3-Month BSBY Basis Swap

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

Dual Currencies No

Settlement Procedure As determined by the DCO.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

60

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

June 29, 2023

61

(j) Basis Swaps: USD SOFR vs. 1-Month BSBY Basis Swap

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

Dual Currencies No

Settlement Procedure As determined by the DCO.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

62

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

June 29, 2023

63

(k) Basis Swaps: Canadian Dollar 3-Month CDOR vs. 1-Month CDOR Basis Swap

Contract Description

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

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

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 CDOR 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) CAD 1-Month CDOR

Floating Leg 2 CAD 3-Month CDOR

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 CDOR Fixing is on Trade Date

Trade Start Types • Spot Starting (T+0) and Forward Starting

Notional Fixed Notional

Holiday Calendar Toronto

Business Day 

Conventions Modified Following

Floating Leg 1: 1-

Month CAD CDOR

• Payment Frequency: Compounded and Paid Quarterly

• Day Count Convention: Actual/365

Floating Leg 2: 3-

Month CAD CDOR

• Payment Frequency: Quarterly

• Day Count Convention: Actual/365

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

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

June 29, 2023

64

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

June 29, 2023

65