1340653.03

MarketAxess SEF Corporation

299 Park Avenue, 10th Floor

New York, NY 10171

January 13, 2015

Submitted Via Email

Office of the Secretariat 

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

secretary@cftc.gov

RE: Listing Products for Trading by Certification Pursuant to CFTC Rule 40.2

To Whom it May Concern:

MarketAxess SEF Corporation intends to list for trading the products attached in Appendix A 

hereto starting on January 26, 2015. MarketAxess SEF Corporation certifies that each of the 

products it will list complies with the Commodity Exchange Act (“CEA”) and Commodity 

Futures Trading Commission (“Commission” or “CFTC”) Regulations thereunder. MarketAxess 

SEF Corporation also certifies that, concurrent with filing this submission with the Commission, 

MarketAxess SEF Corporation posted a notice of pending product certification with the 

Commission and a copy of the submission on its website. 

I. Terms and Conditions

A. Terms and Conditions of Specific Products

A copy of the terms and conditions for each product that will be listed on the MarketAxess SEF 

starting on January 26, 2015 is attached as Appendix A. The terms and conditions applicable to 

all products that will be listed for trading on the MarketAxess SEF starting on January 26, 2015 

are described below. 

B. Terms and Conditions Applicable to All Products Listed in Appendix A

Each of the following terms and conditions applies to all products listed in Appendix A hereto: 

1. The trading hours are 3:00 am – 5:30 pm EST Monday through Friday. 

2. Minimum size is as agreed to by counterparties. 
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3. There are no daily price limits. 

4. Price fluctuations are decimalized to two decimal points. 

5. There are no maximum price fluctuation limits. 

6. MarketAxess SEF Corporation will comply with the requirements of 17 C.F.R. 

15.03 with respect to reportable levels. 

7. Pursuant to the MarketAxess SEF Corporation Rulebook, MarketAxess SEF 

Corporation has the authority to adopt position limits or position accountability 

levels. Currently, no speculative position limits are required by Parts 150 or 151 

of the Commission’s regulations. Therefore, MarketAxess SEF Corporation has 

not adopted any position limits or position accountability levels. 

8. Settlement and payment is as agreed to by counterparties. If exercised, the option 

will be submitted for clearing and will become two cleared swaps as a result of 

this life cycle event.1

II. Explanation of Compliance with the CEA and Commission Regulations Thereunder

MarketAxess SEF Corporation will continue to comply with the CEA and Commission 

regulations thereunder when listing the products included in Appendix A. MarketAxess SEF 

Corporation intends to list option contracts on the credit indices described below. The indices 

listed below are highly liquid indices that are not readily susceptible to manipulation. The 

composition and weighting of each index is governed by Markit’s rules, making it extremely 

difficult to manipulate. 

Each index for which MarketAxess SEF Corporation will list option contracts is a reliable 

indicator of market values and conditions. Each index is highly regarded by the industry. Markit 

calculates each referenced price index used by MarketAxess SEF Corporation. Markit uses 

business practices that minimize the opportunity or incentive to manipulate the cash-settlement 

price series. Furthermore, Markit’s cash-settlement calculation involves computational 

procedures that eliminate or reduce the impact of potentially unrepresentative data. 

Markit Credit Indices are made up of the most liquid entities in the relevant single-name CDS

market. The indices roll on a semi-annual basis, and the composition of each new series (a new 

index) is established based on a transparent set of rules designed to ensure that the current series 

tracks the most liquid instruments in the relevant market.

A. Description of Each Index

1. CDX EM Index

 

1

If the underlying swap is not subject to a clearing mandate, this may vary.
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The CDX.EM Index is composed of sovereign issuers (“Issuers”) from three regions: (i) Latin 

America; (ii) Eastern Europe, the Middle East, and Africa; and (iii) Asia.2 The composition of 

the EM Index shall be determined based on submissions by each member of Markit that elects to 

participate in the determination of the EM Index on a continuing basis.3 Markit asks members to 

identify: (i) those Issuers not in the then current EM Index which the member wishes to be added 

to the next EM Index; (ii) those Issuers in the then current EM Index that the member believes 

should be eliminated from the EM Index; and (iii) whether the member wishes to change the 

weightings of the next EM Index even if the Issuers in the EM Index do not change.4 A member 

should only propose the elimination of an Issuer from the EM Index when the member believes 

the Issuer’s outstanding debt or credit default swap contracts in respect of that Issuer have 

become materially less liquid.5 If three or more members propose to eliminate an Issuer, add an 

Issuer, or change the weightings of the EM Index, Markit will solicit a vote by members.6 After 

the composition of the new EM Index for the next six-month period has been finalized, Markit 

will identify a single reference obligation of each Issuer in the EM Index senior in priority of 

payment based on the Reference Entity Database.7 If the members vote to change the weightings 

of the next EM Index, the members will vote on the weightings to be associated with each Issuer 

in the EM Index.8 The weightings of all Issuers must total 100%.9 Four business days prior to 

the Roll Date, Markit will publish to the public and members the composition of the new EM 

Index.10 Three business days prior to the Roll Date, Markit will determine the fixed rate for the 

maturity of the new EM Index.11 Markit will solicit each member to submit an average spread 

for such maturity and select the median of those submissions.

12

 Markit will then publish a draft 

of the EM Index to members before publishing the final EM Index to the public.13

2. North American Investment Grade CDX Index

 

2

See “Index Methodology for the CDX Emerging Markets Index, Published as of March 1, 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/Markit%20CDX%20EM%20Rules%20Mar%202013.pdf. 

3

See id. at 1.

4

See id. at 3.

5

See id. 

6

See id. 

7

See id. at 4.

8

See id. at 5.

9

See id.

10 See id. 

11 See id. 

12 See id.

13 See id.
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The composition of Markit’s North American Investment Grade CDX Index is determined by 

Markit in accordance with the rules and methodologies set forth in Markit CDX High Yield & 

Markit CDX Investment Grade Index Rules.14

Markit’s North American Investment Grade CDX Index is composed of one hundred and twenty 

five of the most liquid North American entities with investment grade credit ratings that trade in 

the CDS market.15 When establishing a new index, Markit creates a Liquidity List after each 

publication of the 6 month Analysis Top 1,000 Single Names report published by DTCC.16 

Markit creates the Liquidity List by using the average weekly trading activity measured in the 

then-current DTCC report and: (a) determining all entities for which single-name CDS are traded 

under the Standard North American Corporate Transaction Type (as defined in the 2003 ISDA 

Credit Derivatives Definitions); (b) including on the list the entities that have been assigned a 

Relevant Rating of “BBB-” or “Baa3” or above; (c) ranking the entities resulting from (a) and (b) 

from the most liquid to the least liquid, based on the notional market risk activity as listed in the 

relevant DTCC report.17 Markit then uses certain general criteria, exclusions, and inclusions 

detailed in the Rules to create a new IG Index.18 Markit publishes the Provisional IG Index on 

its website for comment.19 Based on comments, Markit determines whether amendments are 

necessary.

20

 After the composition of the IG Index has been finalized, Markit will identify a 

single reference obligation for each entity in the IG Index, senior in priority of payment, based 

on the Reference Entity Database.21 Markit then publishes the new index.

3. North American High Yield CDX Index

The composition of Markit’s North American High Yield CDX Index is determined by Markit in 

accordance with the rules and methodologies set forth in Markit CDX High Yield & Markit 

CDX Investment Grade Index Rules.22 

 

14 See “Markit CDX High Yield & Markit CDX Investment Grade Index Rules, March 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/Markit%20CDX%20HY%20and%20IG%20Rules%20Mar%202013.pdf. 

15 See id. at 3.

16 See id. at 10.

17 See id. 

18 See id. at 10-13.

19 See id. at 13.

20 See id.

21 See id. at 14.

22 See “Markit CDX High Yield & Markit CDX Investment Grade Index Rules, March 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/Markit%20CDX%20HY%20and%20IG%20Rules%20Mar%202013.pdf. 
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Markit’s North American High Yield CDX Index is composed of one hundred liquid North 

American entities with high yield credit ratings that trade in the CDS market.23 When 

establishing a new index, Markit creates a Liquidity List after each publication of the 6 month 

Analysis Top 1,000 Single Names report published by DTCC.24 Markit creates the Liquidity 

List by using the average weekly trading activity measured in the then-current DTCC report and: 

(a) determining all entities for which single-name CDS are traded under the Standard North 

American Corporate Transaction Type (as defined in the 2003 ISDA Credit Derivatives 

Definitions); (b) including on the list the entities that have been assigned a Relevant Rating of 

below “BBB-” or “Baa3”; (c) ranking the entities resulting from (a) and (b) from the most liquid 

to the least liquid, based on the notional market risk activity as listed in the relevant DTCC 

report.25 Markit then uses certain general criteria, exclusions, and inclusions detailed in the 

Rules to create a new HY Index.26 Markit publishes the Provisional HY Index on its website for 

comment. 27 Based on comments, Markit determines whether amendments are necessary. 28 

After the composition of the HY Index has been finalized, Markit will identify a single reference 

obligation for each entity in the HY Index, senior in priority of payment, based on the Reference 

Entity Database. 29 Markit then publishes the new index.

4. iTraxx Europe Index

The composition of the iTraxx Europe Index is determined by Markit in accordance with the 

rules and methodologies set forth in Markit iTraxx Europe Index Rules.

30

 

The Markit iTraxx Europe Index is composed of one hundred twenty five liquid European 

entities with investment grade credit ratings that trade in the CDS market.31 When establishing a 

new index, Markit creates the Markit iTraxx Europe Liquidity List after each publication of the 6 

month Analysis Top 1,000 Single Names report published by DTCC.32 Markit creates the 

Liquidity List by using the average weekly trading activity measured in the then-current DTCC 

report and: (a) determining all entities that: (i) are incorporated in Europe; (ii) are classified with 

 

23 See id. at 3.

24 See id. at 5.

25 See id. 

26 See id. at 6-9.

27 See id. at 9.

28 See id.

29 See id. at 14.

30 See “Markit iTraxx Europe Index Rules, August 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20Europe%20Index%20Rules%20S19.pdf. 

31 See id. at 3.

32 See id. at 6.
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the “DC Region” as “Europe” in the DTCC Report; (iii) demonstrate trading activity greater than 

zero during the last eight weeks; (iv) have an investment grade Relevant Rating as defined in the 

Markit iTraxx Europe Index Rules; (b) ranking those entities meeting the criteria in (a), from the 

most liquid to the least liquid, based on the notional market risk activity as listed in the relevant 

DTCC Report.33 Markit then uses certain general criteria detailed in the Markit iTraxx Europe 

Index Rules to create a new iTraxx Europe Index.

34

 Markit publishes the Provisional Markit 

iTraxx Europe Index on its website for comment.35 Based on comments, Markit determines 

whether amendments are necessary.36 Markit then publishes the new index.

5. iTraxx Senior Financials

The Markit iTraxx Senior Financials comprises the twenty five financial entities from the Markit 

iTraxx Europe index referencing senior debt.37 It is a sub-index of the Markit iTraxx Europe 

Index and is governed by the Markit iTraxx Europe Index Rules.

38

 

6. iTraxx Crossover Index

The composition of the iTraxx Crossover Index is determined by Markit in accordance with the 

rules and methodologies set forth in the Markit iTraxx Europe Index Rules.39 

The Markit iTraxx Crossover Index is composed of up to fifty European entities with noninvestment grade credit ratings that trade in the CDS market.40

 When establishing a new index, 

Markit creates the Markit iTraxx Crossover Liquidity List after each publication of the 6 month 

Analysis Top 1,000 Single Names report published by DTCC.41 Markit creates the Liquidity List 

by using the average weekly trading activity measured in the then-current DTCC report and: (a) 

determining all entities that: (i) are incorporated in Europe; (ii) are classified with the “DC 

Region” as “Europe” in the DTCC Report; (iii) demonstrate trading activity greater than zero 

during the last eight weeks; (iv) have a below investment grade Relevant Rating as defined in the 

Markit iTraxx Europe Index Rules; (v) are not guaranteed or controlled by (directly or indirectly) 

 

33 See id.

34 See id. at 6-8.

35 See id. at 8.

36 See id.

37 See id. at 8. 

38 See id.

39 See “Markit iTraxx Europe Index Rules, August 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20Europe%20Index%20Rules%20S19.pdf. 

40 See id. at 3.

41 See id. at 9.

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Appendix A

CDX.EM Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the

CDX.EM index made up of sovereign issuers from Latin America, Eastern Europe, the 

Middle East, Africa and Asia as published by Markit from time to time at a 

predetermined level as agreed to by the counterparties

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency USD

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

CDX.NA.HY Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

CDX.NA.HY index made up one hundred (100) liquid North American entities with high 

yield credit ratings as published by Markit from time to time at a predetermined level as 

agreed to by the counterparties

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency USD

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

CDX.NA.IG Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

CDX.NA.IG index made up of one hundred twenty five (125) of the most liquid North 

American entities with investment grade credit ratings as published by Markit from time 

to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency USD

Listing Cycle Tenors of 1 through 10 years based on liquidity
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Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

iTraxx Europe Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

iTraxx Europe index made up of one hundred twenty five (125) of the most liquid 

European entities with investment grade credit ratings as published by Markit from time 

to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency EUR

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

iTraxx Europe Crossover Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

iTraxx Europe Crossover index made up of fifty (50) European entities with noninvestment grade credit ratings as published by Markit from time to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency EUR

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

iTraxx Europe Senior Financials Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

iTraxx Europe Senior Financials index made up of twenty five (25) European financial 

entities from the iTraxx Europe index referencing senior debt as published by Markit

from time to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency EUR
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Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European