1177 Avenue of Americas

New York, New York 10036

May 5, 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: 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 

Columbian Floating Overnight Lending under TW SEF Rule 901(c) 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; the class certification of cross currency basis swaps 

submitted by TW SEF on June 2, 2020, and the class certification of fixed-to-floating swaps and 

overnight index swaps submitted by TW SEF on August 1, 2022.

This submission letter contains the following Exhibits:

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

• 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;
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

May 5, 2023

2

(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, 

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

May 5, 2023

3

Exhibit A

Below is a concise explanation and analysis of Colombian Floating Overnight Lending Rate Index 

Swap (“Swap”) for trading on TW SEF’s electronic trading system. See TW SEF Rule 901(c).

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 Swap is attached as Exhibit B-1 (which 

also includes additional Rulebook changes that are being filed separately).
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

May 5, 2023

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

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

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)- 3Month

• 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

May 5, 2023

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

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

Business Day 

Conventions

• Following

• Modified Following

• Unadjusted
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

May 5, 2023

6

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

May 5, 2023

7

( 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, Secured Overnight Financing 

Rate (USD-SOFR-COMPOUND)

EUR Euro Overnight Index Average (ESTR))

AUD RBA Interbank Overnight Cash Rate ( AONIA)

NZD NZD-NZIONA-OIS Compound(NZIONA)

GBP Sterling Overnight Index Average (SONIA)

CAD Canadian Overnight Repo Rate Average 

(CORRA)

CHF Swiss Average Rate (SARON)

JPY Tokyo Interbank Offered Rate (TONA)

SGD Singapore Overnight Rate Average ( SORA)

THB Thailand Overnight Repurchase Rate (THB 

THOR)

COP Colombian Floating Overnight Lending Rate 

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

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 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: Term, Monthly, Quarterly, Semi, and Annual

• Day Count Convention: Actual/360, Actual/365F

Floating Leg • Payment Frequency: Term, Monthly, Quarterly, Semi, and Annual

• Day Count Convention: Actual/360, Actual/365F

Notional Fixed Notional

Fixed Rate Types

• Par

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

• Customized Coupon

Holiday Calendar(s) Federal. New York, USGS, London, and TARGET
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

May 5, 2023

8

Business Day 

Conventions

• Modified Following

• 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, 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

May 5, 2023

9

Exhibit B-2

Redlined Pages of Current TW SEF Rulebook Rule 901

Chapter 9.

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

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

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)- 3Month

• 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
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

May 5, 2023

10

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

(HKD-HIBOR-HKAB) - 3 Month

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

May 5, 2023

11

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

May 5, 2023

12

(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, Secured Overnight Financing 

Rate (USD-SOFR-COMPOUND)

EUR Euro Overnight Index Average (ESTR))

AUD RBA Interbank Overnight Cash Rate ( AONIA)

NZD NZD-NZIONA-OIS Compound(NZIONA)

GBP Sterling Overnight Index Average (SONIA)

CAD Canadian Overnight Repo Rate Average 

(CORRA)

CHF Swiss AvereageAverage Rate (SARON)

JPY Tokyo Interbank Offered Rate (TONA)

SGD Singapore Overnight Rate Average ( SORA)

THB Thailand Overnight RepurcahseRepurchase

Rate (THB THOR)

COP Colombian Floating Overnight Lending Rate 

(COP-IBR-OIS-COMPOUND)

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 530 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: Term Monthly, Quarterly, Semi,and Annual

• Day Count Convention: Actual/360F,Actual/365 FIXED

Floating Leg • Payment Frequency: Term Monthly, Quarterly, Semi and Annual

• Day Count Convention: Actual/360, Actual/365 FIXED

Notional Fixed Notional

Holiday Calendar(s) New York, USGS, London Federal and TARGET

Business Day 

Conventions

• Modified Following

• Following

• Unadjusted
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

May 5, 2023

13

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, 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

May 5, 2023

14

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; the class 

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

certification of fixed-to-floating swaps and overnight Index swaps submitted by TW SEF on August 

1, 2022.

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; the class certification of cross currency basis 

swaps submitted by TW SEF on June 2, 2020 and the class certification of fixed-to-floating swaps 

and overnight Index swaps submitted by TW SEF on August 1, 2022.

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 
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

May 5, 2023

15

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.

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.