December 7, 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: Commission Regulations 40.2(a) and 40.2(d): Class Certification (new elements) of 

Overnight Index Swaps: US Dollar Secured Overnight Financing Rate

Dear Mr. Kirkpatrick:

DW SEF LLC (“DW 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 new 

elements to its prior product listing of Overnight Index Swaps: US Dollar Secured Overnight 

Financing Rate (“Swaps”) for trading on DW SEF’s electronic trading system (namely the stated 

maturity range/maturity date and trade start types. This certification should be read in conjunction 

with the class certification of interest rate swaps and other swaps submitted by DW SEF on 

October 2, 2013.

DW SEF will list the Swaps no earlier than December 9, 2023.

This submission letter contains the following attachments:

• Attached as Exhibit A-1 is a concise explanation and analysis of the class of Swaps;

• Attached as Exhibit B-1 is a copy of the product Rules, which will be published as contract 

specifications on DW SEF’s website in accordance with DW SEF Rule 901; Attached as 

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

• Attached as Exhibit C is a concise explanation and analysis of the products’ compliance with 

applicable provisions of the Commodity Exchange Act (the “CEA”), including the Core 

Principles and the Commission’s Regulations thereunder.

As required by Commission Regulation 40.2(d)(1), DW SEF hereby certifies that, with regard to 

the Swaps:

(i) Each particular Swap within the certified class of Swaps is based upon an “excluded 

commodity” specified in Commission Regulation 40.2(d)(1);

(ii) Each particular Swap within the certified class of Swaps is based upon an excluded 

commodity with an identical pricing source, formula, procedure, and methodology for 

calculating reference prices and payment obligations;
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

December 7, 2023

2

(iii) The pricing source, formula, procedure, and methodology for calculating reference 

prices and payment obligations in each particular Swap within the certified class of 

swaps is identical to a pricing source, formula, procedure, and methodology for 

calculating reference prices and payment obligations in a product previously submitted 

to the Commission and certified or approved pursuant to Commission Regulation 40.2 

or Commission Regulation 40.3; and

(iv) Each particular Swap within the certified class of Swaps is based upon an excluded 

commodity involving an identical currency or identical currencies.

Based on the foregoing, DW SEF certifies that each Swap complies with the CEA and 

Commission Regulations thereunder. DW SEF additionally certifies that it has concurrently 

posted a copy of this submission letter and attachments hereto on DW 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

DW SEF CCO
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

December 7, 2023

3

Exhibit A-1

Below is a concise explanation and analysis of Overnight Index Swaps: US Dollar Secured 

Overnight Financing Rate for trading on DW SEF’s electronic trading system.

Overnight Index Swaps: US Dollar Secured Overnight Financing Rate 

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.

For more information, the contract specifications for Overnight Index Swaps: US Dollar Secured 

Overnight Financing Rate are attached as Exhibit B-1.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

December 7, 2023

4

Exhibit B-1

Amended Rule 901 

(b) 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

2 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)

• Trade Date Starting (T +0)

• 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
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

December 7, 2023

5

Settlement Procedure As determined by the DCO.

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

December 7, 2023

6

Exhibit B-1

Redlined Pages of Current DW SEF Rulebook Rule 901 

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

2 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)

• Trade Date Starting (T +0)

• 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
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

December 7, 2023

7

Settlement Procedure As determined by the DCO.

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

December 7, 2023

8

Exhibit C

DW 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 DW SEF on October 2, 2013.

Core Principle 2 – Compliance with Rules

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

abusive trading practices, including: acts detrimental to DW SEF (Rule 609) or that are 

inconsistent with just and equitable principles of trade (Rule 602), fraudulent acts (Rule 603), 

fictitious transactions (Rule 604), price manipulation (Rule 606), disruptive trading practices (Rule 

605), misstatements (Rule 608), wash sales (Rule 613) and pre-arranged or non-competitive 

trades, including money passes (Rule 614).

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

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

SEF’s Market Regulation Team. DW SEF has the authority to exercise its investigatory and 

enforcement power where potential Rule violations are identified. See Chapter 7 of the Rules.

Core Principle 3 – Swaps Not Readily Susceptible to Manipulation

Swaps based on standard interest rate swaps are not readily susceptible to manipulation because 

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

products.

Core Principle 4 – Monitoring of Trading and Trade Processing

Chapter 5 of the Rules prohibits traders from manipulating, distorting the price of, and disrupting 

the cash settlement process of the Swaps. Such Rules are enforced by the Market Regulation 

Team.

Core Principle 5 – Ability to Obtain Information

Pursuant to the Rules, DW SEF will have the ability and authority to obtain sufficient information 

for each Swap to allow DW 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 DW SEF to adopt position limits and/or accountability levels for Required 

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

DW SEF will be required to provide, upon request by DW SEF, information about their 

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

further increases in those positions.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

December 7, 2023

9

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, DW SEF will publish daily market volume 

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

trading day, by tenor of the Swap, the opening price and the high and low prices. DW SEF will 

publish a settlement price for each such Swap. 

DW 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.