1177 Avenue of Americas

New York, New York 10036

November 13, 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:

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 for CDX Emerging Markets High Yield Index, and CDX Emerging Markets 

Investment Grade Index(“Swaps”) 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, the class certification of 

total return swaps submitted by TW SEF on December 18, 2020 and the class 

certification of fixed-to-floating swaps and overnight index swaps submitted by TW SEF 

on August 1, 2022. 

TW SEF will list the Swaps no earlier than November 16, 2023

This submission letter contains the following Exhibits:

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

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

specifications on TW SEF’s website in accordance with TW SEF Rule 901. Attached as 

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

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

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

Principles and the Commission’s Regulations thereunder.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

November 13, 2023

2

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

the Swaps:

(i) The Swaps are based upon an “excluded commodity” specified in Regulation 40.2(d)(1);

(ii) The Swaps are based upon an excluded commodity with an identical pricing source,

formula, procedure, and methodology for calculating reference prices and payment 

obligations;

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

prices and payment obligations in the Swaps are identical to a pricing source, formula, 

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

November 13, 2023

3

Exhibit A

Below is a concise explanation and analysis of Emerging Markets Investment Grade, and 

Emerging Markets High Yield for trading on TW SEF’s electronic trading system. See TW SEF 

Rules 901(j).

Emerging Markets Untranched CDS Indices

A credit default swap (CDS) is a derivative transaction that allows for one party to transfer to another party for an 

agreed period of time the credit risk associated with an index of reference entities (an Index CDS). In each CDS, one 

party (the Buyer) pays a cash premium (the Premium) to the other party (the Seller) to purchase credit protection 

against the occurrence of an adverse event (a Credit Event) with respect to the reference entity or entities. The 

emerging markets credit default swap indices are a family of indices that cover a specified list of sovereign reference 

entities that trade in the CDS market. This list represents reference entities from the 3 emerging markets regions –

Asia, CEEMEA, and Latin America. Additionally, there are two sub-indices that separate these sovereign reference 

entities by credit rating, i.e. investment grade and high yield.

The most common Credit Events are bankruptcy, failure to pay obligations and restructuring of obligations. The credit 

protection can relate to a specific type of obligation or all obligations of a reference entity and is expressed in terms of 

a notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant obligations. Buying credit protection is 

economically equivalent to selling those obligations short.

If a Credit Event occurs before the maturity date of a CDS, the Seller must make a payment to the Buyer in 

accordance with the settlement terms of the CDS. In cash settlement, a cash payment is made by the Seller to the 

Buyer equal to par minus the recovery rate of the reference asset, with recovery rate being calculated by referencing 

dealer quotes or observable market prices over some period after default has occurred.

Credit Events are determined by International Swaps and Derivatives Association, Inc. (lSDA) committees made up 

of market practitioners and settlement prices for obligations are determined by standardized auctions.

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

Commodity Futures Trading Commission

November 13, 2023

4

Exhibit B-1

Amended Rule 901

(j) Credit Default Swaps – Emerging Markets Untranched CDS Indices

Contract Description A credit default swap (CDS) is a derivative transaction that allows for one party 

to transfer to another party for an agreed period of time the credit risk 

associated with an index of reference entities (an Index CDS). In each CDS, 

one party (the Buyer) pays a cash premium (the Premium) to the other party 

(the Seller) to purchase credit protection against the occurrence of an adverse 

event (a Credit Event) with respect to the reference entity or entities.

The most common Credit Events are bankruptcy, failure to pay obligations and 

restructuring of obligations. The credit protection can relate to a specific type of 

obligation or all obligations of a reference entity and is expressed in terms of a 

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant 

obligations. Buying credit protection is economically equivalent to selling those 

obligations short.

If a Credit Event occurs before the maturity date of a CDS, the Seller must 

make a payment to the Buyer in accordance with the settlement terms of the 

CDS. In cash settlement, a cash payment is made by the Seller to the Buyer 

equal to par minus the recovery rate of the reference asset, with recovery rate 

being calculated by referencing dealer quotes or observable market prices over 

some period after default has occurred.

Credit Events are determined by International Swaps and Derivatives 

Association, Inc. (lSDA) committees made up of market practitioners and 

settlement prices for obligations are determined by standardized auctions.

Reference Entities Sovereign

Region EM

Indices | Tenor

CDX.EM 5-Year, 10-Year

CDX.EM.IG 5-Year

CDX.EM.HY 5-Year

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

including the current Series.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

November 13, 2023

5

CDX.EM 10Y

Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.EM.IG 5Y Series 40 and all subsequent Series, up to and 

including the current Series

CDX.EM.HY 5Y Series 40 and all subsequent Series, up to and 

including the current Series

Tranched No

Quoting Convention

and Minimum 

Increment

As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

The date on which parties begin calculating accrued obligations such as fixed 

payments.

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Settlement Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments 

as agreed by parties.

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) ICE Clear U.S. / LCH Clearnet Ltd.

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

November 13, 2023

6

Exhibit B-2

Redlined Pages of Current TW SEF Rulebook Rule 901

(j) Credit Default Swaps – Emerging Markets Untranched CDS Indices

Contract Description A credit default swap (CDS) is a derivative transaction that allows for one party 

to transfer to another party for an agreed period of time the credit risk 

associated with an index of reference entities (an Index CDS). In each CDS, one 

party (the Buyer) pays a cash premium (the Premium) to the other party (the 

Seller) to purchase credit protection against the occurrence of an adverse event 

(a Credit Event) with respect to the reference entity or entities.

The most common Credit Events are bankruptcy, failure to pay obligations and 

restructuring of obligations. The credit protection can relate to a specific type of 

obligation or all obligations of a reference entity and is expressed in terms of a 

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant 

obligations. Buying credit protection is economically equivalent to selling those 

obligations short.

If a Credit Event occurs before the maturity date of a CDS, the Seller must make 

a payment to the Buyer in accordance with the settlement terms of the CDS. In 

cash settlement, a cash payment is made by the Seller to the Buyer equal to par 

minus the recovery rate of the reference asset, with recovery rate being 

calculated by referencing dealer quotes or observable market prices over some 

period after default has occurred.

Credit Events are determined by International Swaps and Derivatives 

Association, Inc. (lSDA) committees made up of market practitioners and 

settlement prices for obligations are determined by standardized auctions.

Reference Entities Sovereign

Region EM

Indices | Tenor

CDX.EM 5-Year, 10-Year

CDX.EM.IG 5-Year

CDX.EM.HY 5-Year

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

including the current Series.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

November 13, 2023

7

CDX.EM 10Y

Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.EM.IG 5Y Series 40 and all subsequent Series, up to and

including the current Series

CDX.EM.HY 5Y Series 40 and all subsequent Series, up to and

including the current Series

Tranched No

Quoting Convention 

and Minimum 

Increment

As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

The date on which parties begin calculating accrued obligations such as fixed 

payments.

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Settlement Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments 

as agreed by parties.

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) ICE Clear U.S. / LCH Clearnet Ltd.

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

November 13, 2023

8

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,the class certification of 

total return swaps submitted by TW SEF on December 18, 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, the class certification of total return swaps 

submitted by TW SEF on December 18, 2020 and the class certification of fixed-to-floating swaps 

and overnight index swaps submitted by TW SEF on August 1, 2022.
Mr. Christopher J. Kirkpatrick

Commodity Futures Trading Commission

November 13, 2023

9

Core Principle 4 – Monitoring of Trading and Trade Processing 

Chapters 5 and 6 of the Rules prohibits traders from manipulating, distorting the price of, and 

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

Regulation Team. 

Core Principle 5 – Ability to Obtain Information 

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

for each Swap to allow TW SEF to fully perform its operational, risk management, governance 

and regulatory functions and requirements under Part 37 of Commission Regulations.

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 produce for each 

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

produce 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.