The Commodity Futures Trading Commission’s (CFTC or Commission) Division of Market Oversight (Division) today announced that TW SEF LLC’s (Tradeweb) self-certification of available-to-trade determinations (MAT Determination) for certain interest rate swap (IRS) and credit default swap (CDS) contracts is deemed certified.
This self-certification includes certain IRS contracts made available to trade via earlier determinations that were deemed certified on January 16, 2014 and January 22, 2014, respectively; additional IRS contracts; and certain CDS contracts. Under Commission regulations, the CDS contracts and additional IRS contracts in this MAT Determination, whether listed or offered by Tradeweb or any other swap execution facility (SEF) or designated contract market (DCM), will become subject to the trade execution requirement under section 2(h)(8) of the Commodity Exchange Act 30 days after certification, on February 26, 2014. The certified MAT determinations are available on the Commission’s website.
All transactions involving swaps that are subject to the trade execution requirement must be executed through a DCM or a SEF. To the extent swaps subject to the trade execution requirement are executed on a SEF, they must be executed in accordance with the execution methods prescribed by Commission regulations.
As a result of this certification, transactions involving the following IRS contracts (highlighted in bold) and CDS contracts will be subject to the trade execution requirement, effective February 26, 2014, in addition to the IRS contracts that will be subject to the trade execution requirement on February 15, 2014 and February 21, 2014, respectively.
|
Specification |
Fixed-to-Floating Interest Rate Swap (USD) |
||
|
Currency |
U.S. Dollar (USD) |
U.S. Dollar (USD) |
U.S. Dollar (USD) |
|
Floating Rate Indexes |
USD LIBOR |
USD LIBOR |
USD LIBOR |
|
Trade Start Type |
Spot Starting (T+2) |
IMM Start Date (next two IMM dates) |
IMM Start Date (next two IMM dates) |
|
Optionality |
No |
No |
No |
|
Fixed Leg |
|||
|
Payment Frequency |
Semi-Annual, Annual |
Semi-Annual, Annual |
Semi-Annual |
|
Day Count Convention |
30/360, Actual/360 |
30/360, Actual/360 |
30/360 |
|
Floating Leg |
|||
|
Reset Frequency |
Quarterly, Semi-Annual |
Quarterly, Semi-Annual |
Quarterly |
|
Day Count Convention |
Actual/360 |
Actual/360 |
Actual/360 |
|
Dual Currencies |
No |
No |
No |
|
Notional |
Fixed Notional |
Fixed Notional |
Fixed Notional |
|
Fixed Rate |
Par |
Par |
Standard Coupon1 |
|
Tenors2 |
2, 3, 4, 5, 6, 7, 10, 12, 15, 20, 30 years |
2, 3, 4, 5, 6, 7, 10, 12, 15, 20, 30 years |
1, 2, 3, 4, 5, 7, 10, 15, 20, 30 years |
|
Specification |
Fixed-to-Floating Interest Rate Swap (Non-USD) |
|
|
Currency |
Euro (EUR) |
Sterling (GBP) |
|
Floating Rate Indexes |
EURIBOR |
GBP LIBOR |
|
Trade Start Type |
Spot Starting (T+2) |
Spot Starting (T+0) |
|
Optionality |
No |
No |
|
Fixed Leg |
||
|
Payment Frequency |
Semi-Annual, Annual |
Quarterly, Semi-Annual |
|
Day Count Convention |
30/360, Actual/360 |
Actual/365F |
|
Floating Leg |
||
|
Reset Frequency |
Quarterly, Semi-Annual |
Quarterly, Semi-Annual |
|
Day Count Convention |
Actual/360 |
Actual/365F |
|
Dual Currencies |
No |
No |
|
Notional |
Fixed Notional |
Fixed Notional |
|
Fixed Rate |
Par |
Par |
|
Tenors3 |
2, 3, 4, 5, 6, 7, 10, 15, 20, 30 years |
2, 3, 4, 5, 6, 7, 10, 15, 20, 30 years |
|
Specification |
Untranched Credit Default Swap Indices |
|
|
Reference Entities |
Corporate |
Corporate |
|
Region |
North America |
Europe |
|
Indices |
CDX.NA.IG CDX.NA.HY |
iTraxx Europe iTraxx Europe Crossover |
|
Tenor |
CDX.NA.IG 5Y CDX.NA.HY 5Y |
iTraxx Europe 5Y iTraxx Europe Crossover 5Y |
|
Applicable Series |
At any time, the then-current on-the-run series and the preceding series that was replaced by the current one |
|
1 Standard Coupon refers to the then-current fixed coupon rates for Market Agreed Coupon (“MAC”) contracts.
2 Par coupon swaps with a tenor of 4 or 6 years that are made available to trade are limited to the 3M USD LIBOR floating rate index; Quarterly Reset Frequency; and the following fixed leg conventions: (1) Semi-Annual and 30/360; or (2) Annual and Actual/360.
3 Euro (EUR)-denominated, par coupon swaps with a tenor of 4 or 6 years that are made available to trade are limited to the following fixed leg conventions: Annual and 30/360
