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RELEASE: pr6838-14

  • January 23, 2014

    The Commodity Futures Trading Commission’s Division of Market Oversight Announces Trade Execution Mandate for Additional Interest Rate Swaps

    trueEX, LLC’s Available-to-Trade Determinations Are Deemed Certified

    Washington, DC — The Commodity Futures Trading Commission’s (CFTC or Commission) Division of Market Oversight (Division) today announced that trueEX, LLC’s (trueEX) self-certification of available-to-trade determinations (MAT Determinations) for certain interest rate swap contracts is deemed certified.

    This self-certification includes certain interest rate swap contracts made available to trade via an earlier determination that was deemed certified on January 16, 2014, as well as additional swap contracts. Under Commission regulations, the additional swaps in this MAT Determination, whether listed or offered by trueEX or any other designated contract market (DCM) or swap execution facility (SEF), will become subject to the trade execution requirement under section 2(h)(8) of the Commodity Exchange Act 30 days after certification, on February 21, 2014.

    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 swaps (highlighted in bold) will be subject to the trade execution requirement, effective February 21, 2014, in addition to the swaps that will be subject to the trade execution requirement on February 15, 2014:

    Specification

    Fixed-to-Floating Interest Rate Swap

    Currency

    U.S. Dollar (USD)

    U.S. Dollar (USD)

    U.S. Dollar (USD)

    Euro (EUR)

    Floating Rate Indexes

    USD LIBOR

    USD LIBOR

    USD LIBOR

    EURIBOR

    Trade Start Type

    Spot Starting (T+2)

    IMM Start Date(next two IMM dates)

    IMM Start Date (next two IMM dates)

    Spot Starting (T+2)

    Optionality

    No

    No

    No

    No

    Fixed Leg:

    Payment Frequency

    Semi-Annual, Annual

    Semi-Annual, Annual

    Semi-Annual

    Semi-Annual, Annual

    Day Count Convention

    30/360, Actual/360

    30/360, Actual/360

    30/360

    30/360, Actual/360

    Floating Leg:

    Reset Frequency

    Quarterly (3 Month), Semi-Annual

    Quarterly (3 Month), Semi-Annual

    Quarterly (3 month)

    Quarterly (3 Month), Semi-Annual

    Day Count Convention

    Actual/360

    Actual/360

    Actual/360

    Actual/360

    Dual Currencies

    No

    No

    No

    No

    Notional

    Fixed Notional

    Fixed Notional

    Fixed Notional

    Fixed Notional

    Fixed Rate

    Par

    Par

    Standard Coupon1

    Par

    Tenors

    2, 3, 5, 7, 10, 12, 15, 20, 30 years

    2, 3, 5, 7, 10, 12, 15, 20, 30 years

    1, 2, 3, 5, 7, 10, 15, 20, 30 years

    2, 3, 5, 7, 10, 15, 20, 30 years

    1 Standard Coupon refers to the then-current fixed coupon rates for Market Agreed Coupon (“MAC”) contracts.

    Last Updated: January 23, 2014

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