Release Number 6841-14

January 28, 2014

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

TW SEF LLC 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 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.

 

    
SpecificationFixed-to-Floating Interest Rate Swap (USD)
CurrencyU.S. Dollar (USD)U.S. Dollar (USD)U.S. Dollar (USD)
Floating Rate IndexesUSD LIBORUSD LIBORUSD LIBOR
Trade Start TypeSpot Starting (T+2)IMM Start Date (next two IMM dates)IMM Start Date (next two IMM dates)
OptionalityNoNoNo
Fixed Leg
Payment FrequencySemi-Annual, AnnualSemi-Annual, AnnualSemi-Annual
Day Count Convention30/360, Actual/36030/360, Actual/36030/360
Floating Leg
Reset Frequency

Quarterly,

Semi-Annual

Quarterly,

Semi-Annual

Quarterly
Day Count ConventionActual/360Actual/360Actual/360
Dual CurrenciesNoNoNo
NotionalFixed NotionalFixed NotionalFixed Notional
Fixed RateParParStandard Coupon1
Tenors22, 3, 4, 5, 6, 7, 10, 12, 15, 20, 30 years2, 3, 4, 5, 6, 7, 10, 12, 15, 20, 30 years1, 2, 3, 4, 5, 7, 10, 15, 20, 30 years

 

   
SpecificationFixed-to-Floating Interest Rate Swap (Non-USD)
CurrencyEuro (EUR)Sterling (GBP)
Floating Rate IndexesEURIBORGBP LIBOR
Trade Start TypeSpot Starting (T+2)Spot Starting (T+0)
OptionalityNoNo
Fixed Leg
Payment FrequencySemi-Annual, AnnualQuarterly, Semi-Annual
Day Count Convention30/360, Actual/360Actual/365F
Floating Leg
Reset FrequencyQuarterly, Semi-AnnualQuarterly, Semi-Annual
Day Count ConventionActual/360Actual/365F
Dual CurrenciesNoNo
NotionalFixed NotionalFixed Notional
Fixed RateParPar
Tenors32, 3, 4, 5, 6, 7, 10, 15, 20, 30 years2, 3, 4, 5, 6, 7, 10, 15, 20, 30 years

 

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

 

Last Updated: January 28, 2014