RELEASE Number
6838-14

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