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.

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

Last Updated: January 28, 2014