Release Number 8745-23
CFTC Announces Trade Execution Requirement for Certain SOFR and SONIA OIS
TW SEF LLC’s Made-Available-to-Trade Determination Approved
July 07, 2023
Washington, D.C. — The Commodity Futures Trading Commission today announced the approval of a made-available-to-trade (MAT) determination submitted by TW SEF LLC for certain U.S. Dollar (USD) Secured Overnight Financing Rate (SOFR) overnight index swaps (OIS) and Pound Sterling (GBP) Sterling Overnight Index Average (SONIA) OIS.
Under CFTC regulations, the swaps subject to the MAT determination will become subject to the trade execution requirement, under section 2(h)(8) of the Commodity Exchange Act (CEA), 30 days after Commission approval, on August 5. All transactions involving swaps subject to the trade execution requirement must be executed on a registered swap execution facility (SEF), designated contract market, or a SEF the CFTC has exempted from registration under CEA section 5h(g).
For additional information contact Roger Smith, Associate Chief Counsel, Division of Market Oversight (DMO), at (202) 418-5344 or [email protected]; Chris Goodman, Economist, DMO, at (202) 418-5616 or [email protected]; or Nora Flood, Chief Counsel, DMO, at (202) 418-6059 or [email protected].
|
Specification |
Overnight Index Swap Class (OIS) |
||||
|
Currency |
USD |
GBP |
|||
|
Floating Rate Indices |
SOFR |
SOFR |
SOFR |
SONIA |
SONIA |
|
Trade Start Type |
Spot Starting (T+2) |
IMM Start Date (next two IMM dates) |
IMM Start Date (next two IMM dates) |
Spot Starting (T+0) |
IMM Start Date (next two IMM dates) |
|
Optionality |
No |
No |
No |
No |
No |
|
Fixed Leg |
|||||
|
Payment Frequency |
Annual |
Annual |
Annual |
Annual |
Annual |
|
Day Count Convention |
ACT/360 |
ACT/360 |
ACT/360 |
ACT/ 365.FIXED |
ACT/ 365.FIXED |
|
Business Calendars |
New York/USNY |
New York/USNY |
New York/USNY |
London/GBLO |
London/GBLO |
|
Payment Lag |
2 Days |
2 Days |
2 Days |
0 Days |
0 Days |
|
Floating Leg |
|||||
|
Payment/ Reset Frequency |
Annual |
Annual |
Annual |
Annual |
Annual |
|
Day Count Convention |
ACT/360 |
ACT/360 |
ACT/360 |
ACT/ 365.FIXED |
ACT/ 365.FIXED |
|
Business Calendars |
New York/USNY |
New York/USNY |
New York/USNY |
London/GBLO |
London/GBLO |
|
Payment Lag |
2 Days |
2 Days |
2 Days |
0 Days |
0 Days |
|
Fixing Calendars |
US Government Securities/ USGS |
US Government Securities/ USGS |
US Government Securities/ USGS |
London/GBLO |
London/GBLO |
|
Fixing Offset |
0 Days |
0 Days |
0 Days |
0 Days |
0 Days |
|
Dual Currencies |
No |
No |
No |
No |
No |
|
Notional |
Fixed Notional |
Fixed Notional |
Fixed Notional |
Fixed Notional |
Fixed Notional |
|
Fixed Rate |
Par |
Par |
Standard Coupon |
Par |
Par |
|
Tenors |
2, 3, 4, 5, 6, 7, 10, 12, 15, 20, 30 Years |
2, 3, 4, 5, 6, 7, 10, 12, 15, 20, 30 Years (Standard and IMM end/roll date convention) |
1, 2, 3, 4, 5, 7, 10, 15, 20, 30 Years (Standard end/roll date conventions) |
1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30 Years |
1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30 Years (Standard and IMM end/roll date convention) |
-CFTC-