CFTC Announces Trade Execution Requirement for Certain SOFR and SONIA OIS
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-