Tradeweb Markets Designates IRS and CDS Indices to be Made Available to Trade
The next phase of derivatives trading reform has begun with swap execution facilities (SEFs) submitting swaps instruments to be made available to trade (MAT) with the CFTC. Tradeweb Markets’ TW SEF platform has submitted a self-certification determination for interest rate and credit default swaps to the CFTC. The list of instruments for SEF trading includes a range of tenors in interest rate swaps for U.S. dollars, euros and British pounds, and certain on-the-run CDS indices (CDX and iTraxx).
As an established electronic derivatives marketplace, Tradeweb analyzed trading activity from more than 350 customers over the past eight years to develop the right balance of instruments for the MAT submission - constituting approximately 80 percent of overall standardized swaps volume in IRS and CDS indices.
More specifically, the list of instruments Tradeweb filed to be MAT with the CFTC includes:
Credit Default Swap Indices (CDX and iTraxx)
Tradeweb has determined that the following CDS should be regarded as MAT:
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North American Untranched CDS Indices |
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|---|---|
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Applicable Series / Tenor |
CDX.NA.IG 5Y: At any time, the then current OTR Series and the then next Series that will replace the current one, on a rolling basis |
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CDX.NA.HY 5Y: At any time, the then current OTR Series and the then next Series that will replace the current one, on a rolling basis
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European Untranched CDS Indices |
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|---|---|
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Applicable Series / Tenor |
iTraxx Europe 5Y: At any time, the then current OTR Series and the then next Series that will replace the current one, on a rolling basis |
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iTraxx Crossover 5Y: At any time, the then current OTR Series and the then next Series that will replace the current one, on a rolling basis |
Interest Rate Swaps
Tradeweb has determined that the following IRS in the major currencies of US Dollars (“USD”), Euros (“EUR”) and British pounds (“GBP”) should be MAT:
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Fixed-to-Floating Swaps |
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|---|---|
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Currency |
USD, EUR, GBP |
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Floating Rate Indices |
3M USD LIBOR 3M, 6M Euribor 3M, 6M GBP LIBOR |
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Effective Date |
USD:
EUR:
GBP:
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Stated Tenors |
2y, 3y, 4y, 5y, 6y, 7y, 10y, 15y, 20y, 30y |
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Fixed Leg Conventions |
USD: Semi-Bond 30/360 EUR: Annual 30/360 GBP: Semi-annual or Quarterly ACT/365F |
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Floating Leg Conventions |
USD: 3M LIBOR - Quarterly ACT/360 EUR: 3M EURIBOR - Quarterly ACT/360 GBP: 3M LIBOR – Quarterly ACT/365F
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Basis Swaps |
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|---|---|
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Currency |
USD, EUR |
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Floating Rate Indices |
1M, 3M, 6M LIBOR 3M, 6M Euribor |
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Effective Date |
Spot-starting: USD: T+2 NY and LDN Business Days EUR: T+2 TARGET Business Days |
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Stated Tenors |
2y, 3y, 4y, 5y, 6y, 7y, 10y, 15y, 20y, 30y |
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Fixed Leg Conventions |
EUR: Annual 30/360 |
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Floating Leg Conventions |
USD: 1m LIBOR – Monthly ACT/360 EUR: 3M EURIBOR - Quarterly ACT/360
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Overnight Index Swaps |
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|---|---|
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Currency |
USD, EUR |
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Floating Rate Indices |
Fed Funds, Eonia |
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Effective Date |
Spot-starting: USD: T+2 NY and LDN Business Days EUR: T+2 TARGET Business Days |
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Stated Tenors |
1m, 3m, 6m, 9m, 12m, 18m, 24m |
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Fixed Leg Conventions |
USD: Term or Annual ACT/360 EUR: Term or Annual 30/360 |
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Floating Leg Conventions |
USD: Fed Funds H.15 Overnight Indexed Swaps (“OIS”) Comp ACT/360 |
Tradeweb believes that this proposed set of products effectively addresses the six requirements mandated by the CFTC, including:
(1) Whether there are ready and willing buyers and sellers;
(2) The frequency or size of transactions;
(3) The trading volume;
(4) The number and types of market participants;
(5) The bid/ask spread; or
(6) The usual number of resting firm or indicative bids and offers.
For more information, the complete MAT determination filed with the CFTC is also accessible via Tradeweb.com.