Tradeweb Markets Designates IRS and CDS Indices to be Made Available to Trade

| Tradeweb

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:

North American Untranched CDS Indices 

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

 

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

 

European Untranched CDS Indices 

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

 

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: 
 

Fixed-to-Floating Swaps  

Currency 

USD, EUR, GBP

Floating Rate Indices 

3M USD LIBOR

3M, 6M Euribor

3M, 6M GBP LIBOR

Effective Date 

USD:

Spot-starting - T+2 NY and London (“LDN”) Business Days

International Money Market (“IMM”) Dates - the closest future IMM date plus the next 3 IMM dates

EUR:

Spot-starting - T+2 Trans-European Automated Real-Time Gross Settlement Express Transfer (“TARGET”) Business Days

GBP:

Spot-starting - T+0 LDN Business Days

 

Stated Tenors 

2y, 3y, 4y, 5y, 6y, 7y, 10y, 15y, 20y, 30y

Fixed Leg Conventions 

USD: Semi-Bond 30/360
       Annual Actual (“ACT”)/360

EUR: Annual 30/360

GBP: Semi-annual or Quarterly ACT/365F

Floating Leg Conventions 

USD: 3M LIBOR - Quarterly ACT/360

EUR: 3M EURIBOR - Quarterly ACT/360 
       6M EURIBOR - Semi-annual ACT/360

GBP: 3M LIBOR – Quarterly ACT/365F
       6M LIBOR – Semi-annual ACT/365F

 

  

Basis Swaps 

Currency 

USD, EUR

Floating Rate Indices 

1M, 3M, 6M LIBOR

3M, 6M Euribor

Effective Date 

Spot-starting:

USD: T+2 NY and LDN Business Days

EUR: T+2 TARGET Business Days

Stated Tenors 

2y, 3y, 4y, 5y, 6y, 7y, 10y, 15y, 20y, 30y

Fixed Leg Conventions 

EUR: Annual 30/360

Floating Leg Conventions 

USD: 1m LIBOR – Monthly ACT/360
       3M LIBOR - Quarterly ACT/360 
       6M LIBOR - Semi-annual ACT/360

EUR: 3M EURIBOR - Quarterly ACT/360 
       6M EURIBOR- Semi-annual ACT/360

 

 

Overnight Index Swaps 

Currency 

USD, EUR

Floating Rate Indices 

Fed Funds, Eonia

Effective Date 

Spot-starting:

USD: T+2 NY and LDN Business Days

EUR: T+2 TARGET Business Days

Stated Tenors 

1m, 3m, 6m, 9m, 12m, 18m, 24m

Fixed Leg Conventions 

USD: Term or Annual ACT/360

EUR: Term or Annual 30/360

Floating Leg Conventions 

USD: Fed Funds H.15 Overnight Indexed Swaps (“OIS”) Comp  ACT/360
EUR: EONIA 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.

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