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Chapter 9. SWAPS

901. Swap Specifications

Each Swap will meet such specifications, and all trading in such Swap will be subject to such 

procedures and requirements, as described in the terms and conditions governing such Swap (as 

set forth below and in the Company’s technical specifications) and will be posted on the website 

of the Company (www.tradeweb.com).

(a) Interest Rate Swaps: US Dollar Fixed-to-Floating

Contract Description

A fixed-to-floating swap is an agreement between two parties to exchange a fixed 

interest payment for a floating interest payment that is based on one of the indices 

listed below.

Currency and Floating 

Rate Index - Time 

Period

U.S. Dollar (USD) London Interbank Offered Rate (LIBOR) - 1 

Month, 3 Month, 6 Month

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date

The date on which parties begin calculating accrued obligations such as fixed and 

floating interest rate payments.

Stated Maturity 

Range / Maturity Date

30 days to 50 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types  Spot Starting (T+2)

 IMM Start Date (September, December, March, June).

Transaction Types

 Outright

 Spread vs. US Treasury Securities (“Swap Spread” or “Spreadover”)

 Rate Switch

 Spread Switch

 Butterfly

Fixed Leg  Payment Frequency: Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; 

Floating Leg  Quarterly (3M) or Semi-Annual (3M or greater)

 Day Count Convention: Actual/360

Notional Fixed Notional

Fixed Rate Types  Par

 Standard Coupon (for Market Agreed Coupon (“MAC”) contracts)

Holiday Calendar(s) NY/London

Business Day 

Conventions Modified Following
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Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: 

Notional, Payment Frequency, Day Count Convention and Fixed Interest 

Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

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(b) Interest Rate Swaps: Canadian Dollar Fixed-to-Floating 

Contract Description

A fixed-to-floating swap is an agreement between two parties to exchange a fixed 

interest payment for a floating interest payment that is based on one of the indices 

listed below.

Currency and Floating 

Rate Index - Time 

Period

Canadian Dollar (CAD) 3-Month Canadian Dollar Offered Rate (CDOR)

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date

The date on which parties begin calculating accrued obligations such as fixed and 

floating interest rate payments.

Stated Maturity 

Range / Maturity Date

30 days to 50 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types  Spot Starting (T+0)

 IMM Start Date (September, December, March, June).

Transaction Types

 Outright

 Spread vs. Gov’t of Canada Securities (“Swap Spread” or “Spreadover”)

 Rate Switch

 Spread Switch

 Butterfly



Fixed Leg  Payment Frequency: Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; 

Floating Leg  Quarterly (3M) or Semi-Annual (3M or greater)

 Day Count Convention: Actual/365

Notional Fixed Notional

Fixed Rate Types  Par

 Standard Coupon (for Market Agreed Coupon (“MAC”) contracts)

Holiday Calendar(s) Toronto

Business Day 

Conventions Modified Following

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: 

Notional, Payment Frequency, Day Count Convention and Fixed Interest 

Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.
303940430.7 

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Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
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(c) Overnight Index Swaps: US Dollar Federal Funds Effective Rate

Contract Description

An Overnight Index Swap referencing the US Dollar Federal Funds Effective Rate 

is an agreement between two parties to exchange a fixed interest payment for a 

floating interest payment based on the geometric average of the Federal Funds 

Effective Rate over every day of the payment period.

Currency and Floating 

Rate Index USD Federal Funds Effective Rate, per H-15

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

The date on which parties begin calculating accrued obligations such as fixed and 

floating interest rate payments.

Stated Maturity 

Range / Maturity Date

7 days to 30 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types  Spot Starting (T+2)

 Forward Starting (starting on next Federal Reserve Announcement Date)

Fixed Leg  Payment Frequency: Term and Annual

 Day Count Convention: Actual/360

Floating Leg  Term and Annual

 Day Count Convention: Actual/360

Notional Fixed Notional

Holiday Calendar(s) Federal Reserve

Business Day 

Conventions Modified Following

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH and CME

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
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Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

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(d) Overnight Index Swaps: US Dollar Secured Overnight Financing Rate

Contract Description

An Overnight Index Swap referencing the Secured Overnight Financing Rate 

(SOFR) is an agreement between two parties to exchange a fixed interest 

payment for a floating interest payment based on the geometric average of SOFR 

over every day of the payment period.

Currency and Floating 

Rate Index USD Secured Overnight Financing Rate

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

The date on which parties begin calculating accrued obligations such as fixed and 

floating interest rate payments.

Stated Maturity 

Range / Maturity Date

2 days to 30 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types  Spot Starting (T+2)

 Forward Starting (starting on next Federal Reserve Announcement Date)

Fixed Leg  Payment Frequency: Term and Annual

 Day Count Convention: Actual/360

Floating Leg  Term and Annual

 Day Count Convention: Actual/360

Notional Fixed Notional

Holiday Calendar(s) US Government Securities Calendar

Business Day 

Conventions Modified Following

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH and CME

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.
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Reporting All trades reported to SDR in accordance with CFTC requirements.
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(e) Overnight Index Swaps: Canadian (Dollar) Overnight Repo Rate Average

Contract Description

An Overnight Index Swap referencing the Canadian Overnight Repo Rate 

Average (CORRA) is an agreement between two parties to exchange a fixed 

interest payment for a floating interest payment based on the geometric average 

of CORRA over every day of the payment period.

Currency and Floating 

Rate Index CAD Canadian Overnight Repo Rate Average (CORRA)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

The date on which parties begin calculating accrued obligations such as fixed and 

floating interest rate payments.

Stated Maturity 

Range / Maturity Date

7 days to 30 years | The final date on which the obligations no longer accrue and 

the final payment occurs.

Trade Start Types  Spot Starting (T+0)

 Forward Starting 

Fixed Leg  Payment Frequency: Term and Annual

 Day Count Convention: Actual/365

Floating Leg  Term and Annual

 Day Count Convention: Actual/365

Notional Fixed Notional

Holiday Calendar(s) Toronto

Business Day 

Conventions Modified Following

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH and CME

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
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Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

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(f) Single Period Swaps: US Dollar LIBOR

Contract Description

A Single-Period Interest Rate Swap referencing USD LIBOR is a forward-starting 

Fixed-vs.-Floating Interest-Rate Swap, with a single floating-rate period. One 

party buys (pays) a fixed interest rate and receives USD LIBOR and one party 

sells (receives) a fixed interest rate and pays USD LIBOR. A net payment is made 

on the Maturity Date.

Currency and Floating 

Rate Index – Time 

Period

USD – LIBOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+2)

 IMM Start Date (September, December, March, June)

 Forward Start Date 

Fixing Date LIBOR fixing date is two London business days prior to the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) London/NY

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
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DCO(s) LCH and CME

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
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(g) Single Period Swaps: US Dollar Secured Overnight Financing Rate

Contract Description

A Single-Period Interest Rate Swap referencing the Secured Overnight Financing 

Rate (SOFR) is a forward-starting Fixed-vs.-Floating Interest-Rate Swap, with a 

single floating-rate period. One party buys (pays) a fixed interest rate and 

receives compounded SOFR and one party sells (receives) a fixed interest rate 

and pays compounded SOFR. A net payment is made on the Maturity Date.

Currency and Floating 

Rate Index – Time 

Period

USD – Secured Overnight Financing Rate

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+2)

 IMM Start Date (September, December, March, June)

 Forward Start Date 

Fixing Date SOFR fixing date is two good business days prior to the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) US Government Securities Calendar

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
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DCO(s) LCH and CME

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

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(h) Single Period Swaps: Canadian Dollar Offered Rate

Contract Description

A Single-Period Interest Rate Swap referencing Canadian Dollar Offered Rate 

(CDOR) is a forward-starting Fixed-vs.-Floating Interest-Rate Swap, with a single 

floating-rate period. One party buys (pays) a fixed interest rate and receives 

CDOR rate and one party sells (receives) a fixed interest rate and pays CDOR. A 

net payment is made on the Maturity Date.

Currency and Floating 

Rate Index – Time 

Period

CAD – CDOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+0)

 IMM Start Date (September, December, March, June)

 Forward Start Date 

Fixing Date CDOR is fixed on the SPS’ Effective Date

Business Day 

Conventions Modified Following

Holiday Calendar(s) Toronto

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/365F

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/365F

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
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DCO(s) LCH and CME

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

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(i) Forward Rate Agreements: US Dollar LIBOR

Contract Description

A Forward Rate Agreement referencing USD LIBOR is an agreement where one 

party buys (pays) a fixed interest rate and receives USD LIBOR and one party 

sells (receives) a fixed interest rate and pays USD LIBOR. Once the Floating 

Rate is determined on the Fixing Date, the Maturity-Date Net Payment is 

calculated and discounted to the Settlement Date, using the Floating Rate, the 

payment is made and the Contract terminates.

Currency and Floating 

Rate Index – Time 

Period

USD – LIBOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+2)

 IMM Start Date (September, December, March, June)

 Forward Start Date 

Fixing Date LIBOR fixing date is two London business days prior to the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) London/NY

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.
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93

DCO(s) LCH and CME

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

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(j) Forward Rate Agreements: EURO EURIBOR

Contract Description

A Forward Rate Agreement is a one period Interest Rate Swap (IRS) where one 

party buys (pays) a fixed interest rate and receives a floating interest rate and one 

party sells (receives) a fixed interest rate and pays a floating interest rate.

Currency and Floating 

Rate Index – Time 

Period

EURO - EURIBOR (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date The first date from which fixed and floating interest amounts accrue.

Maturity Date / End 

Date The final date until which fixed and floating interest amounts accrue.

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+2)

 IMM Start Date (September, December, March, June)

 Forward Start Date 

Fixing Date EURIBOR fixing date is two Target business days prior to the effective date

Business Day 

Conventions Modified Following

Holiday Calendar(s) Target

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention and 

Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH and CME
303940430.7 

95

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

96

(k) Basis Swaps: USD 3-Month LIBOR vs. 1-Month LIBOR 

Contract Description

A 3-Month LIBOR vs. 1-Month LIBOR Basis Swap is an agreement between two 

Parties A and B, whereby Party A pays Party B compounded 1-Month LIBOR plus 

an agreed Spread, on an agreed Notional, every three months over the Tenor of 

the Swap. In exchange, Party B pays Party A 3-Month LIBOR every three 

months, on the agreed Notional, over the Tenor of the Swap.

Currency and Floating 

Rate Index - Time 

Period

Floating Leg 1 (Spread 

Adjusted) USD 1-Month LIBOR

Floating Leg 2 USD 3-Month LIBOR

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range / Maturity Date

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs.

First Fixing Date  The first LIBOR Fixing Date is 2 London business days prior to the Effective 

Date.

Trade Start Types  Spot Starting (T+2) and Forward Starting

Notional Fixed Notional

Holiday Calendar NY/London

Business Day 

Conventions Modified Following

Floating Leg 1: 1-

Month USD LIBOR

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/360

Floating Leg 2: 3-

Month USD LIBOR

 Payment Frequency: Quarterly

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets 

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index, and Floating Reset Dates.

 Floating Leg 2: The payment amount of the Floating Leg 2 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
303940430.7 

97

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

98

(l) Basis Swaps: USD 6-Month LIBOR vs. 3-Month LIBOR

Contract Description

A 6-Month LIBOR vs. 3-Month LIBOR basis swap is an agreement between two 

Parties A and B, whereby Party A pays Party B compounded 3-Month LIBOR plus 

an agreed Spread, on an agreed Notional, every six months over the Tenor of the 

Swap. In exchange, Party B pays Party A 6-Month LIBOR every six months, on 

the agreed Notional, over the Tenor of the Swap.

Currency and Floating 

Rate Index - Time 

Period

Floating Leg 1 (spread 

adjusted) USD 3-Month USD LIBOR

Floating Leg 2 USD 6-Month USD LIBOR

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range / Maturity Date

6 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs.

First Fixing Date  The first LIBOR Fixing Date is 2 London business days prior to the Effective 

Date.

Trade Start Types  Spot Starting (T+2) and Forward Starting

Notional Fixed Notional

Holiday Calendar NY/London

Business Day 

Conventions Modified Following

Floating Leg 1: 3-

Month USD LIBOR

 Payment Frequency: Compounded and Paid Semi-Annually 

 Day Count Convention: Actual/360

Floating Leg 2: 6-

Month USD LIBOR

 Payment Frequency: Semi-Annually (TBD )

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets 

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index, and Floating Reset Dates.

 Floating Leg 2: The payment amount of the Floating Leg 2 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
303940430.7 

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Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

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(m) Basis Swaps: USD Federal Funds Effective Rate vs. 3-Month LIBOR Basis Swap

Contract Description

A Federal Funds Effective Rate vs. 3-Month LIBOR basis swap is an agreement 

between two Parties A and B, whereby Party A pays Party B compounded 

Federal Funds Effective rate plus an agreed Spread, on an agreed Notional, every 

three months over the Tenor of the Swap. In exchange, Party B pays Party A 3-

Month LIBOR every three months, on the agreed Notional, over the Tenor of the 

Swap.

Currency and Floating 

Rate Index - Time 

Period

Floating Leg 1 (spread 

adjusted) USD Federal Funds Effective Rate

Floating Leg 2 USD 3-Month USD LIBOR

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range / Maturity Date

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs.

First Fixing Date

 The First Fed Funds fixing date is the Start Date of the Swap

 The first LIBOR Fixing Date is 2 London business days prior to the Effective 

Date.

Trade Start Types  Spot and Forward-Starting

Notional Fixed Notional

Holiday Calendar NY/London

Business Day 

Conventions Modified Following

Floating Leg 1: FFe  Payment Frequency: Compounded and Paid Quarterly 

 Day Count Convention: Actual/360

Floating Leg 2: 3-

Month USD LIBOR

 Payment Frequency: Quarterly (TBD )

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets 

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index, and Floating Reset Dates.

 Floating Leg 2: The payment amount of the Floating Leg 2 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.
303940430.7 

101

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

102

(n) Basis Swaps: USD SOFR vs. 3-Month LIBOR

Contract Description

A SOFR vs. 3-Month LIBOR basis swap is an agreement between two Parties A 

and B, whereby Party A pays Party B compounded SOFR plus an agreed Spread, 

on an agreed Notional, every three months over the Tenor of the Swap. In 

exchange, Party B pays Party A 3-Month LIBOR every three months, on the 

agreed Notional, over the Tenor of the Swap.

Currency and Floating 

Rate Index - Time 

Period

Floating Leg 1 (spread 

adjusted) Secured Overnight Financing Rate (SOFR)

Floating Leg 2 USD 3-Month USD LIBOR

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range / Maturity Date

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs.

First Fixing Date

 The First SOFR fixing date is the Start Date of the Swap

 The first LIBOR Fixing Date is 2 London business days prior to the Effective 

Date.

Trade Start Types  Spot and Forward-Starting

Notional Fixed Notional

Holiday Calendar NY/London

Business Day 

Conventions Modified Following

Floating Leg 1: SOFR  Payment Frequency: Compounded and Paid Quarterly 

 Day Count Convention: Actual/360

Floating Leg 2: 3-

Month USD LIBOR

 Payment Frequency: Quarterly (TBD )

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets 

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index, and Floating Reset Dates.

 Floating Leg 2: The payment amount of the Floating Leg 2 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
303940430.7 

103

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

104

(o) Basis Swaps: USD SOFR vs. USD Federal Funds Effective Rate Basis Swap

Contract Description

A SOFR vs. Federal Funds Effective Rate Basis Swap is an agreement between 

two Parties A and B, whereby Party A pays Party B compounded SOFR plus an 

agreed Spread, on an agreed Notional, every three months over the Tenor of the 

Swap. In exchange, Party B pays Party A compounded Fed Funds Effective 

Rate, on the agreed Notional, every three months, over the Tenor of the Swap.

Currency and Floating 

Rate Index - Time 

Period

Floating Leg 1 (spread 

adjusted) USD Secured Overnight Financing Rate (SOFR)

Floating Leg 2 USD Federal Funds Effective, per H-15

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range / Maturity Date

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs.

First Fixing Date  The First SOFR fixing date is the Start Date of the Swap

 The first Federal Funds Fixing Date is the Start Date of the Swap

Trade Start Types  Spot and Forward-Starting

Notional Fixed Notional

Holiday Calendar NY/London

Business Day 

Conventions Modified Following

Floating Leg 1: SOFR  Payment Frequency: Compounded and Paid Quarterly 

 Day Count Convention: Actual/360

Floating Leg 2: FFe  Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/360

Periodic Settlement: 

Payment and Resets 

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index, and Floating Reset Dates.

 Floating Leg 2: The payment amount of the Floating Leg 2 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
303940430.7 

105

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
303940430.7 

106

(p) Basis Swaps: Canadian Dollar 3-Month CDOR vs. 1-Month CDOR Basis Swap

Contract Description

A 3-Month CDOR vs. 1-Month CDOR Basis Swap is an agreement between two 

Parties A and B, whereby Party A pays Party B compounded 1-Month CDOR plus 

an agreed Spread, on an agreed Notional, every three months over the Tenor of 

the Swap. In exchange, Party B pays Party A 3-Month CDOR every three 

months, on the agreed Notional, over the Tenor of the Swap.

Currency and Floating 

Rate Index - Time 

Period

Floating Leg 1 (Spread 

Adjusted) CAD 1-Month CDOR

Floating Leg 2 CAD 3-Month CDOR

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range / Maturity Date

3 months to 51 years | The final date on which the obligations no longer accrue 

and the final payment occurs.

First Fixing Date  The first CDOR Fixing is on Trade Date

Trade Start Types  Spot Starting (T+0) and Forward Starting

Notional Fixed Notional

Holiday Calendar Toronto

Business Day 

Conventions Modified Following

Floating Leg 1: 1-

Month CAD CDOR

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/365

Floating Leg 2: 3-

Month CAD CDOR

 Payment Frequency: Quarterly

 Day Count Convention: Actual/365

Periodic Settlement: 

Payment and Resets 

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index, and Floating Reset Dates.

 Floating Leg 2: The payment amount of the Floating Leg 2 is based on the 

following: Notional, Payment Frequency, Day Count Convention, Floating 

Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of DW SEF.

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
303940430.7 

107

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.