Swaps Made Available To Trade

Note: This reflects a summary of the swaps made available to trade (MAT) and the terms as of July 7, 2023. 

Please refer to the MAT submissions, located on the Commission's website that provide the full list of the 

swaps made available to trade, including the swap terms. 

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) 
Swaps Made Available To Trade

Specification 

Fixed-to-Floating Interest Rate 

Swap1

Currency Euro (EUR)

Floating Rate Indexes EURIBOR (3M, 6M)

Trade Start Type Spot Starting (T+2)

Optionality No

Fixed Leg

Payment Frequency Semi-Annual, Annual

Day Count

Convention 30/360, Actual/360 

Floating Leg

Payment/Reset

Frequency

Quarterly (3M EURIBOR),

Semi-Annual (3M EURIBOR 

or 6M EURIBOR)

Day Count

Convention

Actual/360 

Dual Currencies No

Notional Fixed Notional

Fixed Rate Par

Tenors2 2, 3, 4, 5, 6, 7, 10, 15, 20, 30

years

Holiday Calendar TARGET3

Business Day

Convention

Following,

Modified Following

 

1 In August 2022, the Commission adopted final rules updating its interest rate swap clearing requirement to address global, 

market-wide benchmark reform efforts. See Clearing Requirement Determination Under Section 2(h) of the Commodity 

Exchange Act for Interest Rate Swaps To Account for the Transition From LIBOR and Other IBORs to Alternative 

Reference Rates, 87 FR 52182 (Aug. 24, 2022) (final rule). Specifically, the requirement to clear swaps referencing US 

Dollar (USD) London Interbank Offered Rate (LIBOR) and British pound (GBP) LIBOR was removed. The trade execution 

requirement does not apply to swaps that are not subject to the clearing requirement under section 2(h)(1) of the Commodity 

Exchange Act, as such swaps referencing USD LIBOR and GBP LIBOR are no longer subject to the trade execution 

requirement. 

2 EUR-denominated, Par Coupon swaps with a tenor of 4 or 6 years that are made available to trade are limited to the 3M 

EURIBOR/Quarterly Payment/Reset Frequency or the 6M EURIBOR/Semi-Annual Payment/Reset Frequency; Modified

Following; and the following fixed leg conventions: Annual and 30/360. 3

 TARGET holiday calendar convention is any day which the Trans-European Automated Real-time Gross Settlement 

Express Transfer system is open.
Swaps Made Available To Trade

Specification Untranched Credit Default Swap Indices

Reference Entities Corporate Corporate

Region North America Europe

Indices CDX.NA.IG

CDX.NA.HY 

iTraxx Europe

iTraxx Europe Crossover

Tenor CDX.NA.IG 5Y

CDX.NA.HY 5Y 

iTraxx Europe 5Y

iTraxx Europe Crossover 

5Y

Applicable Series At any time, the then-current on-the-run series and the

preceding series that was replaced by the current one