Release Number 7387-16

June 9, 2016

CFTC Proposes Additional Interest Rate Swaps For Clearing Requirement

Washington, DC — The U.S. Commodity Futures Trading Commission (CFTC) today proposed amending CFTC regulation 50.4(a) to require certain additional interest rate swaps to be cleared by market participants through a registered derivatives clearing organization (DCO) or a DCO that has been exempted from registration under the CEA (Exempt DCO). The scope of proposed expanded regulation 50.4(a) would make the CFTC’s clearing requirement consistent with those proposed or finalized in 2015 or 2016 by the CFTC’s counterparts in Australia, Canada, the European Union, Hong Kong, Mexico, and Singapore. The proposed rule will be open for public comment for 30 days after publication in the Federal Register.

Additional Information Regarding the Clearing Determination:

  • DCO Submissions under Section 2(h) and Regulation 39.5 Clearing Requirement
    The CFTC is proceeding with a clearing requirement proposal based on submissions from DCOs. Pursuant to CFTC regulation 39.5(b), the CFTC received submissions from four DCOs covering the interest rate swaps referenced in the proposed amended rule.

     
  • Proposal for Additional Interest Rate Swaps Required to be Cleared
    The proposed determination would require market participants to clear certain interest rate swaps in addition to those that the CFTC previously determined are required to be cleared under section 2(h) of the Commodity Exchange Act. The additional swaps would be referenced in revised interest rate swaps classes described in regulation 50.4(a), as summarized below. The proposal identifies the following additional interest rate swaps in italics below. Items not in italics are already subject to the CFTC’s clearing requirement.

 

       
SpecificationFixed-to-Floating Swap Class 
1. CurrencyAustralian Dollar (AUD)Canadian Dollar (CAD)Euro (EUR)

Hong Kong Dollar 
(HKD)

 

Mexican 
Peso 
(MXN)

Norwegian Krone

(NOK)

2. Floating Rate IndexesBBSWCDOREURIBORHIBORTIIENIBOR
3. Stated Termination Date Range28 days to 30 years28 days to 30 years28 days to 50 years28 days to 10 years28 days to 21 years28 days to
10 years
4. OptionalityNoNoNoNoNoNo
5. Dual CurrenciesNoNoNoNoNoNo
6. Conditional Notional AmountsNoNoNoNoNoNo

 

        
SpecificationFixed-to-Floating Swap Class
1. Currency

Polish

Zloty

(PLN)

Singapore 
Dollar 
(SGD)

 

Swedish

Krona
(SEK)

Swiss Franc (CHF)Sterling 
(GBP)
U.S. Dollar (USD)Yen 
(JPY)
2. Floating Rate IndexesWIBORSOR-VWAPSTIBORLIBORLIBORLIBORLIBOR
3. Stated Termination Date Range

28 days to

10 years

28 days to

10 years

28 days to
15 years
28 days to 30 years28 days to 50 years28 days to 50 years28 days to 30 years
4. OptionalityNoNoNoNoNoNoNo
5. Dual CurrenciesNoNoNoNoNoNoNo
6. Conditional Notional AmountsNoNoNoNoNoNoNo

 

      
SpecificationBasis Swap Class
1. Currency

Australian
Dollar

(AUD)

Euro (EUR)Sterling (GBP)U.S. Dollar (USD)Yen 
(JPY)
2. Floating Rate IndexesBBSWEURIBORLIBORLIBORLIBOR
3. Stated Termination Date Range28 days to 30 years28 days to 50 years28 days to 50 years28 days to 50 years28 days to 30 years
4. OptionalityNoNoNoNoNo
5. Dual CurrenciesNoNoNoNoNo
6. Conditional Notional AmountsNoNoNoNoNo

 

     
SpecificationForward Rate Agreement Class
1. CurrencyAustralian
Dollar
(AUD)
Euro (EUR)

Polish
Zloty

(PLN)

Norwegian
Krone
(NOK)
2. Floating Rate IndexesBBSWEURIBORWIBORNIBOR
3. Stated Termination Date Range3 days to 
3 years

3 days to

3 years

3 days to 2 years

3 days to

2 years

4. OptionalityNoNoNoNo
5. Dual CurrenciesNoNoNoNo
6. Conditional Notional AmountsNoNoNoNo

 

     
SpecificationForward Rate Agreement Class
1. CurrencySwedish
Krona
(SEK)
Sterling (GBP)U.S. Dollar (USD)Yen (JPY)
2. Floating Rate IndexesSTIBORLIBORLIBORLIBOR
3. Stated Termination Date Range3 days to 3 years3 days to 3 years3 days to 3 years3 days to 3 years
4. OptionalityNoNoNoNo
5. Dual CurrenciesNoNoNoNo
6. Conditional Notional AmountsNoNoNoNo

 

      
SpecificationOvernight Index Swap Class
1. CurrencyAustralian Dollar
(AUD)

Canadian Dollar

(CAD)

Euro
(EUR)
Sterling
(GBP)
U.S. Dollar
(USD)
2. Floating Rate
Indexes
AONIA-OISCORRA-OISEONIASONIAFedFunds
3. Stated Termination Date Range7 days to 
2 years

7 days to

2 years

7 days to

3 years

7 days to 3 years

7 days to

3 years

4. OptionalityNoNoNoNoNo
5. Dual CurrenciesNoNoNoNoNo
6. Conditional Notional AmountsNoNoNoNoNo

 

Last Updated: June 9, 2016