Release Number 7387-16
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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.
Specification |
Fixed-to-Floating Swap Class |
|||||
1. Currency |
Australian Dollar (AUD) |
Canadian Dollar (CAD) |
Euro (EUR) |
Hong Kong Dollar
|
Mexican |
Norwegian Krone (NOK) |
2. Floating Rate Indexes |
BBSW |
CDOR |
EURIBOR |
HIBOR |
TIIE |
NIBOR |
3. Stated Termination Date Range |
28 days to 30 years |
28 days to 30 years |
28 days to 50 years |
28 days to 10 years |
28 days to 21 years |
28 days to |
4. Optionality |
No |
No |
No |
No |
No |
No |
5. Dual Currencies |
No |
No |
No |
No |
No |
No |
6. Conditional Notional Amounts |
No |
No |
No |
No |
No |
No |
Specification |
Fixed-to-Floating Swap Class | ||||||
1. Currency |
Polish Zloty (PLN) |
Singapore
|
Swedish Krona |
Swiss Franc (CHF) |
Sterling |
U.S. Dollar (USD) |
Yen |
2. Floating Rate Indexes |
WIBOR |
SOR-VWAP |
STIBOR |
LIBOR |
LIBOR |
LIBOR |
LIBOR |
3. Stated Termination Date Range |
28 days to 10 years |
28 days to 10 years |
28 days to |
28 days to 30 years |
28 days to 50 years |
28 days to 50 years |
28 days to 30 years |
4. Optionality |
No |
No |
No |
No |
No |
No |
No |
5. Dual Currencies |
No |
No |
No |
No |
No |
No |
No |
6. Conditional Notional Amounts |
No |
No |
No |
No |
No |
No |
No |
Specification |
Basis Swap Class | ||||
1. Currency |
Australian (AUD) |
Euro (EUR) |
Sterling (GBP) |
U.S. Dollar (USD) |
Yen |
2. Floating Rate Indexes |
BBSW |
EURIBOR |
LIBOR |
LIBOR |
LIBOR |
3. Stated Termination Date Range |
28 days to 30 years |
28 days to 50 years |
28 days to 50 years |
28 days to 50 years |
28 days to 30 years |
4. Optionality |
No |
No |
No |
No |
No |
5. Dual Currencies |
No |
No |
No |
No |
No |
6. Conditional Notional Amounts |
No |
No |
No |
No |
No |
Specification |
Forward Rate Agreement Class | |||
1. Currency |
Australian |
Euro (EUR) |
Polish (PLN) |
Norwegian |
2. Floating Rate Indexes |
BBSW |
EURIBOR |
WIBOR |
NIBOR |
3. Stated Termination Date Range |
3 days to |
3 days to 3 years |
3 days to 2 years |
3 days to 2 years |
4. Optionality |
No |
No |
No |
No |
5. Dual Currencies |
No |
No |
No |
No |
6. Conditional Notional Amounts |
No |
No |
No |
No |
Specification |
Forward Rate Agreement Class | |||
1. Currency |
Swedish |
Sterling (GBP) |
U.S. Dollar (USD) |
Yen (JPY) |
2. Floating Rate Indexes |
STIBOR |
LIBOR |
LIBOR |
LIBOR |
3. Stated Termination Date Range |
3 days to 3 years |
3 days to 3 years |
3 days to 3 years |
3 days to 3 years |
4. Optionality |
No |
No |
No |
No |
5. Dual Currencies |
No |
No |
No |
No |
6. Conditional Notional Amounts |
No |
No |
No |
No |
Specification |
Overnight Index Swap Class | ||||
1. Currency |
Australian Dollar |
Canadian Dollar (CAD) |
Euro |
Sterling |
U.S. Dollar |
2. Floating Rate |
AONIA-OIS |
CORRA-OIS |
EONIA |
SONIA |
FedFunds |
3. Stated Termination Date Range |
7 days to |
7 days to 2 years |
7 days to 3 years |
7 days to 3 years |
7 days to 3 years |
4. Optionality |
No |
No |
No |
No |
No |
5. Dual Currencies |
No |
No |
No |
No |
No |
6. Conditional Notional Amounts |
No |
No |
No |
No |
No |
Last Updated: June 9, 2016