Release Number 8523-22

CFTC Issues Proposed Rule to Modify Swap Clearing Requirement to Address Transition from LIBOR and Other Interbank Offered Rates to Alternative Reference Rates

May 09, 2022

The NPRM proposes to amend CFTC regulation 50.4(a) as follows:

  • Effective 30 days after publication of the final rule in the Federal Register:
    • Remove swaps denominated in British pound (GBP), Swiss franc (CHF), and Japanese yen (JPY) that reference LIBOR as a floating rate index from each of the fixed-to-floating swap, basis swap, and forward rate agreement (FRA) classes, as applicable.
    • Remove swaps denominated in Euro (EUR) that reference Euro Overnight Index Average (EONIA) as a floating rate index from the overnight index swap (OIS) class.
    • Add to the OIS class:
      • Swaps denominated in USD that reference the Secured Overnight Financing Rate (SOFR) as a floating rate index with a stated termination date range of 7 days to 50 years;
      • Swaps denominated in EUR that reference the Euro Short-Term Rate (€STR) as a floating rate index with a stated termination date range of 7 days to 3 years;
      • Swaps denominated in CHF that reference the Swiss Average Rate Overnight (SARON) as a floating rate index with a stated termination date range of 7 days to 30 years;
      • Swaps denominated in JPY that reference the Tokyo Overnight Average rate (TONA) as a floating rate index with a stated termination date range of 7 days to 30 years; and
      • Swaps denominated in Singapore dollar (SGD) that reference the Singapore Overnight Rate Average (SORA) as a floating rate index with a stated termination date range of 7 days to 10 years.
    • Change the maximum stated termination date range for swaps denominated in GBP that reference the Sterling Overnight Index Average (SONIA) as a floating rate index in the OIS class to 50 years, for a total termination date range of 7 days to 50 years.
  • Effective July 1, 2023:
    • Remove swaps denominated in USD that reference LIBOR as a floating rate index from each of the fixed-to-floating swap, basis swap, and FRA classes.
    • Remove swaps denominated in SGD that reference the Singapore Swap Offer Rate (SOR-VWAP) as a floating rate index from the fixed-to-floating swap class.

The comment period will be open for 30 days after publication in the Federal Register. 

Comments may be submitted electronically through the CFTC Comments Portal.  All comments received will be posted on the CFTC’s website.

-CFTC-