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.

Specification

Fixed-to-Floating Swap Class

 

1. Currency

Australian Dollar (AUD)

Canadian Dollar (CAD)

Euro (EUR)

Hong Kong Dollar
(HKD)

Mexican
Peso
(MXN)

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
10 years

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
Dollar
(SGD)

Swedish

Krona
(SEK)

Swiss Franc (CHF)

Sterling
(GBP)

U.S. Dollar (USD)

Yen
(JPY)

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
15 years

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
Dollar

(AUD)

Euro (EUR)

Sterling (GBP)

U.S. Dollar (USD)

Yen
(JPY)

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
Dollar
(AUD)

Euro (EUR)

Polish
Zloty

(PLN)

Norwegian
Krone
(NOK)

2. Floating Rate Indexes

BBSW

EURIBOR

WIBOR

NIBOR

3. Stated Termination Date Range

3 days to
3 years

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
Krona
(SEK)

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
(AUD)

Canadian Dollar

(CAD)

Euro
(EUR)

Sterling
(GBP)

U.S. Dollar
(USD)

2. Floating Rate
Indexes

AONIA-OIS

CORRA-OIS

EONIA

SONIA

FedFunds

3. Stated Termination Date Range

7 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. 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