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BILLING CODE: 6351-01-P

COMMODITY FUTURES TRADING COMMISSION

17 CFR Part 50

RIN 3038-AF18

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.

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of proposed rulemaking.

SUMMARY: The Commodity Futures Trading Commission (Commission or CFTC) is 

proposing to amend its interest rate swap clearing requirement regulations adopted under section 

2(h)(2)(D) of the Commodity Exchange Act (CEA) in light of the global transition from reliance 

on certain interbank offered rates (IBORs) (e.g., the London Interbank Offered Rate (LIBOR))

that have been, or will be, discontinued as benchmark reference rates to alternative reference 

rates, which are predominantly overnight, nearly risk-free reference rates (RFRs). The proposed 

amendments would revise the set of interest rate swaps that are required to be submitted for 

clearing pursuant to the CEA and part 50 of the Commission’s regulations to a derivatives 

clearing organization (DCO) that is registered under the CEA (registered DCO) or a DCO that 

has been exempted from registration under the CEA (exempt DCO). Among other things, the 

proposed amendments would modify the Commission’s interest rate swap clearing requirement 

to reflect the market shift away from swaps that reference IBORs to swaps that reference RFRs.

DATES: Comments must be received on or before [INSERT DATE 30 DAYS AFTER DATE 

OF PUBLICATION IN THE FEDERAL REGISTER].
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ADDRESSES: You may submit comments, identified by RIN 3038–AF18, by any of the 

following methods:

• CFTC Comments Portal: https://comments.cftc.gov. Select the “Submit Comments” link 

for this rulemaking and follow the instructions on the Public Comment Form.

• Mail: Send to Christopher Kirkpatrick, Secretary of the Commission, Commodity 

Futures Trading Commission, Three Lafayette Centre, 1155 21st Street NW, Washington, 

DC 20581.

• Hand Delivery/Courier: Follow the same instructions as for Mail, above.

Please submit your comments using only one of these methods. Submissions through the CFTC 

Comments Portal are encouraged. All comments must be submitted in English, or if not, 

accompanied by an English translation. Comments will be posted as received to 

https://comments.cftc.gov. You should submit only information that you wish to make available 

publicly. If you wish the Commission to consider information that you believe is exempt from 

disclosure under the Freedom of Information Act, a petition for confidential treatment of the 

exempt information may be submitted according to the procedures established in § 145.9

of the Commission’s regulations. The Commission reserves the right, but shall have no 

obligation, to review, pre-screen, filter, redact, refuse or remove any or all of your submission 

from https://comments.cftc.gov that it may deem to be inappropriate for publication, such as 

obscene language. 

FOR FURTHER INFORMATION CONTACT: Sarah E. Josephson, Deputy Director, at 

202-418-5684 or sjosephson@cftc.gov; Melissa D’Arcy, Special Counsel, at 202-418-5086 or 

mdarcy@cftc.gov; or Daniel O’Connell, Special Counsel, at 202-418-5583 or 
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doconnell@cftc.gov; each in the Division of Clearing and Risk at the Commodity Futures 

Trading Commission, Three Lafayette Centre, 1155 21st Street NW, Washington, DC 20581.

SUPPLEMENTARY INFORMATION:

Table of Contents

I. Background

A. Commission’s Swap Clearing Requirement

B. End of LIBOR

C. Global Progress on Benchmark Reform

II. Overview of the Request for Information

A. Work by DCOs to Support the Transition to RFRs

B. Work by Market Participants to Support the Transition to RFRs

III. Domestic and International Coordination and Outreach

A. Domestic Coordination Efforts

B. International Coordination Efforts

C. Clearing Requirements in Other Jurisdictions

IV. Proposed Amendments to Regulation 50.4(a)

A. Overview of the Proposed Regulation

B. Modifications to the Existing Clearing Requirements

V. Proposed Determination Analysis for RFR OIS

A. General Description of Information Considered

B. Consistency with DCO Core Principles

C. Consideration of the Five Statutory Factors 

VI. Proposed Implementation Schedule and Compliance Dates

VII. Cost Benefit Considerations

A. Statutory and Regulatory Background

B. Overview of Swap Clearing

C. Consideration of the Costs and Benefits of the Commission’s Actions

D. Costs and Benefits of the Proposed Amendments as Compared to 

Alternatives

E. Section 15(a) Factors

VIII. Related Matters

A. Regulatory Flexibility Act

B. Paperwork Reduction Act

C. Antitrust Laws
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I. BACKGROUND

A. Commission’s Swap Clearing Requirement

The Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) 

established a comprehensive new regulatory framework for swaps.1 Title VII of the Dodd-Frank 

Act (Title VII) amended the CEA to require, among other things, that a swap be cleared through 

a registered DCO or an exempt DCO if the Commission has determined that the swap, or group, 

category, type, or class of swaps, is required to be cleared, unless an exception to the clearing 

requirement applies.2 The CEA, as amended by Title VII, provides that the Commission may 

issue a clearing requirement determination based either on a Commission-initiated review of a 

swap,3 or a swap submission from a DCO.4

Section 2(h)(2)(D)(ii) of the CEA requires the Commission to consider the following five 

factors when making a clearing requirement determination: (I) the existence of significant 

outstanding notional exposures, trading liquidity, and adequate pricing data; (II) the availability 

of rule framework, capacity, operational expertise and resources, and credit support 

 

1 Dodd-Frank Wall Street Reform and Consumer Protection Act, Public Law 111-203, 124 Stat. 1376 (2010).

2 Section 2(h)(1)(A) of the CEA, 7 U.S.C. 2(h)(1)(A).

3 Section 2(h)(2)(A) of the CEA, 7 U.S.C. 2(h)(2)(A). Section 2(h)(2)(A) provides for a Commission-initiated 

review process whereby the Commission, on an ongoing basis, must review swaps, or a group, category, type, or 

class of swaps, to determine whether a swap, or a group, category, type, or class of swaps, should be required to be 

cleared.

4 Section 2(h)(2)(B) of the CEA, 7 U.S.C. 2(h)(2)(B). Section 2(h)(2)(B)(i) requires that each DCO submit to the 

Commission each swap, or group, category, type, or class of swaps, that it plans to accept for clearing. The swaps 

subject to this proposed determination were submitted by DCOs pursuant to CEA section 2(h)(2)(B)(i) and 

regulation 39.5(b), 17 CFR 39.5(b). Pursuant to section 2(h)(2)(B)-(C) of the CEA, the Commission must review 

swap submissions from DCOs to determine whether the swaps should be subject to required clearing. Regulation 

39.5(b) implements the procedural elements of section 2(h)(2)(B)-(C) by establishing the process by which a DCO 

must submit the swaps it offers for clearing to the Commission for purposes of considering a clearing requirement 

determination.
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infrastructure to clear the contract on terms that are consistent with the material terms and 

trading conventions on which the contract is traded; (III) the effect on the mitigation of systemic 

risk, taking into account the size of the market for such contract and the resources of the DCOs 

available to clear the contract; (IV) the effect on competition, including appropriate fees and 

charges applied to clearing; and (V) the existence of reasonable legal certainty in the event of the 

insolvency of the relevant DCO or one or more of its clearing members with regard to the 

treatment of customer and swap counterparty positions, funds, and property.5

The Commission adopted its first clearing requirement determination (First 

Determination) in 2012.6 The First Determination was implemented between March 2013 and 

October 2013 based on the schedule described in regulation 50.25 and the preamble to the First 

Determination.

7

 The First Determination applied to interest rate swaps in four classes: fixed-tofloating swaps, basis swaps, forward rate agreements (FRAs), and overnight index swaps (OIS).8

 

In making its initial interest rate swap clearing determination, the Commission focused 

on the size of the interest rate swap market relative to the swap market overall, as well as the fact 

 

5 7 U.S.C. 2(h)(2)(D)(ii).

6 Clearing Requirement Determination Under Section 2(h) of the CEA, 77 FR 74284 (Dec. 13, 2012) (First 

Determination).

7 17 CFR 50.25; First Determination, 77 FR at 74319-21.

8 See generally First Determination. By way of background, an interest rate swap is generally an agreement by 

counterparties to exchange payments based on a series of cash flows over a specified period of time, typically 

calculated using two different rates. Fixed-to-floating swaps are interest rate swaps in which the payment(s) owed 

on one leg of the swap is calculated using a fixed rate, and the payment(s) owed on the other leg is calculated using 

a floating rate. Basis swaps are interest rate swaps for which the payments for both legs are calculated using floating 

rates. FRAs are interest rate swaps in which payments are exchanged on a predetermined date for a single period 

and one leg of the swap is calculated using a fixed rate while the other leg is calculated using a floating rate set on a 

predetermined date. OIS are interest rate swaps for which one leg of the swap is calculated using a fixed rate and 

the other leg is calculated using a floating rate based on a daily overnight rate.
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that these swaps were already widely being cleared.9 As set forth in regulation 50.4(a), the 

Commission identified four classes of interest rate swaps having certain specifications related to 

(i) the currency in which the notional and payment amounts are specified; (ii) the floating rate 

index referenced in the swap; (iii) the stated termination date; (iv) optionality; (v) dual 

currencies; and (vi) conditional notional amounts.10 The Commission limited the interest rate 

swaps required to be cleared to those denominated in four currencies (U.S. dollar (USD), Euro 

(EUR), British pound (GBP), and Japanese yen (JPY)). The Commission noted that interest rate 

swaps denominated in these currencies comprised an outsized portion of the interest rate swap 

market in terms of notional amounts outstanding and trading volumes compared to interest rate 

swaps denominated in other currencies.11 

The First Determination covered a number of interest rate swaps that reference IBORs, 

including fixed-to-floating swaps, basis swaps, and FRAs denominated in USD, GBP, and JPY, 

referencing USD, GBP, and JPY LIBOR, respectively, and OIS denominated in EUR referencing 

the Euro Overnight Index Average (EONIA). The Commission observed that interest rate swaps 

referencing those indexes had significant outstanding notional amounts and trading liquidity.12

 

9

Id. at 74287, 74307. To this day, significant amounts of notional in interest rate swaps are traded in markets 

around the world, and these swaps comprise an outsized portion of notional among all swaps. According to the 

Bank for International Settlements (BIS), as of June 2021, there was an estimated $488 trillion in outstanding 

notional of interest rate swaps, which represents approximately 80% of the total outstanding notional of all over-thecounter (OTC) derivatives. See BIS, OTC Derivatives Outstanding, Table D7 (OTC, Interest Rate Derivatives, H1 

2021), updated Nov. 15, 2021, available at https://stats.bis.org/statx/srs/table/d7?f=pdf; BIS, Global OTC 

Derivatives Markets, June 2021, available at https://www.bis.org/publ/otc_hy2111/intgraphs/graphA1.htm.

10 17 CFR 50.4(a).

11 First Determination, 77 FR at 74308.

12 Id. at 74309.
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The Commission adopted its second clearing requirement determination (Second 

Determination) in 2016.13 The Second Determination was implemented between December 

2016 and October 2018,

14 and covered interest rate swaps in nine additional currencies:

Australian dollar (AUD), Canadian dollar (CAD), Hong Kong dollar (HKD), Mexican peso 

(MXN), Norwegian krone (NOK), Polish zloty (PLN), Singapore dollar (SGD), Swedish krona 

(SEK), and Swiss franc (CHF). The Commission adopted the Second Determination largely in 

order to further harmonize its interest rate swap clearing requirement with those of other 

jurisdictions that had already issued, or were in the process of issuing, clearing mandates on 

similar interest rate swaps.

15

 The Second Determination also covered swaps that reference other 

IBORs, including fixed-to-floating swaps denominated in SGD referencing the Singapore Swap 

Offer Rate (SOR-VWAP) and fixed-to-floating swaps denominated in CHF referencing CHF 

LIBOR.16 These rates will be discussed further below.

B. End of LIBOR

LIBOR is an interest rate benchmark that was intended to measure the average rate at 

which a bank can obtain unsecured funding in the London interbank market for a given tenor and 

currency. It had been one of the world’s most frequently referenced interest rate benchmarks, 

 

13 Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for Interest Rate 

Swaps, 81 FR 71202 (Oct. 14, 2016) (Second Determination).

14 17 CFR 50.26; Second Determination, 81 FR at 71202.

15 Second Determination, 81 FR at 71203-05. The Commission explained that such harmonization serves an 

important anti-evasion goal: if a non-U.S. jurisdiction issued a clearing requirement, and a swap dealer (SD) located 

in the United States were not subject to an analogous a clearing requirement under U.S. law, then market 

participants potentially could avoid the non-U.S. jurisdiction’s clearing requirement by entering into a swap with an 

SD located in the United States. Id. at 71203.

16 Id. at 71205.
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serving as a reference rate for a wide variety of swaps and other financial products. Over the 

years, LIBOR was calculated based on submissions from a panel of contributor banks and 

published every London business day. Immediately prior to January 1, 2022, LIBOR was 

published for five currencies (USD, GBP, EUR, CHF, and JPY) and seven tenors (overnight or 

spot next depending on currency, 1-week, 1-month, 2-month, 3-month, 6-month, and 12-month), 

resulting in 35 individual LIBOR rates.17 Beginning this year, these LIBOR rates have almost 

entirely ceased publication or become nonrepresentative of the underlying market they are 

intended to measure.

Nearly a decade ago, government investigations concerning LIBOR, as well as a decline 

in the volume of interbank lending transactions that LIBOR is intended to measure, gave rise to 

concerns regarding the integrity and reliability of LIBOR and other IBORs.18 Although LIBOR 

was subject to a number of significant reform efforts,

19 regulators and global standard-setting 

bodies did not view these reforms as a long-term solution. On July 27, 2017, Andrew Bailey, 

then-Chief Executive of the United Kingdom (UK) Financial Conduct Authority (FCA), 

LIBOR’s primary regulator, announced that the FCA would not use its authority to compel 

 

17 See generally ICE Benchmark Administration (IBA), LIBOR, available at https://www.theice.com/iba/libor. 

18 See, e.g., International Organization of Securities Commissions (IOSCO), Principles for Financial Benchmarks, 

July 2013, at 1, available at https://www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf. See also David Bowman, 

et al., “How Correlated Is LIBOR With Bank Funding Costs?,” FEDS Notes, June 29, 2020, available at 

https://www.federalreserve.gov/econres/notes/feds-notes/how-correlated-is-libor-with-bank-funding-costs20200629.htm; and Alternative Reference Rates Committee, Second Report, Mar. 2018, at 1-3, available at 

https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2018/ARRC-Second-report. 

19 See generally IBA, Methodology, available at https://www.theice.com/publicdocs/ICE_LIBOR_Methodology.pdf; 

H.M. Treasury, The Wheatley Review of LIBOR: Final Report, Sept. 2012, available at 

https://assets.publishing.service.gov.uk/government/uploads/system/uploads/attachment_data/file/191762/wheatley_

review_libor_finalreport_280912.pdf; Intercontinental Exchange (ICE), ICE LIBOR Evolution, Apr. 25, 2018, at 4, 

available at https://www.theice.com/publicdocs/ICE_LIBOR_Evolution_Report_25_April_2018.pdf.
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LIBOR panel banks to contribute to the benchmark after 2021.20 On March 5, 2021, the FCA 

announced that publication of LIBOR would cease on December 31, 2021, for the following:21 

(i) EUR LIBOR in all tenors;

(ii) CHF LIBOR in all tenors; 

(iii) JPY LIBOR in the spot next, 1-week, 2-month, and 12-month tenors;

(iv) GBP LIBOR in the overnight, 1-week, 2-month, and 12-month tenors; and

(v) USD LIBOR in the 1-week and 2-month tenors.

22

The FCA further determined that GBP and JPY LIBOR in 1-month, 3-month, and 6-

month tenors would become nonrepresentative after December 31, 2021.23 Additionally, the 

FCA determined that USD LIBOR in the overnight and 12-month tenors would cease after June 

30, 2023, and that USD LIBOR in the 1-month, 3-month, and 6-month tenors would not be 

representative after that date.24 At this time, EUR, CHF, JPY, and GBP LIBOR in all tenors, and 

USD LIBOR in the 1-week and 2-month tenors, have ceased publication or become 

nonrepresentative of the underlying market they are intended to measure.

 

20 Andrew Bailey, “The future of Libor,” July 27, 2017, available at https://www.fca.org.uk/news/speeches/thefuture-of-libor. 

21 FCA, FCA Announcement on Future Cessation and Loss of Representativeness of the LIBOR Benchmarks, Mar. 

5, 2021 (FCA Announcement on LIBOR Cessation), available at 

https://www.fca.org.uk/publication/documents/future-cessation-loss-representativeness-libor-benchmarks.pdf.

22 See section IV below (discussing the continued publication of USD LIBOR for certain tenors through June 30, 

2023).

23 FCA Announcement on LIBOR Cessation. The FCA stated that once a LIBOR rate becomes nonrepresentative, 

its representativeness will not be restored. 

24 Id.
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The historic circumstances surrounding the transition from IBORs to RFRs are the result 

of significant private and public sector coordinated efforts.25 As plans to retire LIBOR 

proceeded, regulators in the United States and other jurisdictions worked to identify, develop, 

and implement reference rates to serve as alternatives to LIBOR and other IBORs.26 In the 

United States, the Alternative Reference Rates Committee (ARRC), convened in 2014 by the 

Federal Reserve Board (FRB) and the Federal Reserve Bank of New York (FRBNY) and 

comprised of private market participants and ex officio banking and financial sector regulators, 

selected the Secured Overnight Financing Rate (SOFR)27 as its preferred alternative to USD 

LIBOR.28 The ARRC developed a Paced Transition Plan, which has now been completed, to 

facilitate an orderly transition from USD LIBOR to USD SOFR.29

 

25 While not all benchmark rates considered to be alternative reference rates for IBORs may be RFRs, efforts to 

transition markets away from IBORs have focused on RFRs as alternatives. For purposes of brevity, the 

Commission uses the term “RFR” in this notice of proposed rulemaking to refer to alternative reference rates.

26 For additional background information, see Swap Clearing Requirement To Account for the Transition from 

LIBOR and Other IBORs to Alternative Reference Rates, 86 FR 66476, 66480 (Nov. 23, 2021) (RFI).

27 USD SOFR is an RFR that measures the cost of overnight repurchase agreement transactions collateralized by 

U.S. Treasury securities. FRBNY, Statement Introducing the Treasury Repo Reference Rates, Apr. 3, 2018, 

available at https://www.newyorkfed.org/markets/opolicy/operating_policy_180403. See also FRBNY, Secured 

Overnight Financing Rate Data, available at 

https://apps.newyorkfed.org/markets/autorates/SOFR#:~:text=The%20SOFR%20is%20calculated%20as,LLC%2C

%20an%20affiliate%20of%20the; and FRBNY, Additional Information about the Treasury Repo Reference Rates, 

available at https://www.newyorkfed.org/markets/treasury-repo-reference-rates-information. USD SOFR has been 

published each New York business day at 8:00 a.m. ET since April 3, 2018, by the FRBNY in cooperation with the 

U.S. Office of Financial Research. 

28 ARRC, “The ARRC Selects a Broad Repo Rate as its Preferred Alternative Reference Rate,” June 22, 2017, 

available at https://www.newyorkfed.org/medialibrary/microsites/arrc/files/2017/ARRC-press-release-Jun-22-

2017.pdf. 

29 ARRC, Paced Transition Plan, available at https://www.newyorkfed.org/arrc/sofr-transition#pacedtransition. The 

Paced Transition Plan called for (i) the establishment of infrastructure for futures and/or OIS trading in USD SOFR 

by the second half of 2018; (ii) the start of trading in futures and/or bilateral, uncleared OIS that reference USD 

SOFR by the end of 2018; (iii) the start of trading in cleared OIS that reference USD SOFR in the effective federal 

funds rate (EFFR) price alignment interest (PAI) and discounting environment by the end of the first quarter of 

2019; (iv) Chicago Mercantile Exchange, Inc. (CME)’s and LCH Limited (LCH)’s conversion of discounting, and 

PAI and price alignment amount, from EFFR to USD SOFR with respect to all outstanding cleared USD-
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C. Global Progress on Benchmark Reform

Regulators and public-private working groups in other IBOR currency jurisdictions have 

been working to identify, develop, and encourage market uptake of RFRs to replace LIBOR in 

currencies other than USD, as well as IBORs other than LIBOR. As relevant to this proposal, 

RFRs identified as alternatives for IBORs in currencies other than USD include: (i) the Sterling 

Overnight Index Average (SONIA) for GBP; (ii) the Swiss Average Rate Overnight (SARON) 

for CHF; (iii) the Tokyo Overnight Average (TONA) for JPY; and (iv) the Euro Short-Term 

Rate (€STR) for EUR. 

In the European Union (EU), the Working Group on Euro Risk-Free Rates, convened in 

2018 by the European Central Bank in connection with the Belgian Financial Services, the 

European Securities and Markets Authority (ESMA), and the European Commission (EC), also 

identified €STR as its preferred alternative to EUR EONIA, which ceased publication on January 

3, 2022.30 Additionally, with regard to SGD, the Steering Committee for SOR & SIBOR 

Transition to SORA, established by the Monetary Authority of Singapore (MAS), has been 

working to oversee a transition from SGD SOR-VWAP to the Singapore Overnight Rate 

 

denominated swaps by October 16, 2020; and (v) the ARRC’s endorsement of a term reference rate based on USD 

SOFR derivatives markets by the end of the first half of 2021. The final step was completed on July 29, 2021, when 

the ARRC formally endorsed forward-looking term USD SOFR rates developed by CME.

30 ESMA, Working Group on Euro Risk-Free Rates, available at https://www.esma.europa.eu/policyactivities/benchmarks/working-group-euro-risk-free-rates; European Money Markets Institute, EONIA, available at 

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Average (SORA).

31

 SGD SOR-VWAP relies on USD LIBOR as an input and is expected to be 

discontinued across all tenors after June 30, 2023.32

Table 1 below contains a non-exhaustive list of RFRs that have been identified to replace 

IBORs around the world:33

TABLE 1—RFRS IDENTIFIED FOR IBORS

Currency Index Identified

Alternative Rate

Alternative 

Rate 

Administrator

Secured Published

AUD Bank Bill Swap Rate 

(BBSW)

Reserve Bank of Australia 

Interbank Overnight Cash 

Rate (AONIA)

Reserve Bank 

of Australia

No Yes

CAD Canadian Dollar 

Offered Rate 

(CDOR)

Canadian Overnight Repo 

Rate Average (CORRA)

Bank of 

Canada

Yes Yes

CHF LIBOR SARON SIX Swiss 

Exchange

Yes Yes

EUR LIBOR €STR European 

Central Bank

No Yes

Euro Overnight Index 

Average (EONIA)

€STR European 

Central Bank

No Yes

Euro Interbank 

Offered Rate 

(EURIBOR)

€STR European 

Central Bank

No Yes

 

31 Association of Banks in Singapore, About SC-STS, available at https://www.abs.org.sg/benchmark-rates/aboutsc-sts.

32 Steering Committee for SOR & SIBOR Transition to SORA, Timelines to Cease Issuance of SOR and SIBORLinked Financial Products, Mar. 31, 2021 (Timelines to Cease SOR), at 4, available at 

https://www.abs.org.sg/docs/library/timelines-to-cease-issuance-of-sor-derivatives-and-sibor-linked-financialproducts.pdf.

33 See generally Financial Stability Board (FSB), Reforming Major Interest Rate Benchmarks, Nov. 20, 2020, at 29-

43, 54-55, available at https://www.fsb.org/2020/11/reforming-major-interest-rate-benchmarks-2020-progressreport/. See also Andreas Schrimpf and Vladislav Sushko, “Beyond Libor: a primer on the new reference rates,” 

BIS Quarterly Review, Mar. 2019, at 35, available at https://www.bis.org/publ/qtrpdf/r_qt1903e.pdf; Bank of 

England, Preparing for 2022: What You Need to Know about LIBOR Transition, Nov. 2018, at 10, 

https://www.bankofengland.co.uk/-/media/boe/files/markets/benchmarks/what-you-need-to-know-about-libortransition.pdf; ISDA, et al., IBOR Global Benchmark Survey 2018 Transition Roadmap, Feb. 2018, at 32, 

https://www.isda.org/a/g2hEE/IBOR-Global-Transition-Roadmap-2018.pdf; European Central Bank, Euro ShortTerm Rate (€STR), available at https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_shortterm_rate/html/index.en.html#:~:text=The%20euro%20short%2Dterm%20rate,activity%20on%201%20October%2

02019; Timelines to Cease SOR. 
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GBP LIBOR SONIA Bank of 

England

No Yes

HKD Hong Kong Interbank 

Offered Rate 

(HIBOR)

Hong Kong Dollar 

Overnight Index Average 

(HONIA)

Treasury 

Market 

Association

No Yes

JPY LIBOR TONA Bank of Japan No Yes

MXN Term Interbank 

Equilibrium Interest 

Rate (TIIE)

Overnight TIIE Banco de 

Mexico

Yes Yes

SGD SOR SORA Association of 

Banks in 

Singapore

No Yes

Singapore Interbank 

Offered Rate 

(SIBOR)

SORA Association of 

Banks in 

Singapore

No Yes

Regulators and global standard-setting bodies have urged market participants to 

accelerate their adoption of USD SOFR and other RFRs and cease entering new swaps 

referencing LIBOR and other IBORs,

34 and have issued guidance and regulatory relief to 

facilitate the transition. In the United States, on July 13, 2021, the Commission’s Market Risk 

Advisory Committee adopted SOFR First, a phased initiative to switch interdealer trading 

conventions from reliance on USD LIBOR to USD SOFR as a reference rate for swaps.

35

 SOFR 

First was implemented in four phases between July 26, 2021, and December 16, 2021.

36

 SOFR 

 

34 See, e.g., FRB, Federal Deposit Insurance Corporation (FDIC), and Office of the Comptroller of the Currency

(OCC), Statement on LIBOR Transition, Nov. 30, 2020, available at 

https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20201130a1.pdf; and IOSCO, Statement on 

Benchmarks Transition, June 2, 2021, available at https://www.iosco.org/library/pubdocs/pdf/IOSCOPD676.pdf.

35 CFTC, “CFTC Market Risk Advisory Committee Adopts SOFR First Recommendation at Public Meeting,” July 

13, 2021, available at https://www.cftc.gov/PressRoom/PressReleases/8409-21. 

36 CFTC, CFTC’s Interest Rate Benchmark Reform Subcommittee Issues User Guide for the Transition of 

Exchange-Traded Derivatives Activity to SOFR, Dec. 16, 2021, available at 

https://www.cftc.gov/PressRoom/PressReleases/8469-21. 
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First mirrors similar best practices adopted in other jurisdictions to increase activity in swaps

referencing RFRs.

37

 

II. OVERVIEW OF THE REQUEST FOR INFORMATION

In light of ongoing efforts by the international regulatory community, market 

participants, and others to transition financial markets from IBORs to RFRs, on November 23, 

2021, the Commission published an RFI seeking public input regarding how it should amend the 

interest rate swap clearing requirement to address the cessation of IBORs that have been used as 

benchmark reference rates and the market adoption of swaps that reference RFRs.38 The RFI 

sought input on all aspects of the swap clearing requirement that may be affected by the 

transition from IBORs to RFRs, including enumerated requests for data and other information 

related to IBOR and RFR swaps. The Commission received 14 responses to the RFI from a 

variety of market infrastructure providers, market participants, and industry organizations.39 In 

addition to addressing the Commission’s specific requests for information, many respondents to 

 

37 See, e.g., Bank of England, “The FCA and the Bank of England encourage market participants in further switch to 

SONIA in interest rate swap markets,” Sept. 28, 2020, available at 

https://www.bankofengland.co.uk/news/2020/september/fca-and-boe-joint-statement-on-sonia-interest-rate-swap; 

Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks, “Transition of Quoting Conventions in the 

JPY interest rate swaps market (‘TONA First’),” July 26, 2021, available at 

https://www.boj.or.jp/en/paym/market/jpy_cmte/data/cmt210726b.pdf. 

38 RFI, 86 FR at 66486-88.

39 Responses were submitted by: American Council of Life Insurers (ACLI), CCP12, London Stock Exchange 

Group (LSEG), Japan Securities Clearing Corporation (JSCC), Tradeweb Markets LLC (Tradeweb), Investment 

Company Institute (ICI), Managed Funds Association (MFA), Toronto-Dominion Bank (TD Bank), Eurex Clearing 

AG (Eurex), the International Swaps and Derivatives Association (ISDA), Alternative Investment Management 

Association (AIMA), Citadel, Bloomberg L.P., and CME Group Inc. (CMEG). The response letters are available on 

the CFTC Comments Portal: https://comments.cftc.gov/PublicComments/ReleasesWithComments.aspx. 
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the RFI shared information regarding their own contributions to the transition from IBORs to 

RFRs.

A. Work by DCOs to Support the Transition to RFRs

The Commission received responses to its RFI from CMEG,

40 LSEG,41 and Eurex, all of 

which operate or are registered DCOs that offer for clearing RFR swaps subject to this proposal. 

The Commission also received a response from JSCC, an exempt DCO that clears JPY TONA 

swaps.

42

 Additionally, the Commission received a response from the CCP12, a global 

association of central counterparties (CCPs). 

DCOs played an important role in the transition from IBORs to RFRs by offering 

clearing services for RFR swaps and converting cleared IBOR swaps to RFR OIS.

43 The DCOs’ 

responses highlight the efforts they undertook to facilitate a smooth transition from cleared 

IBOR swaps to cleared RFR swaps.

44

 As the CCP12 noted in its response, DCOs currently 

provide clearing services for RFR OIS and manage the risks associated with clearing such 

swaps.

45

 

 

40 CMEG is the parent company of CME. CMEG Letter.

41 LSEG has majority ownership of LCH Group, which operates LCH. LSEG Letter.

42 OTC Clearing Hong Kong Limited (HKEX), another exempt DCO, also clears certain of the RFR swaps subject 

to this proposal. Specifically, HKEX offers swaps referencing USD SOFR and EUR €STR for clearing. See Hong 

Kong Exchanges and Clearing, Interest Rate Swaps, available at https://www.hkex.com.hk/Products/OTCDerivatives/Interest-Rate-Swaps?sc_lang=en. 

43 As the Commission explained in the RFI, these conversion events were intended to address market participant 

concerns related to potential bifurcation of liquidity between trading in legacy IBOR swaps that had fallen back to 

RFRs (i.e., as a result of the operation of DCO rules implementing ISDA’s fallbacks) and new RFR OIS, as well as 

certain operational costs. RFI, 86 FR at 66484.

44 CMEG, LSEG, Eurex, and JSCC Letters. 

45 CCP12 Letter.
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Table 2 below shows swaps referencing RFRs that registered DCOs have offered for 

clearing to facilitate the transition from IBORs.

46

 After DCOs began clearing RFR swaps, they 

worked to move open interest in IBOR swaps to RFR swaps, reflecting the growing RFR swap 

market. CME, LCH, and Eurex each converted cleared EUR EONIA swaps outstanding after 

October 15, 2021, to €STR OIS, ahead of EUR EONIA’s January 3, 2022 cessation.

47 These 

DCOs also converted cleared swaps referencing CHF, EUR, JPY, and GBP LIBOR to 

corresponding RFR OIS in December 2021, ahead of the December 31, 2021 cessation date for 

these LIBOR rates.48 Additionally, in December 2021, JSCC completed a conversion of JPY 

LIBOR swaps to JPY TONA OIS.

49

 Following these conversion events, with limited exceptions, 

swaps referencing these LIBOR rates were no longer offered for clearing.50 The Commission 

 

46 Table 2 does not include information from exempt DCOs. Exempt DCOs, such as JSCC and HKEX, also offer 

clearing services for certain RFR swaps, but do not offer customer clearing to U.S. customers. 

47 See CME, CME Submission No. 21-413, CFTC Regulation 40.6(a) Certification, Notification Regarding 

Modification of Cleared Euro Overnight Index Average (“EONIA”) Overnight Index Swaps to Reference Euro 

Short Term Rate (“€STR”) Ahead of Scheduled Discontinuation of EONIA, Sept. 29, 2021, available at

https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2021/9/21-413.pdf; LCH, LCH 

Limited Self-Certification: Benchmark Reform – Rates Conversion, Sept. 29, 2021 (LCH Self-Certification: 

Benchmark Reform – Rates Conversion), available at https://www.lch.com/system/files/media_root/FINAL%20-

%20LCH%20self%20cert_Benchmark%20Reform%202021%2009%2029%20v3%20%28Clean%29.pdf; Eurex 

Clearing, ECAG Rule Certification 081-21, Sept. 16, 2021 (Eurex Rule Certification 081-21), available at 

https://www.eurex.com/resource/blob/2781070/61d1fccdd00bc1a06753877a5fa3f483/data/ecag_cftc_filing_for_circ

ular_081-21.pdf; and Eurex, Eurex Clearing Circular 111/20 EurexOTC Clear: Summary of Consultation on the 

Transition Plan for Transactions Referencing the EONIA Benchmark, Dec. 14, 2020, available at 

https://www.eurex.com/ec-en/find/circulars/clearing-circular-2373634. 

48 LCH Self-Certification: Benchmark Reform – Rates Conversion; LCH, Supplementary Statement on LCH’s 

Solution for Outstanding Cleared LIBOR Contracts, LCH Circular No. 4146, Mar. 18, 2021, available at

https://www.lch.com/membership/ltd-membership/ltd-member-updates/supplementary-statement-lchs-solutionoutstanding; CME, CME IBOR Conversion Plan for Cleared Swaps, June 9, 2021, available at 

https://www.cmegroup.com/trading/interest-rates/files/cleared-swaps-considerations-for-ibor-fallbacks-andconversion-plan.pdf; and Eurex Rule Certification 081-21. The Commission notes that only LCH conducted a 

conversion event for EUR LIBOR swaps because CME and Eurex did not offer these swaps for clearing at that time. 

49 JSCC Letter. 

50 CMEG, Advisory Notice #21-434, Modification of Cleared Over-the-Counter (OTC) British Pound (GBP), 

Japanese Yen (JPY) and Swiss Franc (CHF) Denominated Interest Rate Swap Products Referencing the London 
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anticipates that CME, LCH, and Eurex will launch similar conversion events for all swaps still 

referencing USD LIBOR prior to June 30, 2023.51

TABLE 2—SUMMARY OF SWAPS OFFERED FOR CLEARING TO SUPPORT IBOR TRANSITION 

Swap Class Currency Floating Rate 

Index

Registered DCOs Offering Clearing

(Termination Date Range Offered)

Basis Swaps

AUD BBSW-AONIA LCH (up to 31 yrs)

CAD CDOR-CORRA LCH (up to 31 yrs)

EUR EURIBOR-

€STR

CME (up to 51 yrs), Eurex (up to 51 yrs), LCH (up to 51 yrs)

GBP LIBOR-SONIA Eurex (up to 51 yrs), LCH (up to 51 yrs)

JPY LIBOR-TONA Eurex (up to 31 yrs), LCH (up to 41 yrs)

SGD SOR-SORA LCH (up to 21 yrs)

USD LIBOR-SOFR CME (up to 51 yrs), Eurex (up to 51 yrs), LCH (up to 51 yrs)

Fed FundsSOFRCME (up to 51 yrs), Eurex (up to 51 yrs), LCH (up to 51 yrs)

OIS AUD AONIA CME (up to 31 yrs), LCH (up to 31 yrs)

 

Interbank Offered Rate (LIBOR) and Limitation of Acceptance for Clearing, Nov. 22, 2021, available at 

https://www.cmegroup.com/notices/clearing/2021/11/Chadv21-434.pdf (noting that CME provides limited clearing 

services for certain LIBOR swaps resulting from the exercise of bilateral uncleared swaptions, which are subject to a 

same-day conversion event on the day such swaps are accepted for clearing); LCH, LIBOR Transition – Risk 

Notice, Nov. 2021, available at https://www.lch.com/system/files/media_root/LIBOR%20Transition%20-

%20Risk%20Notice%20Nov%202021.pdf (setting forth the terms of time-limited clearing services for certain 

“legacy” LIBOR transactions, including LIBOR swaps resulting from the exercise of certain swaptions; and Eurex, 

EurexOTC Clear Product List, available at 

https://www.eurex.com/resource/blob/227404/760dd5a98729621e2de7720d28bc291a/data/ec15075e_Attach.pdf. 

51 Each registered DCO has made public its plans for full USD LIBOR transition. CMEG, LSEG, and Eurex

Letters. 
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CAD CORRA CME (up to 31 yrs), LCH (up to 31 yrs)

CHF SARON CME (up to 31 yrs), Eurex (up to 31 yrs), LCH (up to 31 yrs)

EUR €STR CME (up to 51 yrs), Eurex (up to 51 yrs), LCH (up to 51 yrs)

GBP SONIA CME (up to 51 yrs), Eurex (up to 51 yrs), LCH (up to 51 yrs)

JPY TONA CME (up to 31 yrs), Eurex (up to 31 yrs), LCH (up to 41 yrs)

SGD SORA CME (up to 21 years), LCH (up to 21 yrs)

USD SOFR CME (up to 51 yrs), Eurex (up to 51 yrs), LCH (up to 51 yrs)

B. Work by Market Participants to Support the Transition to RFRs

Market participants also played a significant role in the transition from reliance on IBORs 

to the adoption of RFRs through engagement with RFR working groups, such as the ARRC, and 

the provision of trading liquidity in interest rate swaps referencing RFRs.52 As Citadel and ISDA

noted in their responses to the RFI, many RFR swaps are now voluntarily cleared by market 

participants in large proportions.53 Citadel explained that, in the interdealer market, the “vast 

 

52 For example, ISDA, as an organization of OTC derivatives market participants, played a key role in the 

development of contractual fallbacks for IBORs, ensuring that swaps documented under ISDA agreements that 

reference certain key IBORs can transition to adjusted versions of corresponding RFRs when those IBORs cease or 

become non-representative. ISDA, “Amendments to the 2006 ISDA Definitions to include new IBOR fallbacks,” 

Oct. 23, 2020 , available at http://assets.isda.org/media/3062e7b4/23aa1658.pdf; ISDA, “Amendments to the 2006 

ISDA Definitions to include new IBOR fallbacks,” Oct. 23, 2020, available at 

http://assets.isda.org/media/3062e7b4/23aa1658.pdf; ISDA, ISDA 2020 IBOR Fallbacks Protocol, Oct. 23, 2020, 

available at http://assets.isda.org/media/3062e7b4/08268161-pdf/; ISDA 2021 Fallbacks Protocol, December 2021 

Benchmark Module, Dec. 16, 2021, available at https://www.isda.org/a/UhtgE/ISDA-2021-FallbacksProtocol_December-2021-Benchmark-Module_Publication-Version.pdf. See also RFI, 86 FR at 66483-84 

(discussing ISDA’s IBOR fallbacks protocol and supplement).

53 Citadel and ISDA Letters.
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majority” of trading activity has transitioned to USD SOFR, and that “streaming dealer prices 

can be observed across [swap execution facilities (SEFs)], evidencing the number of available 

market makers.”54

For each of the amendments in this proposal, the Commission considered feedback and 

data from responses to the RFI. Respondents overwhelmingly supported updating the clearing 

requirement to account for the cessation of LIBOR and other IBORs. Many respondents 

specifically expressed a desire that the Commission harmonize any changes to the clearing 

requirement with changes taking place in other jurisdictions.55 In particular, the Commission 

recognizes the information provided by respondents with regard to issuing a clearing requirement 

determination for OIS referencing USD SOFR with a termination date range as long as 50 

years.56 

III. DOMESTIC AND INTERNATIONAL COORDINATION AND OUTREACH

The global shift from IBORs to RFRs represents a historic effort by international 

standard setting bodies such as IOSCO and the FSB, regulators, cross-jurisdictional working 

groups, market infrastructure providers, market participants, and others, to move global swap 

 

54 Citadel Letter. Citadel also noted that, for USD SOFR swaps, “robust liquidity exists across a wide range of 

maturities, from 7 days to 50 years.” Id.

55 ACLI, CCP12, Eurex, ISDA, LSEG, MFA, and TD Bank Letters. 

56 E.g., AIMA Letter (“Market participants have taken multiple steps in preparation for the cessation of IBORs and 

LIBOR, and there has been a corresponding material transition to the use of SOFR and other RFRs for OTC 

contracts. As a result, liquidity in swaps referencing SOFR has grown, and will continue to grow, sufficient to 

justify the Commission making a clearing requirement determination for these contracts. Accordingly, we 

encourage the Commission to update the clearing requirement to include swaps referencing SOFR with maturities 

ranging from 7 days to 50 years.”); MFA Letter (“MFA strongly recommends that the Commission modify its Swap 

Clearing Requirement under Commission regulation 50.4 by adding a clearing obligation to the OIS class for SOFR 

swaps with a maturity range of 7 days to 50 years as soon as practicable.”).
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markets toward reliance on more sustainable benchmarks.

57

 Due to the cross-border nature of 

this effort and the size of the affected markets, the Commission believes it is a priority to engage 

with domestic and international regulators as it considers changes to the clearing requirement. 

As discussed further below, the Commission’s proposed clearing requirement determination is 

based upon this type of ongoing consultation and coordination among regulatory authorities and 

with market participants. 

A. Domestic Coordination Efforts

The Commission is committed to working with the FRB, FRBNY, Securities and 

Exchange Commission (SEC), and other domestic authorities to ensure transparency in its efforts 

and, to the greatest extent possible, consistency in the transition from IBORs to RFRs. To this 

end, the Commission consults with domestic authorities including the SEC, the FRB, and the 

FRBNY as part of this rulemaking process.

B. International Coordination Efforts

Section 752(a) of the Dodd-Frank Act directs the Commission to consult and coordinate 

with foreign regulatory authorities on the establishment of consistent international standards for 

the regulations of swaps.58 The Commission accomplished this with respect to the Second 

Determination by considering the ways in which it could harmonize its clearing requirement with 

clearing requirements in other jurisdictions.59 The Commission has long recognized the 

interconnectedness of the interest rate swap market, and the importance of consulting and 

 

57 See RFI, 86 FR at 66478-66482.

58 Section 752 is not codified in the CEA.

59 Second Determination, 81 FR at 71203. 
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coordinating with its counterparts in other jurisdictions in the adoption of clearing requirements

in order to promote regulatory consistency and certainty, and to prevent the evasion of clearing 

requirements.

60

 

As part of this rulemaking process, the Commission is working with its counterparts 

overseas to ensure a coordinated approach to required clearing of interest rate swaps during the 

move from use of swaps referencing IBORs to swaps referencing RFRs. In particular, as part of

the ongoing regulatory dialogue among authorities, Commission staff consulted with 

counterparts, including those at Bank of England, FCA, ESMA, Japanese Financial Services 

Agency (JFSA), Hong Kong Monetary Authority (HKMA), Australian Securities and 

Investments Commission (ASIC), and MAS. This type of dialogue reflects an effort to ensure 

consistency in interest rate swap clearing requirements across jurisdictions. 

C. Clearing Requirements in Other Jurisdictions

In developing this proposal, the Commission considered relevant changes to clearing 

requirements in other jurisdictions, with a view toward ensuring that any changes the 

Commission proposes are harmonized to the greatest extent possible with those adopted by its 

 

60 E.g., Second Determination, 81 FR at 71223 (noting that “the interest rate swaps market is global and market 

participants are interconnected”); First Determination, 77 FR at 74287 (“The Commission is mindful of the benefits 

of harmonizing its regulatory framework with that of its counterparts in foreign countries. The Commission has 

therefore monitored global advisory, legislative, and regulatory proposals, and has consulted with foreign regulators 

in developing the final regulations.”).
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international counterparts. This goal is consistent with the Commission’s approach in the 

Second Determination and the views of a significant number of respondents to the RFI. 

Table 3 below outlines the way in which regulators in other jurisdictions have revised, or 

proposed to revise, clearing requirements to account for the transition from IBORs to RFRs.

61

TABLE 3—CLEARING REQUIREMENTS IN OTHER JURISDICTIONS

Australia

(Proposed)

EU

(Final Regulatory 

Technical Standards –

EC to approve)

Japan

(Final)

UK

(Final)

USD To be determined 

(TBD).

SOFR – 7 days to 3

years

Not 

applicable 

(N/A).

TBD

GBP SONIA – 7 days to 

50 years

SONIA – 7 days to 50 

years

N/A SONIA – 7 days to 

50 years

EUR €STR – 7 days to 2 

years

€STR – 7 days to 3 

years

N/A €STR – 7 days to 3 

years

 

61 ASIC, Consultation Paper 353, “Proposed amendments to the ASIC Derivative Transaction Rules (Clearing) 

2015,” Dec. 2021, at 5, 14, available at https://download.asic.gov.au/media/mjknuhlh/cp-353-published-6-

december-2021.pdf; ESMA, Final Report, “On draft RTS on the clearing and derivative trading obligations in view 

of the benchmark transition to risk free rates,” Nov. 18, 2021, at 36-38, 63, available at 

https://www.esma.europa.eu/sites/default/files/library/esma70-156-

4953_final_report_on_the_co_and_dto_re_benchmark_transition.pdf; Bank of England, “Derivatives clearing 

obligation – modifications to reflect interest rate benchmark reform: Amendments to BTS 2015/2205,” May 20, 

2021, available at https://www.bankofengland.co.uk/paper/2021/derivatives-clearing-obligation-modifications-toreflect-interest-rate-benchmark-reform-amendments; Bank of England, “Derivatives clearing obligation –

modifications to reflect interest rate benchmark reform: Amendments to BTS 2015/2205,” Sept. 29, 2021, available 

at https://www.bankofengland.co.uk/paper/2021/derivatives-clearing-obligation-modifications-to-reflect-interestrate-benchmark-reform; Bank of England, “Derivatives clearing obligation – introduction of contracts referencing 

TONA: Amendment to BTS 2015/2205,” Dec. 3, 2021, available at 

https://www.bankofengland.co.uk/paper/2021/derivatives-clearing-obligation-introduction-of-contracts-referencingtona-ps; Bank of England, “Derivatives clearing obligation – introduction of contracts referencing TONA: 

Amendment to BTS 2015/2205,” Sept. 29, 2021, available at 

https://www.bankofengland.co.uk/paper/2021/derivatives-clearing-obligation-introduction-of-contracts-referencingtona.
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JPY TONA – 7 days to 

30 years

TBD TONA – 7 

days to 40 

years62

TONA – 7 days to 

30 years

IV. PROPOSED AMENDMENTS TO REGULATION 50.4(a)

As described above, the global swap marketplace has made tremendous progress toward 

completing the transition from reliance on swaps that reference LIBOR and other IBORs to 

clearing and trading swaps that reference RFRs. The Commission intends to facilitate this 

transition further by modifying its interest rate swap clearing requirement to reflect the cessation 

or loss of representativeness of certain IBORs, and the market adoption of RFRs. The 

Commission is grateful to market participants and others who took the time to respond to its RFI. 

As stated above, the Commission reviewed those responses carefully in formulating this 

proposal, and the Commission looks forward to further comment on this proposal.

A. Overview of the Proposed Regulation

The Commission is proposing to amend regulation 50.4(a) to remove all LIBOR and 

EUR EONIA swap clearing requirements, and add requirements to clear corresponding RFR 

swaps. While the IBOR swaps for which clearing requirements would be removed span all four 

classes of swaps currently required to be cleared—fixed-to-floating swaps, basis swaps, FRAs, 

and (in the case of EUR EONIA) OIS—the RFR swaps that the Commission proposes to add to 

the clearing requirement are all OIS. OIS are swaps where one leg is calculated based on a fixed 

rate and the other is calculated based on a daily overnight floating rate (i.e., the RFR). On the 

 

62 Although JFSA does not clearly prescribe a termination date range in its public notice regarding its JPY TONA 

clearing requirement, the requirement went into effect on December 6, 2021. JSCC rules provide for the clearing of 

JPY TONA OIS with a termination date range of 7 days to 40 years. JSCC, Interest Rate Swap Clearing Products: 

List of Cleared Products, available at https://www.jpx.co.jp/jscc/en/cash/irs/product.html.
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other hand, RFR-linked basis swaps are currently cleared, but the Commission is not proposing 

to add any new requirements to clear RFR-linked basis swaps at this time because they are used 

primarily to move out of IBOR swap positions and into RFR swap positions.

63

 By not proposing 

to add these interest rate swaps to the clearing requirement, the Commission believes that it is 

providing added flexibility for market participants. Commission staff will continue to monitor 

the use of RFR-linked basis swaps as the IBOR transition process moves forward. 

This proposal is the first rule change that the Commission is proposing to facilitate the 

transition from IBORs to RFRs for purposes of the clearing requirement. But in many ways, the 

proposal is an update rather than expansion of the existing clearing requirement. In effect, the 

Commission’s proposal would replace the requirement to clear IBOR swaps in a number of 

different classes with a requirement to clear RFR OIS because the IBOR swaps have become 

unavailable and liquidity has shifted into RFR OIS. 

As discussed further below, the Commission is proposing that these amendments to part 

50 to require clearing for certain RFR OIS would become effective 30 days after publication of 

the final rule in the Federal Register. The Commission is proposing to remove existing IBOR 

swap clearing requirements from regulation 50.4 in two stages. The Commission proposes to 

remove requirements to clear (i) non-USD LIBOR and EUR EONIA swaps, 30 days after the 

publication of the final rule in the Federal Register; and (ii) USD LIBOR and SGD SOR-VWAP 

swaps, effective July 1, 2023. There remains outstanding USD LIBOR swaps activity, and a 

 

63 RFR-linked basis swaps offered for clearing are generally RFR-IBOR basis swaps. See ACLI Letter (“We also do 

not believe that SOFR-LIBOR basis swaps should be added to the clearing requirement due to low liquidity and 

limitations on electronic execution. We expect SOFR-LIBOR basis swaps to require bilateral OTC treatment for 

their limited and dwindling use cases.”); ISDA Letter (“Due to low liquidity, we think SOFR-LIBOR basis swaps 

should not be subject to mandatory clearing.”). 
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number of respondents to the RFI requested that the Commission retain its USD LIBOR swap 

clearing requirement until such time as that rate is unavailable.

64

Specifically, the Commission is proposing to amend regulation 50.4(a) as follows:

i. Effective 30 days after publication of the final rule in the Federal Register:

a. Remove swaps denominated in GBP, CHF, and JPY that reference LIBOR as a 

floating rate index from each of the fixed-to-floating swap, basis swap, and FRA 

classes, as applicable.

b. Remove swaps denominated in EUR that reference EONIA as a floating rate 

index from the OIS class.

c. Add to the OIS class:

i. Swaps denominated in USD that reference SOFR as a floating rate index 

with a stated termination date range of 7 days to 50 years,

ii. Swaps denominated in EUR that reference €STR as a floating rate index 

with a stated termination date range of 7 days to 3 years,

iii. Swaps denominated in CHF that reference SARON as a floating rate index 

with a stated termination date range of 7 days to 30 years,

iv. Swaps denominated in JPY that reference TONA as a floating rate index 

with a stated termination date range of 7 days to 30 years, and

v. Swaps denominated in SGD that reference SORA as a floating rate index 

with a stated termination date range of 7 days to 10 years.

 

64 See additional discussion of RFI responses below.
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d. Change the maximum stated termination date range for swaps denominated in 

GBP that reference SONIA as a floating rate index in the OIS class to 50 years, 

for a new stated termination date range of 7 days to 50 years.

ii. Effective July 1, 2023:

a. 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.

b. Remove swaps denominated in SGD that reference SOR-VWAP as a floating rate 

index from the fixed-to-floating swap class.

These proposed amendments to regulation 50.4(a) are shown below in tabular form for 

illustrative purposes. Text that the Commission proposes to remove is stricken through; text that 

the Commission proposes to add is bolded. This table shows how regulation 50.4(a) would be 

amended as of 30 days after publication of the final rule in the Federal Register.

§ 50.4 Classes of swaps required to be cleared.

(a) Interest rate swaps. Swaps that have the following specifications are required to be cleared 

under section 2(h)(1) of the Act, and shall be cleared pursuant to the rules of any derivatives 

clearing organization eligible to clear such swaps under § 39.5(a) of this chapter.

Table 1 a

Specification

Fixed-tofloating 

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 TIIEBANXICO NIBOR.
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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.

Table 1 b

Specification

Fixed-tofloating 

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 SORVWAP 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.
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5. Dual 

Currencies No No No No No No. No.

6. Conditional 

Notional 

Amounts

No No No No No No. No.

Table 2

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.

Table 3 Forward 

rate 
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Specification agreement 

class

1. Currency Euro (EUR)

Polish 

Zloty 

(PLN)

Norwegian 

Krone 

(NOK)

Swedish 

Krona 

(SEK)

Sterling 

(GBP)

U.S. 

Dollar 

(USD).

Yen 

(JPY).

2. Floating 

Rate Indexes EURIBOR WIBOR NIBOR STIBOR LIBOR LIBOR. LIBOR.

3. Stated 

Termination 

Date Range

3 days to 3 

years

3 days to 

2 years

3 days to 2 

years

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 No No. No.

5. Dual 

Currencies No No No No No No. No.

6. Conditional 

Notional 

Amounts

No No No No No No. No.

Table 4

Specification

Overnight 

index 

swap 

class

1. Currency

Australian 

Dollar 

(AUD)

Canadian 

Dollar 

(CAD)

Euro (EUR)

Singapore 

Dollar 

(SGD)

Sterling 

(GBP)

Swiss 

Franc 

(CHF)

U.S. 

Dollar 

(USD).

U.S. 

Dollar 

(USD)

Yen 

(JPY).
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2. Floating 

Rate Indexes

AONIAOISCORRAOIS €STREONIA SORA SONIA SARON FedFunds. SOFR TONA.

3. Stated 

Termination 

Date Range

7 days to 

2 years

7 days to 

2 years

7 days to 3 

years

7 days to 

10 years

7 days 

to 503

years

7 days 

to 30 

years

7 days to 

3 years.

7 days 

to 50 

years

7 days 

to 30 

years.

4. 

Optionality No No No No No No No. No No.

5. Dual 

Currencies No No No No No No No. No No.

6. 

Conditional 

Notional 

Amounts

No No No No No No No. No No.

The table below shows how regulation 50.4(a) would be further amended effective July 

1, 2023:

§ 50.4 Classes of swaps required to be cleared.

(a) Interest rate swaps. Swaps that have the following specifications are required to be cleared 

under section 2(h)(1) of the Act, and shall be cleared pursuant to the rules of any derivatives 

clearing organization eligible to clear such swaps under § 39.5(a) of this chapter.

Table 1 a

Specification

Fixed-tofloating 

swap class

1. Currency

Australian 

Dollar 

(AUD)

Canadian 

Dollar 

(CAD)

Euro 

(EUR)

Hong 

Kong 

Mexican 

Peso 

(MXN)

Norwegian 

Krone 

(NOK).
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Dollar 

(HKD)

2. Floating 

Rate Indexes BBSW CDOR EURIBOR HIBOR TIIEBANXICO 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.

Table 1 b

Specification

Fixed-to-floating 

swap class

1. Currency Polish Zloty 

(PLN)

Singapore Dollar 

(SGD)

Swedish Krona 

(SEK).

U.S. Dollar 

(USD).

2. Floating Rate 

Indexes WIBOR SOR-VWAP STIBOR. LIBOR.

3. Stated Termination 

Date Range

28 days to 10 

years

28 days to 10 

years

28 days to 15 

years.

28 days to 50 

years.
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4. Optionality No No No. No.

5. Dual Currencies No No No. No.

6. Conditional 

Notional Amounts No No No. No.

Table 2

Specification

Basis swap class

1. Currency Australian Dollar 

(AUD) Euro (EUR).

U.S. Dollar 

(USD).

2. Floating Rate Indexes BBSW EURIBOR. LIBOR.

3. Stated Termination Date 

Range 28 days to 30 years 28 days to 50 years.

28 days to 50 

years.

4. Optionality No No. No.

5. Dual Currencies No No. No.

6. Conditional Notional 

Amounts No No. No.

Table 3

Specification

Forward rate 

agreement class
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1. Currency Euro (EUR)

Polish 

Zloty 

(PLN)

Norwegian 

Krone (NOK)

Swedish 

Krona 

(SEK).

U.S. Dollar 

(USD).

2. Floating Rate 

Indexes EURIBOR WIBOR NIBOR STIBOR. LIBOR.

3. Stated 

Termination Date 

Range

3 days to 3 

years

3 days to 2 

years

3 days to 2 

years

3 days to 3 

years.

3 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.

Table 4

Specification

Overnight 

index 

swap 

class

1. Currency

Australian 

Dollar 

(AUD)

Canadian 

Dollar 

(CAD)

Euro 

(EUR)

Singapore 

Dollar 

(SGD)

Sterling 

(GBP)

Swiss 

Franc 

(CHF)

U.S. 

Dollar 

(USD)

U.S. 

Dollar 

(USD)

Yen 

(JPY).

2. Floating 

Rate Indexes

AONIAOISCORRAOIS €STR SORA SONIA SARON FedFunds SOFR TONA.
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3. Stated 

Termination 

Date Range

7 days to 

2 years

7 days to 

2 years

7 days 

to 3 

years

7 days to 

10 years

7 days 

to 50 

years

7 days 

to 30 

years

7 days to 

3 years

7 days 

to 50 

years.

7 days 

to 30 

years.

4. 

Optionality No No No No No No No No No.

5. Dual 

Currencies No No No No No No No No No.

6. 

Conditional 

Notional 

Amounts

No No No No No No No No No.

The Commission observes that it is the only authority to require CHF LIBOR swaps be 

submitted to clearing. In 2016, the CFTC was aware that the Swiss Financial Market 

Supervisory Authority (FINMA) was considering adopting a clearing requirement for swaps 

referencing CHF LIBOR, and sought public comment on the matter prior to adopting a final rule 

that included CHF LIBOR swaps.65 After the CFTC’s final rule went into effect, FINMA did not 

adopt a clearing requirement for CHF LIBOR, and no other jurisdictions adopted such a clearing 

requirement. As this time, FINMA has not yet implemented mandatory clearing for CHF 

SARON OIS. 

Similarly, while MAS did not require clearing of SGD SOR-VWAP swaps with a 

termination date range of 28 days to 10 years, until October 2018, the Commission was aware of 

 

65 Clearing Requirement Determination Under Section 2(h) of the CEA for Interest Rate Swaps, 81 FR 39506, 

39508 (June 16, 2016); Second Determination, 81 FR at 71205.
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this expected action, and took it into account when adopting a clearing requirement for SGD 

SOR-VWAP swaps in 2016.66 At this time, MAS has not yet implemented mandatory clearing 

for SGD SORA OIS. 

The Commission observes that clearing rates for CHF SARON OIS and SGD SORA OIS 

are already high. As Table 6 below illustrates, the Commission estimates that more than 98% of 

notional transacted in these rates in each of November 2021, December 2021, and January 2022, 

was cleared.67 Furthermore, the Commission estimates that, as of January 28, 2022, there was 

$1,730 billion in outstanding notional in CHF SARON OIS, whereas there was $686 billion in 

outstanding notional in CHF LIBOR fixed-to-floating swaps.68 Similarly, the Commission 

estimates that, as of January 28, 2022, there was $449 billion in outstanding notional in SGD 

SORA OIS, and $307 billion in outstanding notional in SGD SOR-VWAP fixed-to-floating 

swaps.69 

Based on this data, it would appear that roughly half of the CHF market remains in 

LIBOR, and that, while SGD SOR-VWAP is expected to continue until June 30, 2023, the 

transition to SGD SORA is well underway. Data presented in tables 4 and 5 below further 

illustrate that the CHF LIBOR and SGD SOR-VWAP swap markets have rapidly diminished as 

 

66 Second Determination, 81 FR at 71205; MAS, MAS Requires OTC Derivatives to be Centrally Cleared to 

Mitigate Systemic Risk, May 2, 2018, available at https://www.mas.gov.sg/news/media-releases/2018/mas-requiresotc-derivatives-to-be-centrally-cleared-to-mitigate-systemic-risk; MAS, Response to Feedback Received: Draft 

Regulations for Mandatory Clearing of Derivatives Contracts, May 2, 2018, at 4, available at 

https://www.mas.gov.sg/-/media/MAS/News-and-Publications/Consultation-Papers/2018-May-02-Response-toconsultation-on-draft-regs-on-mandatory-clearing-of-derivatives/Response-to-Feedback-on-Draft-Regulations-forMandatory-Clearing-of-Derivatives-Contracts.pdf. 

67 The data in Table 6 is based on the Commission’s weekly swaps report data. 

68 These outstanding notional figures are based on data for swaps that have been cleared at CME, LCH, or Eurex and 

reported to the CFTC under part 39 of the Commission’s regulations. Commission staff compiled, processed, and 

reviewed the data presented in this proposal. 

69 Id.
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markets shift to swaps referencing RFRs. The Commission estimates that, in January 2022, there 

were no CHF LIBOR fixed-to-floating swap transactions, and 69 SGD SOR-VWAP fixed-tofloating swap transactions (comprising $5 billion notional). The Commission also estimates that, 

in January 2022, there were 2,283 CHF SARON OIS transactions (comprising $130 billion 

notional) and 3,794 SGD SORA OIS transactions (comprising $119 billion notional).

Request for Comment

The Commission requests comment on the proposed modifications to regulation 50.4(a), 

including the adoption of clearing requirements for CHF SARON OIS and SGD SORA OIS.

B. Modifications to the Existing Clearing Requirements

1. Swaps No Longer Offered for Clearing.

In addition to adding certain RFR OIS to the clearing requirement, this proposal would 

modify the existing clearing requirement to reflect the cessation or loss of representativeness of 

certain IBOR swaps. Currently, all LIBOR settings with the exception of overnight, 1-month, 3-

month, 6-month, and 12-month USD LIBOR, and EUR EONIA, have ceased or become 

nonrepresentative. As explained above, CME, LCH, and Eurex have converted cleared EUR 

EONIA and non-USD LIBOR swaps into RFR OIS, and with limited exceptions, swaps 

referencing GBP, CHF, and JPY LIBOR, as well as EUR EONIA, are no longer offered for 

clearing.70 As discussed above, regulators in the United States and other jurisdictions have 

called on market participants to transfer their swap positions from IBORs to RFRs, with 

corresponding liquidity shifting, and continuing to shift, from swaps referencing these IBORs to 

swaps referencing RFRs. Therefore, the Commission has preliminarily determined to update the 

 

70 While clearing services generally are no longer available for EUR LIBOR swaps, swaps referencing EUR LIBOR 

are not subject to required clearing under regulation 50.4(a).
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clearing requirement for interest rate swaps where such IBOR swaps are no longer offered for 

clearing and have been replaced by RFR OIS.

2. Swaps Affected by Future IBOR Unavailability.

By contrast, remaining USD LIBOR settings, as well as SGD SOR-VWAP settings, are 

not expected to cease or become nonrepresentative until after June 30, 2023. For this reason, the 

Commission proposes not to remove the clearing requirement for swaps referencing USD 

LIBOR and SGD SOR-VWAP, which relies on USD LIBOR as an input, until July 1, 2023. 

Because interest rate swaps referencing USD LIBOR and SGD SOR-VWAP are offered for 

clearing currently, and there are still outstanding notional exposures and trading activity in these 

swaps, the Commission believes that these swaps should remain subject to the clearing 

requirement. The remaining USD LIBOR settings are expected to cease or become 

nonrepresentative after June 30, 2023, and the Commission anticipates that there will be no new 

interest rate swaps referencing USD LIBOR on or after July 1, 2023. The Commission will 

continue to monitor the use of interest rate swaps referencing USD LIBOR and SGD SORVWAP as the IBOR transition process moves forward.

In anticipation of this USD LIBOR end date, the Commission anticipates that DCOs will 

continue to conduct conversion events to replace all outstanding USD LIBOR swaps with USD 

SOFR OIS, and will cease offering clearing services for USD LIBOR swaps. Until that time,

however, the Commission proposes to maintain the clearing requirement for USD LIBOR swaps,

and SGD SOR-VWAP swaps, until those rates cease publication. 

This decision would be consistent with the fact that Bank of England has not yet 

proposed a clearing requirement for USD SOFR swaps and has left its USD LIBOR swap 
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clearing obligation in place.

71 By contrast, ESMA adopted regulatory technical standards that, 

subject to European Commission approval, will remove ESMA’s current USD LIBOR clearing 

requirements and add a requirement to clear USD SOFR OIS (7 days to 3 years).72 While a 

number of respondents to the RFI expressed a desire for the Commission to harmonize its 

clearing requirement with clearing obligations in other jurisdictions, including the EU,73 several 

respondents specifically called for the Commission to maintain its USD LIBOR clearing 

requirement until such time as that rate is unavailable.74 Maintaining the clearing requirement 

 

71 Bank of England, “Derivatives clearing obligation – modifications to reflect interest rate benchmark reform: 

Amendments to BTS 2015/2205,” Sept. 29, 2021, available at 

https://www.bankofengland.co.uk/paper/2021/derivatives-clearing-obligation-modifications-to-reflect-interest-ratebenchmark-reform.

72 ESMA, Final Report, “On draft RTS on the clearing and derivative trading obligations in view of the benchmark 

transition to risk free rates,” Nov. 18, 2021, at 36-38, 63, available at 

https://www.esma.europa.eu/sites/default/files/library/esma70-156-

4953_final_report_on_the_co_and_dto_re_benchmark_transition.pdf. In choosing to replace its USD LIBOR swap 

clearing requirement with a USD SOFR OIS clearing requirement, ESMA stated, “ESMA believes it is important to 

be consistent for the [clearing obligation] with the communication made by ESMA and other EU authorities, as well 

as the communications made by several other authorities in other jurisdictions and at the international level who 

expect entities to stop referencing LIBOR (including USD LIBOR) by the end of the year. If ESMA and other 

regulators[’

]

expectations are fulfilled, there should no longer be material liquidity in OTC interest rate derivatives 

referencing USD LIBOR from the start of next year. Therefore, the liquidity criteria of the [European Market 

Infrastructure Regulation] procedure would no longer be met at the end of the year. Following from this, ESMA is 

proposing to remove the USD LIBOR classes from the clearing obligation and the RTS has been modified 

accordingly.” Id. at 31. However, as shown in tables 4 and 5 below, there continues to be trading activity in USD 

LIBOR swaps.

73 E.g., TD Bank Letter (suggesting that the Commission’s clearing requirement “may be updated to reflect those of 

UK and EU”); ISDA Letter (“The market needs global conformity with respect to mandated clearing as much as 

possible.”); ACLI Letter (“ESMA has issued its Final Report on Draft RTS on the Clearing and Derivative Trading 

Obligations in View of the Benchmark Transition to Risk Free Rates, which includes a recommendation to remove 

classes of swaps referencing EONIA (EUR) and LIBOR (GBP, JPY and USD) from its clearing obligation. We 

encourage the Commission similarly to remove classes of swaps referencing IBORs – including USD-LIBOR –

from the clearing requirement.”); Eurex Letter (“Eurex Clearing notes that it previously responded to [ESMA’s] 

request for comment . . . and strongly encourages continued cooperation among the Commission, ESMA, and other 

regulators to facilitate international cooperation and global convergence in the transition to the RFRs to the extent 

possible. ... Eurex Clearing believes the Commission and ESMA should coordinate their decision on a prospective 

removal of the USD LIBOR from the clearing obligation and implementation of a clearing obligation on SOFR 

OIS.”).

74 E.g., AIMA Letter (“The RFI notes that the U.K. Financial Conduct Authority has determined that USD LIBOR 

in the overnight and 12-month tenors will cease after June 30, 2023, and that USD LIBOR in 1-month, 3- month and 
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for USD LIBOR swaps, and SGD SOR-VWAP swaps, until those rates cease publication would 

reflect both international coordination and input from responses to the RFI. 

Request for Comment

The Commission requests comment regarding implementing changes to the existing

interest rate swap clearing requirement, including when to remove the USD LIBOR and SGD 

SOR-VWAP swap clearing requirements. 

V. PROPOSED DETERMINATION ANALYSIS FOR RFR OIS 

The Commission is proposing to modify its interest rate swap clearing requirement to 

include OIS referencing RFRs by adopting a new clearing requirement determination. The 

Commission has completed a review of the current RFR OIS offered for clearing and is prepared 

to consider the specific statutory factors required to make a new clearing requirement 

determination. 

A. General Description of Information Considered

CME, LCH, and Eurex provided the Commission with regulation 39.5(b) submissions 

relating to RFR OIS.

75

 In addition to the DCOs’ submissions, the Commission looks to the 

ability of each DCO to clear RFR OIS, DCO swap data, swap data repository (SDR) data,

 

6-month tenors will not be representative after that date. Until such time, we believe the Commission should 

maintain its clearing requirement for USD LIBOR as it continues to monitor the developments associated with 

LIBOR’s cessation.”) (footnote omitted); Citadel Letter (“While we support updating the clearing requirement to 

include certain OTC derivatives referencing SOFR, it remains premature to remove the clearing requirement for 

OTC derivatives referencing USD LIBOR. This is because material volumes continue to be executed in USD 

LIBOR swaps that are currently subject to the clearing requirement, particularly in the dealer-to-customer segment 

of the market.”); MFA Letter (“Since trading activity continues to occur in USD LIBOR swaps as well, USD 

LIBOR should not be removed from the Swap Clearing Requirement until such time as the rate is not available 

(either because the rate is permanently discontinued or is deemed non-representative as of its cessation date).”).

75 Regulation 39.5(b) submissions from DCOs are available on the Commission’s website, www.cftc.gov, under 

DCO Swaps Submissions. 
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publicly available data, the rule frameworks and risk management policies of each DCO, and 

information provided in response to the RFI. 

This proposed clearing requirement determination is distinguishable from prior 

determinations insofar as it responds to a public and private sector, consensus-driven market 

event that has resulted, or will result, in liquidity shifting to new benchmark rates from rates that 

have become, or will soon become, unavailable. In that sense, central clearing in the RFR OIS 

markets, which rely on benchmark rates that are less susceptible to manipulation, may offer

unique benefits that prior interest rate swap market clearing did not.76 As a result of this, and in 

light of the quick pace of market adoption along with DCOs’ willingness to provide clearing for 

a wide variety of RFR swaps, the Commission believes the RFR swap markets are prepared for 

this clearing requirement determination proposal. 

B. Consistency with DCO Core Principles

Section 2(h)(2)(D)(i) of the CEA requires the Commission to determine whether a 

clearing requirement determination would be consistent with core principles for DCOs set forth 

in section 5b(c)(2) of the CEA.

77

 CME, LCH, and Eurex are registered DCOs, and currently 

clear the RFR OIS identified in Table 2 above. CME, LCH, and Eurex are required to comply 

with the DCO core principles (and applicable Commission regulations) with respect to the RFR

OIS being considered by the Commission as part of this proposed determination, and are subject 

to the Commission’s DCO examination and risk surveillance programs. 

 

76 A discussion of the costs and benefits of this proposed rulemaking appears below.

77 7 U.S.C. 2(h)(2)(D)(i). The core principles address numerous issues, including financial resources, participant 

and product eligibility, risk management, settlement procedures, default management, system safeguards, reporting, 

recordkeeping, public information, and legal risk, among other subjects. 7 U.S.C. 7a-1(c)(2). The Commission 

implemented the core principles through regulations that are applicable to registered DCOs. 17 CFR part 39.
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The Commission believes that CME, LCH, and Eurex will be able to maintain 

compliance with the DCO core principles and applicable Commission regulations if the 

Commission adopts a clearing requirement determination for the RFR OIS. For the reasons 

discussed below, the Commission has preliminarily determined that subjecting any of the RFR 

OIS identified in this proposal to a clearing requirement is unlikely to impair CME’s, LCH’s, or 

Eurex’s ability to comply with the DCO core principles, along with applicable Commission 

regulations. Moreover, in their responses to the RFI, each DCO stated that requiring clearing of 

USD SOFR or other RFR OIS would not negatively affect their ability to comply with the DCO 

core principles and applicable Commission regulations.

78

 

While exempt DCOs are not subject to the DCO core principles per se, the Commission 

determined that each was subject to comparable, comprehensive supervision and regulation by 

its home country regulator before granting such DCOs an exemption from registration, as 

required by the CEA.79 With regard to the two exempt DCOs that offer RFR OIS for clearing,

 

78 CMEG Letter (“CME Clearing currently offers clearing for swaps referencing SOFR and other alternative 

reference rates that are not currently subject to the Clearing Requirement . . .. CME Group considers that should 

such swaps become subject to the Clearing Requirement this would not have any impact on CME Clearing’s ability 

to comply with the relevant core principles for DCOs”); LSEG Letter (“Provided that each DCO remains in control 

of setting its product eligibility criteria, the ability to comply with the core principles . . . would not be affected by 

the implementation of a clearing requirement for SOFR or any other relevant alternative reference rate”); and Eurex 

Letter (“Requiring the clearing of swaps referencing SOFR or other RFRs that are not currently subject to the 

Clearing Requirement will not affect Eurex Clearing’s ability to comply with the CEA’s core principles for 

DCOs.”). 

79 The Commission may exempt a DCO from registration if it determines that the DCO is subject to comparable, 

comprehensive supervision by appropriate government authorities in its home country. The Commission 

determined that JSCC demonstrated compliance with the requirements of the CEA for which it must comply in order 

to be eligible for an exemption from registration as a DCO. JSCC Order of Exemption from Registration, Oct. 26, 

2015, at 1, available at http://www.cftc.gov/idc/groups/public/@otherif/documents/ifdocs/jsccdcoexemptorder10-26-

15.pdf; JSCC Amended Order of Exemption from Registration, May 15, 2017, at 1, available at 

https://www.cftc.gov/sites/default/files/idc/groups/public/@otherif/documents/ifdocs/jsccdcoexemptamdorder5-15-

17.pdf. Likewise, HKEX is an exempt DCO that the Commission determined has demonstrated compliance with the 

requirements of the CEA. OTC Clearing Hong Kong Limited Order of Exemption from Registration, Dec. 21, 

2015, at 1, available at 
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namely, JSCC and HKEX, the Commission believes that both DCOs will continue to comply

with their home country law and regulations if the Commission adopts a clearing requirement 

determination for the RFR OIS.

80

Request for Comment

The Commission requests comment as to whether the proposed determination would 

adversely affect any DCO’s ability to comply with the DCO core principles.

C. Consideration of the Five Statutory Factors 

Set forth below is the Commission’s consideration of the five factors set forth in section 

2(h)(2)(D)(ii) of the CEA as they relate to OIS (i) denominated in USD and referencing SOFR;

(ii) denominated in GBP and referencing SONIA; (iii) denominated in CHF and referencing 

SARON; (iv) denominated in JPY and referencing TONA; (v) denominated in EUR and 

referencing €STR; and (vi) denominated in SGD and referencing SORA.81

1. Factor (I)—Outstanding notional exposures and trading liquidity.

Liquidity has shifted, and continues to shift, from swaps referencing IBORs to swaps 

referencing RFRs. The first of the five factors under section 2(h)(2)(D)(ii) of the CEA requires 

the Commission to consider “the existence of significant outstanding notional exposures, trading 

liquidity, and adequate pricing data” related to “a submission made [by a DCO].”82 The 

 

https://www.cftc.gov/sites/default/files/idc/groups/public/@otherif/documents/ifdocs/otccleardcoexemptorder12-21-

15.pdf. See also section V.C. for additional information regarding maintaining status as an exempt DCO.

80 JSCC Letter (“Including JPY TONA OIS in the CFTC’s Clearing Requirement would not affect the ability of 

DCOs to comply with the CEA or the relevant legal and regulatory regime in any other jurisdiction.”).

81 The Commission is conducting this analysis only with respect to the swaps that would be added to the clearing 

requirement under this proposed determination. Modifications to the clearing requirement, such as removing swaps 

that are no longer offered for clearing from Commission regulation 50.4, are not considered in this analysis.

82 7 U.S.C. 2(h)(2)(D)(ii).
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Commission reviewed data from multiple sources, including but not limited to data from SDRs, 

data from DCOs, and other, publicly available data (e.g., data published by ISDA). For purposes 

of this proposed rulemaking, the Commission principally presents notional and liquidity 

information based on the Commission’s own collected data. 

a. Outstanding notional exposures and trading liquidity

In assessing outstanding notional exposures and trading liquidity for a swap, the 

Commission reviews data to determine whether there is an active market for the swap, including 

whether there is a measurable amount of notional exposure and whether the swap is traded 

regularly as reflected by trade count, such that a DCO can adequately risk manage the swap. The

data indicates that there is sufficient outstanding notional exposure and trading liquidity in RFR 

OIS to support a clearing requirement determination. Specifically, the data presented below 

generally demonstrates that there is significant activity in new USD SOFR, GBP SONIA, EUR 

€STR, CHF SARON, JPY TONA, and SGD SORA OIS trading. The Commission compiled the 

data used in tables 4-7 below from transaction data collected under part 45 of the Commission’s 

regulations.83

In Table 4 below, the Commission provides estimates of notional transacted by month for 

various categories of RFR OIS, and IBOR fixed-to-floating and basis swaps, for the period 

beginning November 1, 2021 and ending January 31, 2022. The data in Table 4 generally 

 

83 The data presented in these tables is the same as the data used to create the Commission’s weekly swaps report. 

This data represents only those swaps that are reported to the CFTC’s registered SDRs by swap market participants. 

The Commission’s weekly swaps report currently incorporates data from three SDRs (CME Group SDR, DTCC

Data Repository, and ICE Trade Vault). The raw SDR data has been filtered to represent, as accurately as possible, 

the market-facing trades that occur and excludes certain inter-affiliate transactions. For more information about the 

data components in the weekly swaps report, please visit the CFTC’s webpage available at: 

https://www.cftc.gov/MarketReports/SwapsReports/index.htm. 
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indicates significant, and relatively steady or increasing, amounts of notional transacted in RFR 

OIS from November 2021 through January 2022. The data also illustrates that there was 

comparatively little notional transacted during the same time period in fixed-to-floating swaps 

referencing IBORs that ceased or became nonrepresentative in December 2021 and January 

2022. 

The Commission notes, however, that significant amounts of notional were transacted in 

USD LIBOR fixed-to-floating swaps, and that while notional traded per month in USD SOFR 

OIS nearly doubled between December 2021 and January 2022, the amount of such notional 

transacted in January 2022 was still less than half that of the amount of notional transacted 

during the same month in USD LIBOR fixed-to-floating swaps.84 Thus, it appears that while the 

transition of liquidity from USD LIBOR fixed-to-floating swaps to USD SOFR OIS is well 

underway, it is not yet complete.

TABLE 4—ESTIMATED NOTIONAL TRANSACTED (USD BILLIONS)

85

Product November 2021 December 2021 January 2022

USD SOFR OIS $2,384 $2,011 $3,918

USD LIBOR Fixedto-Floating Swaps6,674 4,409 9,598

 

84 Table 4 shows notional volume in USD LIBOR more than doubling from December 2021 to January 2022, but 

Table 5 below shows only a slight increase in trade count, suggesting the average trade size doubled in USD LIBOR 

but actually fell slightly in USD SOFR.

85 The data in Table 4 is based on the Commission’s weekly swaps report data. In this table, a notional figure of $0 

billion indicates that the notional transacted during a given time period was less than $1 billion.
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USD LIBOR-LIBOR 

Basis Swaps

1,049 602 292

EUR €STR OIS 3,394 2,022 3,488

EUR EONIA OIS 2 8 0

CHF SARON OIS 208 108 130

CHF LIBOR Fixedto-Floating Swaps62 0 0

GBP SONIA OIS 5,852 3,151 4,149

GBP LIBOR Fixedto-Floating Swaps340 205 2

JPY TONA OIS 425 360 377

JPY LIBOR Fixedto-Floating Swaps45 15 0

SGD SORA OIS 74 41 119

SGD SOR Fixed-toFloating Swaps8 3 5

Table 5 below provides estimates of trade counts for the same categories of RFR and 

IBOR swaps during the same three-month period. The data in Table 5 indicates that, with regard 

to RFR OIS, monthly trade count generally increased or was relatively steady between 

November 2021 and January 2022, with an especially pronounced increase in the number of 

USD SOFR OIS transactions. Conversely, trade counts for swaps referencing IBORs that ceased 

or became nonrepresentative in December 2021 and January 2022 dropped off precipitously by 
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January 2022. While there were still a significant number of USD LIBOR fixed-to-floating swap 

transactions during the three-month period that Table 5 measures, the monthly trade count for 

such transactions declined significantly during that period. 

TABLE 5—ESTIMATED TRADE COUNT86

Product November 2021 December 2021 January 2022

USD SOFR OIS 18,484 19,110 41,728

USD LIBOR Fixedto-Floating Swaps48,245 29,309 30,749

USD LIBOR-LIBOR 

Basis Swaps

1,025 831 329

EUR €STR OIS 8,415 5,420 8,962

EUR EONIA OIS 7 1 0

CHF SARON OIS 2,698 1,574 2,283

CHF LIBOR Fixedto-Floating Swaps390 19 0

GBP SONIA OIS 24,275 12,913 17,654

GBP LIBOR Fixedto-Floating Swaps2,061 1,286 12

JPY TONA OIS 5,311 4,639 5,141

JPY LIBOR Fixedto-Floating Swaps577 69 9

 

86 The data in Table 5 is based on the Commission’s weekly swaps report data.
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SGD SORA OIS 2,422 1,846 3,794

SGD SOR Fixed-toFloating Swaps197 94 69

Table 6 below presents estimates of the percentage of notional cleared for the RFR OIS 

subject to this proposed determination, based on notional transacted by month during the period 

beginning November 1, 2021 and ending January 31, 2022. The data in Table 6 illustrates that, 

with respect to the RFR OIS, significant amounts of notional are already being cleared 

voluntarily. The proportion of notional transacted each month from November 2021 through 

January 2022 that was cleared was consistently high—approaching 100%—with regard to OIS 

referencing each of USD SOFR, GBP SONIA, EUR €STR, CHF SARON, JPY TONA, and 

SGD SORA. 

TABLE 6—ESTIMATED PERCENTAGE OF NOTIONAL CLEARED (BASED ON NOTIONAL 

TRANSACTED BY MONTH)

87

OIS Percentage 

Notional Cleared –

November 2021

Percentage 

Notional Cleared –

December 2021

Percentage Notional 

Cleared – January 2022

USD SOFR 96.3% 94.9% 95.1%

GBP SONIA 98.8% 98.7% 97.8%

EUR €STR 99.0% 99.2% 97.6%

CHF SARON 99.6% 98.1% 99.2%

 

87 The data in Table 6 is based on the Commission’s weekly swaps report data.
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JPY TONA 96.6% 98.7% 98.0%

SGD SORA 98.2% 98.6% 98.7%

Table 7 below presents a breakdown of notional transacted and trade count for the period 

beginning January 1, 2022 and ending January 31, 2022, by tenor, for the relevant RFR OIS. 

Table 7 illustrates that RFR OIS are being cleared across a wide range of maturities. By notional 

and trade count, most clearing activity occurs in RFR OIS dated between 6 months and 15 years. 

However, the Commission notes that with respect to USD SOFR and GBP SONIA OIS in 

particular, there is also significant clearing activity in swaps dated 15 years or greater.

TABLE 7—ESTIMATED CLEARED NOTIONAL AND TRADE COUNT BY TENOR (JANUARY 

2022 TRANSACTION DATA)

88

OIS Tenor Notional Cleared 

(USD Billions)

Trade Count

USD SOFR 7 days-3 months $199 213

3-6 months 210 296

6 months-1 year 191 498

1-5 years 1,328 8,841

5-15 years 1,559 22,230

>15 years 234 7,589

 

88 The data in Table 7 is based on the Commission’s weekly swaps report data. Tenor length is approximate. In 

Table 7, a notional figure of $0 billion USD indicates that the notional transacted during a given time period was 

less than $1 billion.
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GBP SONIA 7 days-3 months 778 434

3-6 months 1,136 470

6 months-1 year 673 357

1-5 years 846 5,016

5-15 years 503 7,570

>15 years 124 3,351

EUR €STR 7 days -3 months 336 210

3-6 months 302 226

6 months-1 year 1,295 642

1-5 years 1,110 3,365

5-15 years 329 3,487

>15 years 32 865

CHF SARON 7 days -3 months 7 11

3-6 months 16 26

6 months-1 year 6 12

1-5 years 56 625

5-15 years 42 1,447

>15 year 2 135

JPY TONA 7 days -3 months 12 10

3-6 months 20 20

6 months-1 year 15 30

1-5 years 122 718
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5-15 years 164 2,801

>15 years 36 1,455

SGD SORA 7 days -3 months 2 10

3-6 months 2 12

6 months-1 year 16 122

1-5 years 69 1,480

5-15 years 29 2,114

>15 years 0 8

In addition to this transaction-level data, Table 8 below presents open swaps data 

illustrating outstanding notional in the RFR OIS subject to this proposed determination.

TABLE 8—OUTSTANDING NOTIONAL AS OF JANUARY 28, 202289

OIS Outstanding Notional (USD Billions)

USD SOFR $8,558

GBP SONIA 23,363

EUR €STR 10,496

CHF SARON 1,730

JPY TONA 4,256

SGD SORA 449

 

89 The data in Table 8 represents swaps that have been cleared at CME, LCH, or Eurex and reported to the CFTC 

under part 39 of the Commission’s regulations.
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Finally, to demonstrate that clearing has expanded beyond the short-dated maturities for 

USD SOFR fixed-to-floating swaps, in particular, the data in Table 9 below reflects the total 

volumes of cleared outstanding notional swaps by tenor. The Commission has preliminarily 

determined that the data collectively indicates sufficient outstanding notional exposures and 

regular trading activity in RFR OIS for purposes of demonstrating the liquidity necessary for 

DCOs to risk manage these products and to support a proposed clearing requirement. The 

Commission anticipates that RFR OIS notional exposures and trading activity will increase over 

time as markets continue to adopt RFR OIS in place of swaps referencing IBORs that have, or 

will by mid-2023, become unavailable. In addition to the extensive data presented and analyzed 

in this proposal, and as discussed in detail below, the Commission is basing this preliminary 

determination on its ongoing supervision of DCOs and its monitoring of the cleared interest rate 

swap market for purposes of risk surveillance. 

TABLE 9—OUTSTANDING NOTIONAL AS OF JANUARY 25, 202290

OIS Tenor Notional Cleared

(USD Billions)

USD LIBOR

Fixed-to-Floating Swaps

0-1 months $118 

>1 month to 3 months 299 

>3 months to 1 year 876 

>1-3 years 1,933 

>3-5 years 848 

>5-7 years 509 

>7-10 years 426 

>10-15 years 249 

>15-25 years 291 

>25-35 years 137 

>35 years 13 

0-1 months 30 

 

90 The data in Table 9 represents swaps that have been cleared at CME, LCH, or Eurex and reported to the CFTC 

under part 39 of the Commission’s regulations.
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USD SOFR

Fixed-to-Floating Swaps

>1 month to 3 months 220 

>3 months to 1 year 741 

>1-3 years 985 

>3-5 years 269 

>5-7 years 110 

>7-10 years 125 

>10-15 years 54 

>15-25 years 59 

>25-35 years 41 

>35 years 4 

Request for Comment

The Commission requests comment and any relevant market analysis regarding the 

sufficiency of outstanding notional exposures and trading liquidity in USD SOFR, GBP SONIA, 

EUR €STR, CHF SARON, JPY TONA, and SGD SORA OIS, including for the proposed 

termination date ranges, to support a clearing requirement. 

The Commission invites commenters to submit additional data from any available data 

sources. 

b. Pricing data

The Commission regularly reviews pricing data for the RFR OIS subject to this proposed 

determination and has found that these OIS are capable of being priced off of deep and liquid 

markets. Commission staff regularly receives and reviews margin model information from 

DCOs that includes particular procedures that they follow to ensure that market liquidity exists in 

order to close out a position in a stressed market, including the time required to determine a 

price.91 Because of the stability of access to pricing data from these markets, the pricing data for 

 

91 As discussed further below, Commission staff receives and reviews margin model information from the registered 

DCOs that clear these swaps, including information regarding how those DCOs would ensure that liquidity exists in 

order to exit a position in a stressed market. For purposes of the first statutory factor, the Commission considers 
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the OIS that are the subject of this proposed determination is generally viewed as being reliable. 

Based on this information, the Commission has preliminarily determined that there is adequate 

pricing data to support required clearing of RFR OIS. 

In addition, as part of their regulation 39.5(b) submissions, the registered DCOs that clear 

the RFR OIS subject to this proposed determination provided information to support the 

Commission’s conclusion that there exists adequate pricing data to justify a clearing requirement 

determination. In its regulation 39.5(b) submissions, CME provided data regarding transaction 

volumes and market participation, and LCH provided information on daily volumes, and noted 

that pricing data for each of the RFR OIS that it clears is available from brokers. LCH also noted 

the range of maturities for which quotes can be obtained from brokers. In its submissions to the 

Commission, Eurex provided relevant language from its FCM Regulations and Clearing 

Conditions regarding determination of daily pricing. Eurex stated that it believes its reliance on 

Reuters for pricing data is accurate because it is a readily available and conventional source. 

Eurex noted that it also can receive pricing data from Bloomberg and has multiple backup 

sources.

In the RFI, the Commission specifically requested feedback on whether adequate pricing 

data exists for DCO risk and default management of swaps referencing USD SOFR. CME, 

LCH, and Eurex each stated that adequate pricing data exists for DCO risk and default 

 

possible periods of market stress, particularly when assessing whether there is sufficient liquidity and pricing data. 

Second Determination, 81 FR at 71210 (noting that the Commission considered “the effect a new clearing mandate 

will have on a DCO’s ability to withstand stressed market conditions” as part of its analysis in connection with the 

Second Determination). 
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management of USD SOFR swaps.92 Respondents to the RFI also provided support for the 

conclusion that sufficient liquidity and pricing data exists in RFR OIS markets to withstand 

stressed market conditions.93 

Request for Comment

The Commission requests comment and any relevant market analysis regarding whether 

there is adequate pricing data for DCO risk and default management of the products subject to 

this proposal, including with regard to the proposed stated termination date ranges.

The Commission also requests comment regarding whether DCOs offering clearing for 

RFR OIS markets would be able to risk manage these products during stressed market 

conditions.

2. Factor (II)—Availability of rule framework, capacity, operational 

expertise and resources, and credit support infrastructure.

Section 2(h)(2)(D)(ii)(II) of the CEA requires the Commission to take into account the 

availability of rule framework, capacity, operational expertise and resources, and credit support 

infrastructure to clear the proposed classes of swaps on terms that are consistent with the 

material terms and trading conventions on which they are now traded. Based on their regulation 

 

92 CMEG Letter (“CME Clearing has accepted SOFR swaps for clearing since October 2018. Throughout this time 

there has been, and continues to be, adequate pricing data for DCO risk and default management of swaps

referencing SOFR given the depth and liquidity of SOFR markets.”); LSEG Letter (“SOFR liquidity and related 

pricing data has developed to an adequate extent and continues to further increase. We also note that the number of 

underlying transactions supporting the production of the SOFR rate itself is very high, supporting the rate’s 

robustness. Such robustness, transparency and confidence in the SOFR rate is reflected in the swap market, both in 

terms of trading and clearing volumes, including in relation to the availability of pricing data. This ultimately means 

that in the case of a default, there would be adequate swap pricing data for LCH to manage such default.”); Eurex 

Letter (“Eurex Clearing believes there is adequate pricing data for DCO risk and default management of swaps 

referencing SOFR.”). JSCC did not have any specific responses related to this question, as JSCC “[does] not have a 

plan to clear swaps referencing SOFR.” JSCC Letter.

93 LSEG noted significant increases in USD SOFR volumes after SOFR First, and Eurex noted that liquidity in USD 

SOFR swaps increased considerably after March 5, 2021. LSEG and Eurex Letters. TD Bank agreed that market 

participants have observed sufficient outstanding notional exposures and trading liquidity in swaps referencing USD 

SOFR during both stressed and non-stressed market conditions to support a clearing requirement. TD Bank Letter. 
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39.5(b) submissions, as well as ongoing oversight, the Commission believes that each of the 

registered DCOs has developed rule frameworks, capacity, operational expertise and resources, 

and credit support infrastructure to clear the interest rate swaps they currently clear, including the 

RFR OIS subject to this proposal, on terms that are consistent with the material terms and trading 

conventions on which those swaps are being traded. The Commission subjects each of the 

registered DCOs to ongoing review, risk surveillance, and examination to ensure compliance 

with the CEA’s core principles and Commission regulations, including with respect to the 

submitted swaps.

94

 

Each of the registered DCOs has procedures pursuant to which they regularly review 

their clearing of the RFR OIS subject to this proposal in order to confirm or adjust margin and 

other risk management tools. When reviewing each of the registered DCOs’ risk management 

tools, the Commission considers whether the DCO is able to manage risk during stressed market 

conditions to be one of the most significant considerations. Each of the registered DCOs has

developed detailed risk management practices, including a description of risk factors considered 

when establishing margin levels.95 The Commission reviews and oversees each of the registered 

 

94 In order to be registered with the Commission, a DCO must comply with the DCO core principles under section 

5b of the CEA and applicable Commission regulations. Once a DCO is registered with the Commission,

Commission staff periodically examine each DCO to determine whether the DCO is maintaining compliance with 

the CEA and Commission regulations. In addition, Commission staff monitors the risks posed to and by DCOs, 

clearing members, and market participants, and conducts independent stress testing.

95 E.g., historical volatility, intraday volatility, seasonal volatility, liquidity, open interest, market concentration, and 

potential moves to default. For additional information, each of CME, LCH, and Eurex has published a document 

outlining its compliance with the Principles for Financial Market Infrastructures (PFMI) published by the 

Committee on Payments and Market Infrastructures (CPMI; formerly, CPSS) and IOSCO. CPSS-IOSCO Principles 

for Financial Market Infrastructure (PFMI), Apr. 16, 2012, available at https://www.bis.org/cpmi/publ/d101.htm. 

See CMEG, CME Clearing: PFMI Disclosure, Nov. 30, 2021, available at https://www.cmegroup.com/clearing/riskmanagement/files/cme-clearing-principles-for-financial-market-infrastructures-disclosure.pdf; LCH PFMI SelfAssessment 2020, available at 

https://www.lch.com/system/files/media_root/CPMI%20IOSCO%20Self%20Qualitative%20Assessment%20of%20L

CH%20LTD_1.pdf; and Eurex Clearing AG, Assessment of Eurex Clearing AG’s compliance against the PFMI and 
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DCOs’ risk management practices and development of margin models. Margin models are 

further refined by stress testing and daily back testing. The Commission also considers stress 

testing and back testing when assessing whether each of the registered DCOs can clear swaps 

safely during stressed market conditions. 

The registered DCOs clearing the RFR OIS subject to this proposed determination design 

and conduct stress tests, and Commission staff monitors development of these stress tests. Each 

of the registered DCOs also conducts reverse stress tests to ensure that their default funds are 

sized appropriately and to ascertain whether any changes to their financial resources or margin 

models are necessary.

96 Commission staff monitors markets in real-time and also performs stress 

tests against the DCOs’ margin models and may recommend changes to a margin model. The 

registered DCOs conduct back testing on a daily basis to ensure that the margin models capture 

market movements for member portfolios.97

Before offering a new product for clearing, each of the DCOs considers stress tests and 

back testing results in determining whether it has sufficient financial resources to offer new

clearing services. The Commission also reviews initial margin models and default resources to 

 

disclosure framework associated to the PFMI, Feb. 16, 2021, available at 

https://www.eurex.com/resource/blob/2446522/22f4869a8649f15b54a1e86bf635c63c/data/cpss-ioscopfmi_assessment_2020_en.pdf.

96 Reverse stress testing uses plausible market movements that could deplete guaranty funds and cause large losses 

for top clearing members. For example, CME, LCH, and Eurex may use scenarios for stress testing and reverse 

stress testing that capture, among other things, historical price volatilities, shifts in price determinants and yield 

curves, multiple defaults over various time horizons, and simultaneous pressures in funding and asset markets.

97 Back testing tests margin models to determine whether they are performing as intended, and checks whether 

margin models produce margin coverage levels that meet the DCO’s established standards. Back testing helps 

CME, LCH, and Eurex determine whether their clearing members satisfy the required margin coverage levels and 

liquidation timeframe.
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ensure that the DCOs can risk manage their portfolio of products offered for clearing. This 

combination of stress testing and back testing in anticipation of offering new products for 

clearing provides the registered DCOs with greater certainty that new product offerings will be

risk-managed appropriately. The process of stress testing and back testing also gives the DCOs 

practice incorporating the new product into their models. In addition to the Commission’s 

surveillance and oversight, each of the registered DCOs continues to monitor and test their 

margin models over time so that they can operate effectively in stressed and non-stressed market 

environments. Registered DCOs review and validate their margin models regularly.98

Each registered DCO monitors and manages credit risk exposure by asset class, clearing 

member, account, or individual customer. They manage credit risk by establishing position and 

concentration limits based on product type or counterparty. These limits reduce potential market 

risks so that DCOs are better able to withstand stressed market conditions. Each of the registered 

DCOs monitors exposure concentrations and may require additional margin deposits for clearing 

members with weak credit scores, with large or concentrated positions, with positions that are 

 

98 Exempt DCOs, such as JSCC and HKEX, are subject to oversight by their home country regulators, along with 

regulations regarding risk management. For instance, JSCC is subject to the supervision of JFSA. JSCC, Principles 

for Financial Market Infrastructures Disclosure, Mar. 31, 2021, at 19, available at 

https://www.jpx.co.jp/jscc/en/company/cimhll0000000osu-att/JSCC_PFMI_Disclosure_20210331_EN.pdf. In 

granting JSCC’s order of exemption, the Commission determined that JSCC is subject to comparable, 

comprehensive supervision and regulation by its home country regulator. See JSCC Order of Exemption from 

Registration, Oct. 26, 2015, at 1, available at 

http://www.cftc.gov/idc/groups/public/@otherif/documents/ifdocs/jsccdcoexemptorder10-26-15.pdf; JSCC Amended 

Order of Exemption from Registration, May 15, 2017, at 1, available at 

https://www.cftc.gov/sites/default/files/idc/groups/public/@otherif/documents/ifdocs/jsccdcoexemptamdorder5-15-

17.pdf. Among other requirements, JSCC must provide the Commission with an annual certification that it 

continues to observe the PFMI in all material respects, and the Commission must receive annually, at JSCC’s 

request, a certification from JFSA that JSCC is in good regulatory standing. Likewise, HKEX is overseen by 

HKMA, which provides ongoing supervision, and must meet the same requirements for registration as an exempt 

DCO as JSCC. See HKFE Clearing Corporation Limited, Principles for Financial Market Infrastructures Disclosure, 

Feb. 2021, available at https://www.hkex.com.hk/-/media/HKEX-Market/Services/Clearing/ListedDerivatives/PFMI/HKCC_PFMI_Disclosure_Feb2021.pdf?la=en.
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illiquid or exhibit correlation with the member itself, and/or where the member has particularly 

large exposures under stress scenarios. Registered DCOs also can call for additional margin, on 

top of collecting initial and variation margin, to meet the current DCO exposure and protect 

against stressed market conditions.99

In support of its ability to clear the RFR OIS subject to this proposal, CME’s regulation 

39.5(b) submissions cite to its rulebook to demonstrate the availability of rule framework, 

capacity, operational expertise and resources, and credit support infrastructure to clear interest 

rate swap contracts on terms that are consistent with the material terms and trading conventions 

on which the contracts are traded. LCH’s submissions state that it has a well-developed rule 

framework and support infrastructure for clearing interest rate swaps, which it leverages to offer 

clearing services for the RFR OIS subject to this proposal. Eurex’s submissions state that Eurex 

has a well-developed rule framework and support infrastructure for clearing the RFR OIS that 

are subject to this proposal. Eurex further states that it has the appropriate risk management,

operations, and technology capabilities to ensure that it is able to liquidate positions in such 

swaps in an orderly manner in the event of a clearing member default, and that the RFR OIS are 

subject to margin and clearing fund requirements set forth in Eurex’s FCM Regulations and 

Clearing Conditions.

For all of these reasons, the Commission has preliminarily determined that the 

application of DCO risk management practices to the RFR OIS subject to this proposed clearing 

requirement determination should ensure that the swaps subject to this proposal can be cleared 

 

99 As a general matter, any DCO offering RFR OIS for clearing, including exempt DCOs, would follow this risk 

management approach with regard to offering these products for clearing.
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safely, even during times of market stress. For additional information related to this factor, 

please see public disclosures made CME, LCH, and Eurex.100 

Request for Comment

The Commission requests comments concerning all aspects of this factor, including 

whether commenters agree that DCOs offering to clear the RFR OIS subject to this proposed 

clearing requirement determination can satisfy the factor’s requirements.

3. Factor (III)—Effect on the mitigation of systemic risk.

Section 2(h)(2)(D)(ii)(III) of the CEA requires the Commission to consider the effect of 

the clearing requirement on the mitigation of systemic risk, taking into account the size of the 

market for such contract and the resources of the DCO available to clear the contract. As 

presented in the data and discussion above, the Commission believes that the market for each 

RFR OIS subject to this proposed determination is significant and mitigating counterparty credit 

risk through clearing likely would reduce systemic risk in the interest rate swap market 

generally. While not every individual RFR OIS market has large outstanding notional 

exposures, each such market is important, and as liquidity shifts from IBOR swaps to RFR OIS, 

continuity of clearing for RFR OIS serves to reduce systemic risk.

In its regulation 39.5(b) submissions, CME explains the benefits of centralized clearing, 

including freer counterparty credit lines, enhanced risk management, operational efficiencies, 

 

100 CME, CME Clearing: Principles for Financial Market Infrastructures Disclosure, Nov. 30, 2021, available at 

https://www.cmegroup.com/clearing/risk-management/files/cme-clearing-principles-for-financial-marketinfrastructures-disclosure.pdf; LCH Ltd., CPMI – IOSCO Self-Assessment 2020, Mar. 31, 2020, available at 

https://www.lch.com/system/files/media_root/CPMI%20IOSCO%20Self%20Qualitative%20Assessment%20of%20L

CH%20LTD_1.pdf; Eurex, “Assessment of Eurex Clearing AG’s compliance against the CPMI-IOSCO Principles 

for financial market infrastructures (PFMI) and the disclosure framework associated to the PFMIs,” Feb. 28, 2022, 

available at https://www.eurex.com/resource/blob/2973806/422b675a412d96e3c8cf97a570b899a2/data/cpss-ioscopfmi_assessment_2021_en.pdf. As explained above, similar disclosures are available for JSCC and HKEX.
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and ease of offsetting risk exposures. LCH’s submissions note that clearing avoids complex 

bilateral relationships, provides for default management, and enhances transparency into the 

risks posed by swap positions. Eurex’s submissions highlight the benefits of reduction of 

counterparty risk, margin and collateral efficiencies, protections for customer assets, and legal 

certainty. Each DCO’s submissions indicate that they maintain adequate resources to clear the 

swaps that are the subject of this proposal. Additionally, in responding to the RFI, JSCC noted 

that it has been clearing JPY TONA OIS since 2014 “without facing any challenge from a 

governance, rule framework, operational, resourcing, or credit support infrastructure 

perspective.”101

In responding to the RFI, CME noted that mitigation of systemic risk is one of the key 

advantages of centralized clearing over bilateral arrangements.102 LSEG stated that “a clearing 

requirement will mitigate systemic risk, making sure that USD SOFR risk moves from the 

bilateral space to the cleared market to the necessary extent.” 103 Additionally, Citadel noted that 

“[a]pplying a clearing requirement to OTC derivatives referencing SOFR will ensure these 

markets develop as centrally-cleared markets,” and further noted that “central clearing provides 

greater systemic risk mitigation than bilateral margining for uncleared swaps.”104 TD Bank 

agreed that a clearing requirement for USD SOFR swaps “might increase the clearing rate and 

 

101 JSCC Letter. 

102 CMEG Letter. 

103 LSEG Letter. 

104 Citadel Letter. 
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therefore mitigate[] systemic risk even more,” but TD Bank also noted that the “bulk” of USD 

SOFR swaps are already voluntarily cleared.105

Centrally clearing the RFR OIS subject to this proposal through a registered or exempt 

DCO should reduce systemic risk by providing counterparties with daily mark-to-market 

valuations upon which to exchange variation margin pursuant to the DCO’s risk management 

framework and requiring posting of initial margin to cover potential future exposures in the event 

of a default. In addition, swaps transacted through a DCO are secured by the DCO’s guaranty 

fund and other available financial resources, which are intended to cover extraordinary losses

that would not be covered by initial margin. 

Central clearing was developed and designed to handle significant concentration of risk. 

Each of the DCOs that clears the RFR OIS covered by this proposal has a procedure for closing 

out and/or transferring a defaulting clearing member’s positions and collateral.106 Transferring

customer positions to solvent clearing members in the event of a default is critical to reducing 

systemic risk. DCOs are designed to withstand defaulting positions and to prevent a defaulting 

clearing member’s loss from spreading further and triggering additional defaults. To the extent 

that introduction of an RFR OIS clearing requirement increases the number of clearing members 

and market participants in the interest rate swap market, then DCOs may find it easier to transfer 

 

105 TD Bank Letter. See also Tradeweb Letter (“The swap clearing and execution requirements under Title VII of 

the Dodd-Frank Wall Street Reform and Consumer Protection Act have increased investor protections, improved 

market liquidity, and reduced systemic risk, especially in the dealer-to-customer market. It will be critical for the 

CFTC to maintain these market improvements as new swap transactions increasingly utilize alternative risk-free 

reference rates . . ..”).

106 For further discussion of treatment of customer and swap counterparty positions, funds, and property in the event 

of the insolvency of a DCO or one or more of its clearing members, please see Factor (V)—Legal certainty in the 

event of insolvency, section V.C below.
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positions from defaulting clearing members if there is a larger pool of potential clearing 

members to receive the positions.107

Each DCO has experience risk managing interest rate swaps, and the Commission 

believes that the DCOs have the necessary financial resources available to clear the RFR OIS

that are the subject of this proposal. Accordingly, the Commission believes that these DCOs

would be able to manage the risk posed by clearing the new RFR OIS that would be required to 

be cleared by virtue of this proposal.

In addition, the Commission believes that the central clearing of the RFR OIS that are to 

be added under this proposal should serve to mitigate counterparty credit risk, thereby potentially 

reducing systemic risk. Having considered the likely effect on the mitigation of systemic risk, 

the Commission is proposing to add these RFR OIS to the clearing requirement.

Request for Comment

The Commission requests comments concerning the proposal to add these RFR OIS to 

the clearing requirement, with regard to the possible reduction of systemic risk. 

How, if at all, should the Commission consider the ongoing implementation of uncleared 

swap margin requirements for swap dealers in assessing this factor?

4. Factor (IV)—Effect on competition.

Section 2(h)(2)(D)(ii)(IV) of the CEA requires the Commission to take into account the 

effect on competition, including appropriate fees and charges applied to clearing. Of particular 

concern to the Commission is whether this proposed determination would harm competition by 

 

107 The Commission recognizes that with high rates of voluntary clearing RFR OIS at this time, the prospect of 

adding additional clearing members and market participants in these swaps is limited.
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creating, enhancing, or entrenching market power in an affected product or service market, or 

facilitating the exercise of market power.108 Market power is viewed as the ability to raise 

prices, including clearing fees and charges, reduce output, diminish innovation, or otherwise 

harm customers as a result of diminished competitive constraints or incentives.109 

The Commission has identified one putative service market as potentially affected by this 

proposed clearing determination: a DCO service market encompassing those clearinghouses that 

currently clear the RFR OIS subject to this proposal.110 The Commission recognizes that this 

proposed clearing requirement potentially could impact competition within the affected market. 

Of particular importance to whether any such impact is positive or negative, is: (1) whether the 

demand for these clearing services and swaps is sufficiently elastic that a small but significant 

price increase above competitive levels would prove unprofitable because users of the interest 

rate swap products and DCO clearing services would substitute other clearing services coexisting 

in the same market(s); and (2) the potential for new entry into this market. The availability of 

substitute clearing services to compete with those encompassed by this proposed determination, 

and the likelihood of timely, sufficient new entry in the event prices do increase above 

competitive levels, each operate independently to constrain anticompetitive behavior. 

Any competitive import likely would stem from the fact that the proposed determination 

and regulations would remove the alternative of not clearing for RFR OIS subject to this 

 

108 First Determination, 77 FR at 74313; Second Determination, 81 FR at 71220.

109 First Determination, 77 FR at 74313 (discussing market power as described under U.S. Department of Justice 

guidelines). See generally U.S. Department of Justice and the Federal Trade Commission, Horizontal Merger 

Guidelines (Horizontal Merger Guidelines) at section 1 (Aug. 19, 2010), available at 

https://www.justice.gov/sites/default/files/atr/legacy/2010/08/19/hmg-2010.pdf.

 

110 First Determination, 77 FR at 74298; Second Determination, 81 FR at 71220. The DCO service market includes 

the registered and exempt DCOs that currently offer RFR OIS for clearing.
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proposal. The proposed determination would not specify who may or may not compete to 

provide clearing services for the RFR OIS subject to this proposal, as well as those not required 

to be cleared.

Removing the choice to enter into a swap without submitting it for clearing under this 

proposed rulemaking is not determinative of negative competitive impact. Other factors, 

including the availability of other substitutes within the market or potential for new entry into the 

market, may constrain market power. The Commission does not foresee that the proposed 

determination constructs barriers that would deter or impede new entry into a clearing services 

market,

111 and the Commission anticipates that a determination to modify the clearing 

requirement for interest rate swaps could foster an environment conducive to new entry. For 

example, the proposed clearing determination is likely to reinforce, if not encourage, growth in 

demand for clearing services. Demand growth, in turn, can enhance the sales opportunity, a 

condition hospitable to new entry.112 Moreover, to the extent that there are high rates of 

voluntary clearing in the RFR OIS subject to this proposed determination already, a regulatory 

requirement to clear such swaps would provide additional certainty that those high rates of 

clearing would remain constant. 

Respondents to the RFI who provided feedback regarding the potential effect on 

competition due to a modified clearing requirement did not identify any potential negative 

 

111 That said, the Commission recognizes that (1) to the extent the clearing services market for the interest rate swaps 

identified in this proposal, after foreclosing uncleared swaps, would be limited to a concentrated few participants 

with highly aligned incentives, and (2) the clearing services market is insulated from new competitive entry through 

barriers (e.g., high sunk capital cost requirements, high switching costs to transition from embedded incumbents, 

and access restrictions), the proposed determination could have a negative competitive impact by increasing market 

concentration.

112 See, e.g., Horizontal Merger Guidelines, section 9.2 (entry likely if it would be profitable which is in part a 

function of “the output level the entrant is likely to obtain”). 
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effects. For instance, Citadel stated that applying a clearing requirement to OTC derivatives 

referencing USD SOFR would increase liquidity and competition, citing, among other research, 

a study that found that “the Commission’s clearing and trading reforms led to a significant 

reduction in execution costs in the USD interest rate swap market, with market participants 

saving as much as $20 million - $40 million per day.”113 LSEG, Eurex, JSCC, and TD Bank

also did not identify potential competition-related concerns.

114

Request for Comment

The Commission requests comment on the extent to which: (1) entry barriers currently do 

or do not exist with respect to a clearing services market for the RFR OIS to be added to the 

clearing requirement under this proposal; (2) the proposed determination may lessen or increase 

these barriers; and (3) the proposed determination otherwise may encourage, discourage, 

facilitate, and/or dampen new entry into the market. In addition to what is noted above, the 

Commission requests comment, and quantifiable data, on whether the required clearing of any or 

all of the RFR OIS to be added to the clearing requirement under this proposal will generate

 

113 Citadel Letter (citing Staff Working Paper No. 580 “Centralized trading, transparency and interest rate swap 

market liquidity: evidence from the implementation of the Dodd-Frank Act,” Bank of England, Jan. 2016, available 

at http://www.bankofengland.co.uk/research/Documents/workingpapers/2016/swp580.pdf).

114 LSEG Letter (“LCH does not believe that adopting a clearing requirement for a new product that references an 

alternative reference rate, or expanding the scope of an existing clearing requirement to cover additional maturities 

would create conditions that increase or facilitate an exercise of market power over clearing services by any DCO. 

Any clearing requirement that applies equally to all DCOs that provide clearing services for a product would not 

adversely affect competition.”); Eurex Letter (“Eurex Clearing believes there is healthy competition currently in the 

market for the clearing of swaps referencing the RFRs and, previously, the LIBORs. Eurex Clearing does not 

believe that adopting a clearing requirement for a new product that references an RFR or expanding the scope of the 

Clearing Requirement to cover additionally maturities would cause [adverse effects related to competition or an 

increase in the cost of clearing services].”); JSCC Letter (“In relation to TONA OIS, it has been accepted for 

clearing at 3 registered DCOs . . .. Therefore, we believe that replacing JPY-LIBOR with TONA OIS would not 

change (i) the existing competition for clearing services of JPY swaps nor (ii) the cost of clearing services, in any 

regard.”); and TD Bank Letter (“We do not perceive these issues [related to adverse competitive effects or 

increasing costs of clearing services] to come” as a result of a clearing requirement for a new product that references 

an alternative reference rate or expanding the scope of the clearing requirement to cover additional maturities). 
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conditions that create, increase, or facilitate an exercise of: (1) clearing services market power in 

CME, LCH, Eurex, and/or any other clearing service market participant, including conditions 

that would dampen competition for clearing services and/or increase the cost of clearing services,

and/or (2) market power in any product markets for interest rate swaps, including conditions that

would dampen competition for these product markets and/or increase the cost of RFR OIS to be 

added to the clearing requirement under this proposal. The Commission seeks comment, and 

quantifiable data, on the likely cost increases associated with clearing, particularly those fees and 

charges imposed by DCOs, and the effects of such increases on counterparties currently

participating in the market.

The Commission also requests comment regarding whether commenters have any 

concerns regarding access to clearing services in the market for any RFR OIS subject to this 

proposed determination.

5. Factor (V)—Legal certainty in the event of insolvency.

Section 2(h)(2)(D)(ii)(V) of the CEA requires the Commission to take into account the 

existence of reasonable legal certainty in the event of the insolvency of the relevant DCO or one 

or more of its clearing members with regard to the treatment of customer and swap counterparty 

positions, funds, and property. The Commission is proposing this clearing requirement 

determination based on its view that there is reasonable legal certainty with regard to the 

treatment of customer and swap counterparty positions, funds, and property in connection with 

cleared swaps, including the RFR OIS subject to this proposal, in the event of the insolvency of 

the relevant DCO or one or more of the DCO’s clearing members.

The Commission believes that, in the case of a clearing member insolvency at CME, 

where the clearing member is the subject of a proceeding under the U.S. Bankruptcy Code, 
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subchapter IV of Chapter 7 of the U.S. Bankruptcy Code (11 U.S.C. 761-767) along with parts 

22 and 190 of the Commission’s regulations would govern the treatment of customer 

positions.115 Pursuant to section 4d(f) of the CEA, 7 U.S.C. 4d(f), a clearing member accepting 

funds from a customer to margin a cleared swap must be a registered futures commission 

merchant (FCM). Pursuant to 11 U.S.C. 761-767 and part 190 of the Commission’s regulations, 

the customer’s interest rate swap positions, carried by an insolvent FCM, would be deemed 

“commodity contracts.”116 As a result, neither a clearing member’s bankruptcy nor any order of 

a bankruptcy court could prevent CME from closing out/liquidating such positions. However, 

customers of clearing members would have priority over all other claimants with respect to 

customer funds that had been held by the defaulting clearing member to margin swaps, such as 

the RFR OIS subject to this proposal.117 Thus, customer claims would have priority over 

proprietary claims and general creditor claims. Customer funds would be distributed to swap 

customers, including interest rate swap customers, in accordance with Commission regulations 

and section 766(h) of the Bankruptcy Code. Moreover, the Bankruptcy Code and the 

Commission’s rules thereunder (in particular 11 U.S.C. 764(b) and 17 CFR 190.07) permit the 

transfer of customer positions and collateral to solvent clearing members.

Similarly, 11 U.S.C. 761-767 and part 190 would govern the bankruptcy of a DCO where 

the DCO is the subject of a proceeding under the U.S. Bankruptcy Code, in conjunction with 

 

115 An FCM or DCO also may be subject to resolution under Title II of the Dodd-Frank Act to the extent it would 

qualify as a covered financial company (as defined in section 201(a)(8) of the Dodd-Frank Act). Under Title II, 

different rules would apply to the resolution of an FCM or DCO. Discussion in this section relating to what might 

occur in the event an FCM or DCO defaults or becomes insolvent describes procedures and powers that exist in the 

absence of a Title II receivership.

116 If an FCM is registered as a broker-dealer, certain issues related to its insolvency proceeding would be governed 

by the Securities Investor Protection Act, as well.

117 Claims seeking payment for the administration of customer property would share this priority.
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DCO rules providing for the termination of outstanding contracts and/or return of remaining

clearing member and customer property to clearing members. 

With regard to LCH, the Commission understands that in general the default of an LCH

clearing member would be governed by LCH’s rules, and LCH would be permitted to close out 

and/or transfer positions of a defaulting clearing member. The Commission further understands 

that, under applicable law, LCH’s rules governing a clearing member default would supersede 

insolvency laws in the clearing member’s jurisdiction. For an FCM based in the United States 

and clearing at LCH, the applicable law as a general matter, would be the U.S. Bankruptcy Code 

and part 190 of the Commission’s regulations. According to LCH’s regulation 39.5(b) 

submissions, the insolvency of LCH itself would be governed by English insolvency law, which 

protects the enforceability of the default-related provisions of LCH’s rulebook, including in

respect of compliance with applicable provisions of the U.S. Bankruptcy Code and part 190 of 

the Commission’s regulations. LCH has obtained, and made available to the Commission, legal 

opinions that support the existence of such legal certainty in relation to the protection of

customer and swap counterparty positions, funds, and property in the event of the insolvency of 

one or more of its clearing members.118

On December 20, 2018, the Commission issued permission for Eurex to begin clearing 

swap transactions on behalf of customers of FCMs.119 According to Eurex’s regulation 39.5(b) 

 

118 Letters of counsel on file with the Commission. 

119 Commission Letter Nos. 18-30, 18-31, and 18-32. Additionally, in responding to the RFI, Eurex noted that, with 

respect to Eurex clearing members that are FCMs and that clear swaps under Eurex’s U.S. regulatory framework, 

Eurex’s FCM Regulations “foresee a clear process for a potential porting of client-related transactions to a 

replacement clearing member following the termination of a clearing member.” Eurex Letter. In the event that the 

termination is based on an Insolvency Termination Event, as defined in Eurex’s FCM Regulations, Eurex will seek 

to coordinate with the CFTC and bankruptcy trustee with respect to porting the positions. This procedure applies to 

all cleared products. However, Eurex noted that following IBOR conversion events, it no longer clears any trades 
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submissions, Eurex observes the PFMI. Eurex represented that in February 2015, it published an 

assessment of its compliance with the PFMI, which was reviewed and validated by an 

independent outside auditor. The assessment concluded that Eurex fully complies with the 

PFMI, and Eurex’s default management procedures were assessed to be certain in the event of its 

or a clearing member’s insolvency with regard to the treatment of customer and counterparty 

positions and collateral. Such certainty continues to be reflected in Eurex’s most recent PFMI 

assessment.120 According to Eurex’s regulation 39.5(b) submissions, a potential insolvency of 

Eurex Clearing, and the operation of default management procedures under Eurex’s Clearing 

Conditions, would be governed by German law, with the exception of certain FCM Regulations 

and Clearing Conditions that relate to cleared swaps customer collateral that are governed by 

U.S. law.121 

Finally, as exempt DCOs, JSCC and HKEX demonstrate they are subject to ongoing 

comparable, comprehensive supervision by their home country regulator with regard to legal 

certainty in the event of insolvency.

122

 Both exempt DCOs maintain disclosures discussing the 

 

where obtaining new GBP LIBOR, JPY LIBOR, or CHF LIBOR fixings (or reliance on the relevant fallback 

provisions) would be necessary. Id. 

120 Eurex Clearing AG, Assessment of Eurex Clearing AG’s compliance against the PFMI and disclosure framework 

associated to the PFMI, available at 

https://www.eurex.com/resource/blob/2446522/22f4869a8649f15b54a1e86bf635c63c/data/cpss-ioscopfmi_assessment_2020_en.pdf.

121 For example, in the case of an insolvency termination event, as defined in Eurex’s Clearing Conditions, the 

relevant FCM clearing member would be subject to an insolvency proceeding pursuant to applicable U.S. law, and 

Eurex would seek to coordinate with the Commission and the bankruptcy trustee (or comparable person responsible 

for administering the proceeding) with respect to the transfer of FCM client transactions and eligible margin assets 

allocated to the relevant FCM client. Id. at 100.

122 Exempt DCOs are not permitted to clear swaps for U.S. customers pursuant to regulation 39.6(b)(1). 

Accordingly, this discussion of JSCC’s and HKEX’s insolvency regimes does not address issues related to U.S. 

customer clearing.
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ways in which they comply with the PFMI, including principles related to legal certainty in the 

event of insolvency.123 Principle 1 of the PFMI provides that a CCP should have a well-founded, 

clear, transparent, and enforceable legal basis for each material aspect of its activities, in all 

relevant jurisdictions.124 Among other key considerations for this factor, “[t]he legal basis 

should provide a high degree of certainty for each material aspect of an FMI’s activities in all 

relevant jurisdictions.”125 The PFMI also provide that a CCP should have effective and clearly 

defined rules and procedures to manage a participant default.126 JSCC’s and HKEX’s PFMI 

disclosures provide, among other information, a discussion of the applicable law and legal basis 

for their clearing activities, as well as the way in which their rules address insolvency events.127

Lastly, JSCC has provided information regarding how it would address a default by a 

clearing member under its rules,

128 including information regarding the treatment of certain RFR 

swaps for default management purposes. Specifically, in its responses to the RFI, JSCC 

 

123 JSCC, Principles for Financial Market Infrastructures Disclosure, Mar. 31, 2021, available at 

https://www.jpx.co.jp/jscc/en/company/cimhll0000000osu-att/JSCC_PFMI_Disclosure_20210331_EN.pdf; and 

HKFE Clearing Corporation Limited, Principles for Financial Market Infrastructures Disclosure, Feb. 2021, 

available at https://www.hkex.com.hk/-/media/HKEX-Market/Services/Clearing/ListedDerivatives/PFMI/HKCC_PFMI_Disclosure_Feb2021.pdf?la=en. 

124 PFMI, Principle 1.

125 PFMI, Principle 1, Key consideration 1.

126 PFMI, Principle 13.

127 JSCC, Principles for Financial Market Infrastructures Disclosure, Mar. 31, 2021, at 19-24, 83-91, available at 

https://www.jpx.co.jp/jscc/en/company/cimhll0000000osu-att/JSCC_PFMI_Disclosure_20210331_EN.pdf; and 

HKFE Clearing Corporation Limited, Principles for Financial Market Infrastructures Disclosure, Feb. 2021, at 20-

21, 58-60, available at https://www.hkex.com.hk/-/media/HKEX-Market/Services/Clearing/ListedDerivatives/PFMI/HKCC_PFMI_Disclosure_Feb2021.pdf?la=en.

128 See JSCC’s relevant PFMI disclosures.
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described the process by which it offered TIBOR-TONA basis swaps as a way to transition away 

from IBOR swaps without incident.129

Request for Comment

The Commission requests comment regarding all aspects of this factor, including whether 

there is reasonable legal certainty, in the event of an insolvency of CME, LCH, Eurex, or one or 

more of any of these DCOs’ clearing members, with regard to the treatment of customer and 

swap counterparty positions, funds, and property. 

The Commission requests comment on whether U.S. swap counterparties have concerns 

about the applicability of any non-U.S. jurisdiction’s law to U.S. persons clearing swaps at 

DCOs located outside of the United States. 

The Commission requests comment regarding legal certainty with respect to an event of 

an insolvency for an exempt DCO, such as JSCC or HKEX, particularly with regard to the 

treatment of swap counterparty positions, funds, and property. 

VI. PROPOSED IMPLEMENTATION SCHEDULE AND COMPLIANCE DATES

The Commission phased in compliance with the First Determination according to the 

schedule contained in regulation 50.25.130 Under this schedule, compliance was phased in by the 

type of market participant entering into a swap subject to the First Determination. The phase-in 

occurred over a 270-day period following publication of the final rule in the Federal Register. 

 

129 JSCC Letter (stating that, for default management purposes, TIBOR-TONA basis swaps will be treated in the

same manner as cleared JPY TONA OIS. JSCC noted that creation of these basis swaps was a temporary measure

and the basis swaps will expire at the settlement of the rates that were fixed prior to the end of 2021). 

130 Swap Transaction Compliance and Implementation Schedule: Clearing Requirement Under Section 2(h) of the 

CEA, 77 FR 44441 (July 30, 2012).
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The Commission also phased in compliance with the Second Determination according to the 

schedule contained in regulation 50.26. However, the Commission decided to adopt one 

compliance date for all market participant types, because many market participants were already 

clearing the products subject to the determination and the Commission had already adopted a 

clearing requirement determination for the interest rate swap class.131 The Commission decided 

to tie the compliance date for each product to the first compliance date for a market participant in 

a non-U.S. jurisdiction.132

Importantly, DCOs have largely completed IBOR swap conversions. Many market 

participants already clear the RFR OIS subject to this proposed determination. Several other 

jurisdictions are requiring, or are anticipated to soon require, clearing of these swaps. While 

some responses to the RFI recommended that the Commission proceed through an interim final 

rule process,

133 other responses asked for longer periods of time for market participants to 

comment on proposed rules, and come into compliance with proposed rule changes.134 LSEG 

recommended that the effective date be set “not too far from the completion of the Commission’s 

review” in order to “reduce uncertainty in the market and limit the risk of bifurcation of liquidity 

 

131 Second Determination, 81 FR at 71227.

132 Id. at 71227-28.

133 E.g., Tradeweb Letter; Citadel Letter. 

134 ICI Letter (requesting a 90-day comment period); ISDA Letter (“Members request a minimum of 6 months’ 

notice to implement new [clearing requirement]”); ACLI Letter (“To ensure a smooth implementation of any 

expanded clearing requirement, a minimum of six months should be provided between the adoption of an expanded 

clearing requirement and the effective date of the requirement, to give market participants time to ready systems and 

processes.”).
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between the cleared and uncleared market for the LIBOR rates that ceased on December 31, 

2021 and their respective replacement rates.”135 

Recognizing all these factors, the Commission proposes to adopt one compliance date for 

all market participant types and amend regulation 50.26 to reflect that the compliance date shall 

be 30 days after publication of the final rule in the Federal Register. If the clearing requirement 

compliance date falls on a Saturday, Sunday, or U.S. federal public holiday, the compliance date 

will be the next available business day. No compliance date will be set on a day when markets 

are not open in the United States.

As a technical amendment, because the Commission is proposing to remove certain 

interest rate swaps from regulation 50.4, it is also proposing to remove those same swaps from 

regulation 50.26. The Commission is proposing this change for consistency and to eliminate any 

confusion that might arise if different swap products are included in 50.4 and 50.26. 

Additionally, the Commission proposes technical revisions related to the formatting of the table 

of compliance dates for required clearing of credit default swaps in regulation 50.26.

Request for Comment

The Commission requests comment on whether setting a compliance date 30 days after 

publication of the final rule in the Federal Register provides market participants with sufficient 

notice and opportunity to comply with this proposed determination.

 

135 LSEG Letter.
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VII. COST BENEFIT CONSIDERATIONS

A. Statutory and Regulatory Background

Proposed revised regulation 50.4(a) identifies certain swaps that would be required to be 

cleared under section 2(h)(1)(A) of the CEA in addition to those currently required to be cleared 

by existing regulations 50.2 and 50.4(a), and removes certain other swaps currently required to 

be cleared from the clearing requirement. The proposed clearing requirement amendments are

designed to update the Commission’s regulations in light of the interest rate swap market’s move 

away from use of swaps referencing IBORs to swaps referencing RFRs. At the current time, 

most RFR OIS are being cleared voluntarily so the proposed regulation largely serves to ensure 

that the swap market under the Commission’s jurisdiction continues to clear all RFR OIS subject

to this proposal. The continued central clearing of RFR OIS may limit the counterparty risk 

associated with such swaps, thereby mitigating the possibility of such risks having a systemic

impact, which might cause or exacerbate instability in the financial system. In addition, required 

clearing of RFR OIS would reflect the global effort to rely on benchmark rates that are less 

susceptible to manipulation. 

The Commission believes this proposal is consistent with the principle that the use of 

central clearing can reduce systemic risk, which was one of the fundamental premises of the 

Dodd-Frank Act and the 2009 commitments by the G20 nations. The following discussion is a 

consideration of the costs and benefits of the Commission’s proposed actions pursuant to the 

regulatory requirements discussed above.

B. Overview of Swap Clearing

1. How Clearing Reduces Risk.
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When a bilateral swap is cleared, the DCO becomes the counterparty to each original 

swap counterparty. This arrangement mitigates counterparty risk to the extent that the DCO may 

be a more creditworthy counterparty than the original swap counterparties. Central clearing 

reduces the interconnectedness of market participants’ swap positions because the DCO, an 

independent third party that takes no market risk, guarantees the collateralization of swap 

counterparties’ exposures. DCOs have demonstrated resilience in the face of past market stress.

The Commission anticipates that DCOs will continue to be some of the most 

creditworthy swap counterparties because, among other things, they are able to monitor and 

manage counterparty risk effectively through (1) collection of initial and variation margin 

associated with outstanding swap positions; (2) marking positions to market regularly, usually

multiple times per day, and issuing margin calls when the margin in a customer’s account has 

dropped below predetermined levels that the DCO sets; (3) adjusting the amount of margin that 

is required to be held against swap positions in light of changing market circumstances, such as 

increased volatility in the underlying product; and (4) closing out swap positions if margin calls 

are not met within a specified period of time.

2. The Clearing Requirement and Role of the Commission.

With the passage of the Dodd-Frank Act, Congress gave the Commission the 

responsibility for determining which swaps would be required to be cleared pursuant to section 

2(h)(1)(A) of the CEA. Since 2012, there is ample evidence that the interest rate swap market 

has been moving toward increased use of central clearing in response to both market incentives
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and clearing requirements.

136

 Now with the IBOR transition completed for most LIBOR rates

and with most RFR OIS already being voluntarily cleared, as discussed further below, it is 

possible that the effect of this proposal will be limited to ensuring that market participants 

continue to clear the RFR OIS subject to the proposal.

137

 The Commission has preliminarily 

determined that the costs and benefits related to the required clearing of the RFR OIS to be 

added under this proposal are attributable, in part to (1) Congress’s stated goal of reducing 

systemic risk by, among other things, requiring clearing of swaps; and (2) the Commission’s 

exercise of its discretion in selecting swaps or classes of swaps to achieve those ends.

C. Consideration of the Costs and Benefits of the Commission’s Actions

1. CEA Section 15(a).

Section 15(a) of the CEA requires the Commission to “consider the costs and benefits” of 

its actions before promulgating a regulation under the CEA or issuing certain orders.138 Section 

15(a) further specifies that the costs and benefits shall be evaluated in light of five broad areas of 

market and public concern: (1) protection of market participants and the public; (2) efficiency, 

competitiveness and financial integrity; (3) price discovery; (4) sound risk management 

practices; and (5) other public interest considerations (collectively referred to herein as the 

Section 15(a) Factors). Accordingly, the Commission considers the costs and benefits associated 

 

136 Second Determination, 81 FR at 71210; BIS, “Statistical release: OTC derivatives at end-December 2020,” May 

12, 2021, at 4, Graph 4, available at https://www.bis.org/publ/otc_hy2105.pdf (charting central clearing rates for 

interest rate swaps from 2012 to 2020 and noting a particularly significant rise during the 2012-2015 period). See 

also CMEG Letter (discussing adoption of central clearing); CCP12 Letter (same).

137 It is possible that some market participants would respond to the requirement that RFR OIS be cleared by 

decreasing their use of such swaps, particularly if the cost of clearing increases in the future relative to the cost of 

not clearing. Thus, there is some uncertainty regarding how the proposed rule will affect the quantity of swaps that 

are cleared.

138 7 U.S.C. 19(a).
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with the proposed determination in light of the Section 15(a) Factors. In the sections that follow, 

the Commission considers: (1) The costs and benefits of required clearing for the RFR OIS to be 

added under this proposed rule as well as the costs and benefits of removing certain swaps from 

required clearing; (2) the alternatives contemplated by the Commission and their costs and 

benefits; and (3) the impact of required clearing for the proposed swaps on the Section 15(a) 

Factors.

The Commission is considering these costs and benefits against a baseline of the current 

set of interest rates swaps subject to the clearing requirement adopted under regulation 50.4. 

This proposed determination would add certain RFR OIS to the clearing requirement and it 

would remove certain swaps referencing IBORs from the clearing requirement. In most cases, 

this would be a simultaneous exchange: as an IBOR swap is withdrawn from the clearing 

requirement, an RFR swap is added. However, in a few cases, there may be a delay, or even an 

overlap during which products referencing the IBOR rate and the RFR are both subject to the 

clearing requirement (e.g., if the Commission adopts a clearing requirement for USD SOFR 

swaps 30 days after the publication of the final rule in the Federal Register and does not remove 

the clearing requirement for USD LIBOR swaps until July 1, 2023, then requirements to clear 

USD LIBOR swaps, including USD LIBOR fixed-to-floating swaps, would for a period of time 

coexist with requirements to clear USD SOFR OIS). As seen in Table 6 above, almost all 

transactions in interest rate swaps that would be subject to the proposed clearing requirement are 

cleared voluntarily today, so that the percentage of such swaps that would be cleared following 

implementation of the rule is unlikely to increase materially. The Commission’s analysis below 

compares amendments in this proposed determination to the clearing requirement in effect today. 

The costs discussed recognize the current industry practice of high levels of RFR OIS clearing. 
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The Commission understands that the swap market functions internationally with (i) 

transactions that involve U.S. firms and DCOs occurring across different international 

jurisdictions; (ii) some entities organized outside of the United States that are, or may become,

Commission registrants or registered entities; and (iii) some entities that typically operate both 

within and outside the United States and that follow substantially similar business practices 

wherever located. Where the Commission does not specifically refer to matters of location, this

discussion of costs and benefits refers to the effects of the proposed regulations on all relevant 

swaps activity, whether based on their actual occurrence in the United States or on their 

connection with activities in, or effect on, commerce of the United States, pursuant to section 2(i) 

of the CEA.139

2. Costs and Benefits of Required Clearing Under the Proposed 

Determination.

Market participants may incur certain costs in order to clear the RFR OIS to be added to 

the clearing requirement in the proposed rule. For example, to the extent that there are market 

participants entering into RFR OIS that are not already clearing interest rate swaps voluntarily or 

pursuant to the Commission’s prior clearing requirement determinations, such market 

participants may incur certain startup and ongoing costs related to developing technology and 

infrastructure, updating or creating new legal agreements, service provider fees, and 

 

139 Pursuant to section 2(i) of the CEA, activities outside of the United States are not subject to the swap provisions 

of the CEA, including any rules prescribed or regulations promulgated thereunder, unless those activities either 

“have a direct and significant connection with activities in, or effect on, commerce of the United States”; or 

contravene any rule or regulation established to prevent evasion of a CEA provision enacted under the Dodd-Frank 

Act. 7 U.S.C. 2(i).
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collateralization of the cleared positions.140 The costs of collateralization, on the other hand, are 

likely to vary depending on whether an entity is subject to the margin requirements for uncleared 

swaps141 and capital requirements, and the differential between the cost of capital for the assets 

they use as collateral and the returns realized on those assets.

As noted in Table 6 above, almost all RFR OIS subject to this proposed determination are 

already cleared voluntarily, and market participants currently clearing RFR OIS already realize 

the benefits of clearing. Adoption of the proposed determination would ensure that the 

percentage of RFR OIS that are cleared would remain high in the future and that these benefits 

would continue to be realized. These benefits include reduced and standardized counterparty 

credit risk, increased transparency, and easier swap market access for market participants who 

are required to clear. Together, these benefits contribute significantly to the stability and 

efficiency of the financial system, but they are difficult to quantify with any degree of precision.

While there may be a benefit to removing certain swaps from required clearing, such as 

fewer costs to market participants who no longer have to submit such swaps to clearinghouses, in 

this instance, the reason the Commission is removing certain swaps referencing IBORs from the 

clearing requirement is because they are, with limited exceptions, no longer offered for clearing. 

The swap rates that the Commission is proposing to remove from the clearing requirement, other 

than USD LIBOR and SGD SOR-VWAP, should no longer be available or used by market 

 

140 These per-entity costs would vary widely depending on the needs of such market participants. Costs likely would 

be lower for market participants who already clear interest rate swaps covered by the Commission’s prior clearing 

requirement determinations. The opposite would be true for market participants that start clearing because of the 

proposed determination. However, given the high rates of voluntary clearing, there are likely to be few, if any, new 

participants.

141 The Commission’s margin requirements for uncleared swaps are codified in subpart E of part 23 of the 

Commission’s regulations.
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participants, pursuant to broad international consensus and industry progress, as described 

above.

142

 Therefore, the Commission preliminarily believes that removing these swaps 

referencing IBORs from the clearing requirement would not impose additional costs on market 

participants and would result in the benefit of market and regulatory certainty. There may be no 

meaningful benefit to market participants from this removal because they generally cannot clear 

these swaps today. However, there may be benefits associated with the effort to reach broad 

consensus around the transition away from IBORs.

The Commission notes that any potential costs associated with the proposed 

determination should be viewed in light of the fact that each new swap that would be required to 

be cleared would stand in the place of a swap that is already subject to required clearing and that 

almost all of these swaps are cleared voluntarily.

143

 Liquidity tied to IBORs has shifted, and will 

continue to shift, to RFRs as those IBORs are discontinued or become nonrepresentative. That 

shift has occurred, and continues to occur, as a result of numerous market events, including DCO 

conversions of IBOR swaps to RFR swaps, the operation of contractual fallbacks, and new use of 

RFRs in parallel with declining liquidity in IBOR swaps. The RFR OIS subject to this proposal 

are already widely cleared so that the costs associated with clearing these swaps are already 

being incurred.

144

 Accordingly, the Commission anticipates that the additional cost of 

compliance for market participants would be de minimis.

 

142 Indeed, as noted above, regulators in the United States have called on market participants to cease new USD 

LIBOR activity. 

143 As noted above, while the Commission proposes to require clearing of USD SOFR and SGD SORA swaps 

effective 30 days after publication of the final rule in the Federal Register, the Commission proposes to remove USD 

LIBOR and SGD SOR-VWAP clearing requirements on a delayed basis, effective July 1, 2023. 

144 See section V.C above.
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Request for Comment

The Commission requests comment concerning the costs of clearing described above for 

various market participants and the extent to which they are already being incurred. The 

Commission requests comment from both U.S. and non-U.S. swap counterparties that may be 

affected by the proposed determination. 

a. Technology, Infrastructure, and Legal Costs

Market participants already clearing swaps may incur costs in making necessary changes 

to technology systems to support the clearing required by the proposed rule if they are not yet 

clearing RFR OIS. To the extent that there are market participants who are not currently clearing 

RFR OIS, such market participants may incur costs if they need to implement technology to 

connect to FCMs that will clear their transactions.145 The costs are likely to depend on the 

specific business needs of each entity and therefore would vary widely among market 

participants. As a general matter, given that most market participants already will have 

undertaken the steps necessary to move away from the use of IBOR swaps in the cleared interest 

rate swap market, the burden associated with required clearing of RFR OIS should be 

minimal.146 

 

145 The Commission does not have the information necessary to determine either the costs associated with entities 

that need to establish relationships with one or more FCMs or the costs associated with entities that already have 

relationships with one or more FCMs but need to revise their agreements. Commenters are requested to provide the 

necessary data where available.

146 E.g., Tradeweb Letter (“In effect, the CFTC is not expanding the existing clearing determinations, rather it will 

be applying the existing IBOR determinations to contracts based on the new RFRs.”); Citadel Letter (“As noted 

above, OTC derivatives referencing SOFR are currently being cleared by DCOs in material volumes, demonstrating 

that the rule frameworks and operational infrastructure already exist to support a clearing requirement. Significant 

voluntary clearing demonstrates the confidence market participants have in the current DCO offerings.”); Eurex 

Letter (“Eurex Clearing does not believe that adopting a clearing requirement for swaps referencing SOFR would be 

any hindrance to trading activity in those swaps. Any such clearing requirements for the RFRs, if adopted, were 

already in effect for the IBOR-based rates being replaced.”). 
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With regard to costs, market participants who do not currently have established clearing 

relationships with an FCM will have to set up and maintain such a relationship in order to clear 

swaps that are required to be cleared. Market participants who transact a limited number of 

swaps per year likely will be required to pay monthly or annual fees that FCMs charge to 

maintain both the relationship and outstanding swap positions belonging to the customer. In 

addition, the FCM is likely to pass along fees charged by the DCO for establishing and 

maintaining open positions. It is likely that most market participants already will have had 

experience complying with prior clearing requirements and that the incremental burdens 

associated with clearing any of the new RFR OIS should be minimal, especially given that these 

products are intended to replace already widely cleared products.147

Request for Comment

The Commission requests comment, including any quantifiable data and analysis, on the 

changes that market participants will have to make to their technological and legal infrastructures 

in order to clear the RFR OIS that are subject to the proposed determination. In particular, the 

Commission requests comment concerning how many market participants, if any, may have to 

 

147 In responding to the RFI, TD Bank noted that the implementation of new clearing requirements to address the 

transition from IBORs to RFRs “should not materially increase costs” (but should be “forecasted appropriately to 

allow firms to become operationally ready”). TD Bank Letter. JSCC noted that “DCOs and market participants 

have already incurred significant costs to transition LIBOR swaps denominated in non-USD currencies to alternative 

reference rates” and stated that JSCC “[does] not believe there would be any additional costs to be borne by DCOs 

and market participants if the CFTC includes alternative reference rates, such as TONA OIS, in the Clearing 

Requirement.” JSCC Letter. ISDA stated that “[w]hile the changes in [the clearing requirement] will have a cost 

attached . . . these costs are part of the overall cost of LIBOR transition and spread across multiple jurisdictions.” 

ISDA Letter. ISDA noted that for institutional clients, additional costs “will be incremental as opposed to 

something completely new and potentially prohibitive,” but also noted that “[f]or smaller less sophisticated 

counterparties who do not have to currently clear, [a new clearing requirement] could be a significant cost that could 

deter them from hedging using swaps.” Id. ISDA requested that the Commission “not enact a [clearing 

requirement] . . . in a way that increases cost, for instance by providing [a] short notice period that would require the 

implementation of tactical solutions to meet short deadlines.” Id. ACLI encouraged the Commission to “consider 

whether the marginal risk mitigation benefits of an expanded clearing requirement outweigh the costs of 

compliance” in light of uncleared swap margin rules. ACLI Letter. 
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establish new relationships with FCMs, or significantly upgrade those relationships based on the 

inclusion of these new products to the clearing requirement.

b. Ongoing Costs Related to FCMs and Other Service Providers

In addition to costs associated with technological and legal infrastructures, market 

participants transacting in RFR OIS subject to the proposed determination will face ongoing 

costs associated with fees charged by FCMs. DCOs typically charge FCMs an initial transaction 

fee for each cleared interest rate swap its customers enter, as well as an annual maintenance fee 

for each open position. The Commission understands that customers that occasionally transact in 

swaps are typically required to pay a monthly or annual fee to each FCM.148 As noted, most 

RFR OIS transactions are already cleared, so that these costs are largely being incurred by 

market participants.

As discussed above, it is difficult to predict precisely how the proposed requirement to 

clear RFR OIS will promote the use of swap clearing, as compared to the use of clearing that 

would occur in the absence of the requirement. However, as presented in the data above, the use 

of voluntary clearing is so high that the percentage of swaps that would be cleared following 

adoption of the rule is unlikely to increase materially. Some RFR OIS will continue to be 

uncleared pursuant the exceptions and exemptions set out in subpart C of part 50 of the 

Commission’s regulations. According to Table 6, the percentage of swaps that are cleared in 

USD SOFR is about 95 to 96 percent. The Commission estimates that about 96 percent of non-

 

148 The Commission does not have current information regarding such fees; commenters are requested to provide the 

necessary data where available.
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inter-affiliate trades in USD LIBOR fixed-to-floating IRS were cleared as of January 2022.

149

 

The Commission anticipates that a similar percentage of RFR OIS subject to this proposal would 

continue to be cleared following the determination given that subpart C of part 50 has not 

changed. Because the clearing percentages in Table 6 for non-USD RFR OIS are even higher 

than for SOFR OIS, the increase in clearing as a result of this rule also will likely be de minimis. 

Any increase in the use of clearing due to the proposed determination would lead in most cases 

to an incremental increase in the transaction costs noted above. However, because most market 

participants already will have undertaken the steps necessary to accommodate the clearing of 

swaps subject to required clearing, the Commission anticipates that the burden associated with 

clearing RFR OIS should be minimal.

Request for Comment

The Commission requests comment regarding the fee structures of FCMs in general, and 

in particular as they relate to the clearing of the types of RFR OIS covered by the proposed rule.

c. Costs Related to Collateralization of Cleared Swap Positions

Market participants that enter into RFR OIS subject to the proposed rule will be required 

to post initial margin at a DCO. The Commission understands that the RFR OIS subject to this 

proposal are already being widely cleared on a voluntary basis, and so any additional amounts of 

initial margin that market participants would be required to post to a DCO as a result of the 

proposed determination likely would be relatively small. In reaching this preliminary view, the 

Commission considered situations where (1) uncleared RFR OIS may be otherwise 

 

149 This estimate is based on swaps transacted after the most recent revisions to subpart C of part 50 went into effect 

(on or after December 30, 2020) so it captures all applicable exemptions from the swap clearing requirement.
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collateralized;

150 (2) uncleared RFR OIS between certain SDs and “financial end-users” are, or 

will be, subject to initial and variation margin requirements under the Commission’s margin 

regulations for uncleared swaps;

151 (3) the pricing of certain uncleared swaps may account for 

implicit contingent liabilities and counterparty risk; (4) not all RFR OIS will necessarily be 

eligible for clearing if they have terms that prevent them from being cleared;

152 and (5) certain 

entities may elect an exception or exemption from the clearing requirement.153

The Commission acknowledges that market participants who are not clearing voluntarily 

and not otherwise required to post margin or collateral may incur costs related to funding 

collateral once they are required to clear. The greater the funding cost relative to the rate of 

return on the asset used as initial margin, the greater the cost of procuring collateral.

154

 

Quantifying this cost with any precision is challenging because different entities may have 

different funding costs and may choose assets with different rates of return.

Request for Comment

The Commission requests comments on all aspects of quantifying the cost of funding 

initial margin that would be required to be posted to a DCO pursuant to this proposed rule. In 

particular, the Commission requests comment on funding costs that market participants may face 

due to interest rates on bonds issued by a sovereign nation that also issues the currency in which 

 

150 E.g., under the terms of a credit support annex.

151 Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants, 81 FR 636 (Jan. 6, 

2016); Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants, 85 FR 71246 

(Nov. 9, 2020).

152 For example, if such swaps do not meet the specifications set forth in proposed revised regulation 50.4(a).

153 See subpart C of part 50 (Exceptions and Exemptions to the Clearing Requirement).

154 Certain entities, such as pension funds and asset managers, may use as initial margin assets that they already own.

In such cases, market participants would not incur funding costs in order to post initial margin.
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the RFR OIS subject to this proposed determination is denominated. CME, LCH, and Eurex

accept as initial margin bonds issued by several sovereigns, and market participants may post 

such bonds as initial margin if the Commission adopts this proposed rule. 

The Commission recognizes further that the new initial margin amounts that would be 

required to be posted to DCOs for cleared RFR OIS will, for entities required to post initial 

margin under the uncleared swap margin regulations, replace the initial margin amount that has 

been, or will be, required to be posted to their swap counterparties, pursuant to the uncleared 

swap margin regulations. The uncleared swap margin regulations require SDs and certain 

“financial end-users” to post and collect initial and variation margin for uncleared swaps, subject 

to various conditions and limitations.155 

The Commission anticipates that the initial margin that would be required to be posted 

for a cleared swap to be added under this proposed determination would typically be less than the 

initial margin that would be required to be posted for uncleared swaps pursuant to the uncleared 

swap margin regulations. Whereas the initial margin requirement for cleared swaps must be 

established according to a margin period of risk of at least five days,156 under the uncleared swap 

margin regulations, the minimum initial margin requirement is set with a margin period of risk of 

10 days or, under certain circumstances, less or no initial margin for inter-affiliate 

 

155 See generally subpart E of part 23 of the Commission’s regulations. Swap clearing requirements under part 50 of 

the Commission’s regulations apply to a broader scope of market participants than the uncleared swap margin 

regulations. For example, under subpart E of part 23, a “financial end-user” that does not have “material swaps

exposure” (as defined by regulation 23.151) is not required to post initial margin, but such an entity may be subject 

to the swap clearing requirement. 17 CFR 23.151.

156 Commission regulation 39.13(g)(2)(ii)(c), 17 CFR 39.13(g)(2)(ii)(c).
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transactions.157 Phase-in of the initial margin requirements for uncleared swaps began on

September 1, 2016, and will be fully implemented by September 1, 2022. The requirement for 

entities subject to uncleared swap margin regulations to exchange variation margin was fully 

implemented on March 1, 2017.

With respect to swaps that would be added to the clearing requirement under this 

proposed determination, but not subject to the uncleared swap margin regulations, the 

Commission believes that the new initial margin amounts to be deposited would displace costs

that are currently embedded in the prices and fees for transacting the swaps on an uncleared and 

uncollateralized basis, rather than add a new cost. Entering into a swap is costly for any market 

participant because of the default risk posed by its counterparty. When a market participant 

faces a DCO, the DCO accounts for that counterparty credit risk by requiring the market 

participant to post collateral, and the cost of capital for the collateral is part of the cost that is 

necessary to maintain the swap position. When a market participant faces an SD or other 

counterparty in an uncleared swap, however, the uncleared swap contains an implicit line of 

credit upon which the market participant effectively draws when its swap position is out of the 

money. Typically, counterparties charge for this implicit line of credit in the spread they offer on 

uncollateralized, uncleared swaps.158 Additionally, because the counterparty credit risk that the 

implicit line of credit creates is the same as the counterparty risk that would result from an 

 

157 Commission regulations 23.154(b)(2)(i) and 23.159. See generally Margin and Capital Requirements for 

Covered Swap Entities, 80 FR 77840 (Nov. 3, 2015).

158 It has been argued that the cash flows of an uncollateralized swap (i.e., a swap with an implicit line of credit) are 

over time substantially equivalent to the cash flows of a collateralized swap with an explicit line of credit. See

generally Antonio S. Mello & John E. Parsons, Margins, Liquidity, and the Cost of Hedging, MIT Center for Energy 

and Environmental Policy Research, May 2012, available at 

http://dspace.mit.edu/bitstream/handle/1721.1/70896/2012-005.pdf?sequence=1. 
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explicit line of credit provided to the same market participant, to a first order approximation, the 

charge for each should be the same as well.159 This means that the cost of capital for additional 

collateral posted as a consequence of requiring uncollateralized swaps to be cleared takes a cost 

that is implicit in an uncleared, uncollateralized swap and makes it explicit.160 This observation 

applies to capital costs associated with both initial margin and variation margin.

The proposed rule also may result in added operational costs for those few market 

participants who are not already clearing these swaps voluntarily. With uncleared swaps, 

counterparties may agree not to collect variation margin until certain thresholds of material 

swaps exposure are reached, thus reducing or eliminating the need to exchange variation margin 

as exposure changes.161 However, DCOs collect and pay variation margin daily, and sometimes 

more frequently. Increased required clearing therefore may increase certain operational costs 

associated with paying variation margin to the DCO.

162

 

The proposed rule may result in slight additional costs for clearing members in the form 

of guaranty fund contributions that are held by the DCO. However, it also could decrease 

guaranty fund contributions for certain clearing members. Once the proposed determination

takes effect, there may be market participants that currently transact swaps bilaterally who would 

 

159 Id. Mello and Parsons state, “[h]edging is costly. But the real source of the cost is not the margin posted, but the 

underlying credit risk that motivates counterparties to demand that margin be posted.” Id. at 12. They also note 

that, “[t]o a first approximation, the cost charged for the non-margined swap must be equal to the cost of funding the 

margin account. This follows from the fact that the non-margined swap just includes funding of the margin account 

as an embedded feature of the package.” Id. at 15-16.

160 But note that the cost may be greater for uncleared swaps as the initial margin is computed on a counterparty by 

counterparty basis, whereas in the clearing context, there is most likely greater opportunity for netting exposures at 

the DCO.

161 Among other things, the Commission’s part 23 regulations set forth material swap exposure thresholds above 

which the exchange of variation margin is no longer voluntary. 17 CFR 23.151 and 153.

162 However, exchange of variation margin will lower the build-up of current exposure.
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have to either become clearing members of a DCO or submit such swaps for clearing through an 

existing clearing member. A market participant that becomes a direct clearing member must 

make a guaranty fund contribution, while a market participant that clears its swaps through a 

clearing member may pay higher fees if the clearing member passes the costs of the guaranty 

fund contribution to its customers. While the addition of new clearing members and new 

customers for existing clearing members may result in an increase in guaranty fund 

requirements, it should be noted that if (1) new clearing members are not among the two clearing 

members used to calculate the guaranty fund and (2) any new customers trading through a 

clearing member do not increase the size of uncollateralized risks at either of the two clearing 

members used to calculate the guaranty fund, all else held constant, existing clearing members 

may experience a decrease in their guaranty fund requirement. 

Request for Comment

The Commission requests comment regarding the total amount of additional collateral 

that would be posted due to required clearing of the RFR OIS covered by this proposed 

determination. The Commission also invites comment regarding (1) the cost of capital and 

returns on capital for that collateral, (2) the effects of required clearing on the capital 

requirements for financial institutions, and (3) the costs and benefits associated with operational 

differences related to the collateralization of uncleared versus cleared swaps. Please supply 

quantifiable data and analysis regarding these subjects, if possible.

3. Benefits of Clearing.

As noted above, there are significant benefits to central clearing of swaps. These benefits 

include reducing and standardizing counterparty credit risk, improving market transparency, and 

promoting access to clearing services. Specifically, there are important risk mitigation benefits
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of clearing RFR OIS that replace IBOR swaps (which would be removed from the clearing 

requirement under the proposal). In addition, requiring the central clearing of RFR OIS would 

promote regulatory continuity and cross-border harmonization of clearing requirements. 

The Commission believes that while the requirement to margin uncleared swaps 

mitigates counterparty credit risk, such risk is mitigated further for swaps that are cleared 

through a central counterparty. Moreover, the proposed determination would apply to a larger 

set of market participants than the uncleared swaps margin requirements. Thus, to the extent that 

the proposed determination to add RFR OIS to the clearing requirement leads to increased 

clearing overall, these benefits are likely to result. As is the case for the costs noted above, it is 

likely that the use of clearing will not increase materially as a result of the proposed rule, but 

implementing a clearing requirement would help ensure the benefits of the proposed rule would 

continue to be realized as market participants continue to clear RFR OIS. 

The proposed rule’s requirement that certain swaps be cleared is intended to ensure that

market participants will face a DCO, and therefore, will face a highly creditworthy counterparty. 

As discussed above, DCOs are some of the most creditworthy counterparties in the swap market 

because of the risk management tools they have available. The Commission recognizes that the 

beneficial value of the proposal to add RFR OIS to the clearing requirement may be lessened, in 

part, because the swap volumes that will be subject to a new clearing requirement are expected to 

be shifting from one set of swaps (IBORs) to another (RFRs) rather than a straightforward 

addition of new swap products to the clearing requirement.163 Moreover, as noted, these benefits 

are already being realized for the large majority of these swaps that are cleared voluntarily. 

 

163 As discussed in section IV.A above.
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Request for Comment

The Commission requests comment on whether benefits will result from the proposed 

rule, and, if so, the expected magnitude of such benefits. The Commission also requests 

comment on whether the proposed rule would provide benefits by furthering international 

harmonization of clearing requirements.

D. Costs and Benefits of the Proposed Rule as Compared to Alternatives

The proposed rule is a function of both the market importance of these products and the 

fact that they already are widely cleared. The Commission believes that these interest rate swaps 

should be required to be cleared because they are widely used and infrastructure for clearing and 

risk management of these swaps already exists.

Given the Commission’s prior clearing requirement determinations, and the widespread 

use of clearing for RFR OIS to be added under this proposal, DCOs, FCMs, and market 

participants already have experience clearing the types of swaps proposed for required clearing. 

Because of the wide use of these swaps and their importance to the market, and because these 

swaps are already successfully being cleared, the Commission is proposing to include RFR OIS 

in the interest rate swap clearing requirement.

The Commission believes that RFR OIS should be added to the swap clearing 

requirement under this proposed determination after analyzing the factors under section 

2(h)(2)(D) of the CEA, in order to promote consistency with its regulatory counterparts in other 

jurisdictions and to ensure that the benefits of required clearing accrue to the RFR OIS that 

replace IBOR swaps no longer offered for clearing. 
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The Commission could consider alternative implementation scenarios for its proposed 

RFR OIS clearing requirements, as discussed above. Specifically, the Commission could

consider:

i. Whether to remove existing requirements to clear USD LIBOR and SGD SOR-VWAP 

swaps 30 days after publication of the final rule in the Federal Register instead of on July 

1, 2023. The Commission notes that liquidity in USD LIBOR swaps may decline 

sufficiently over the coming months to support removing such swaps from the clearing 

requirement on a date earlier than July 1, 2023.

ii. Whether to delay implementation of the proposed requirement to clear USD SOFR and 

SGD SORA OIS until July 1, 2023 (or phase-in the compliance date) rather than to 

require compliance beginning 30 days after publication of the final rule in the Federal 

Register. The Commission is considering this alternative in the event that market 

participants have significant concerns regarding sufficiency of outstanding notional and 

liquidity (or pricing data) to support requiring clearing of USD SOFR swaps out to 50 

years, and SGD SORA swaps out to 10 years, at an earlier time.

The Commission requests comment on these implementation alternatives. 

Finally, the Commission may consider an alternative scenario in which it does not adopt 

any new clearing requirement for RFR OIS. Under that alternative, the cost to the market would 

be an increased risk of uncleared swaps (and the associated financial stability risks) should 

market participants decide to clear less in the future. The cost may be significant in this instance 

because of the potential effect on the market-wide effort to replace IBOR swaps with RFR

swaps, but may be mitigated given the current high level of clearing. The benefit of not adopting 

any new clearing requirements would be a savings experienced by market participants that would 
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not be required to clear new swaps referencing an RFR and did not otherwise find it beneficial to 

do so. However, given the high rate of voluntary clearing, any cost savings may be de minimis. 

In light of this, the Commission may be less likely to pursue this alternative without some type of 

significant change in the interest rate swap markets.

E. Section 15(a) Factors

The Commission anticipates that the proposed amendments to add and remove certain 

swaps from the clearing requirement will result in a slight increase in the already high use of 

clearing, although it is impossible to quantify with certainty the extent of that increase.164 This 

section discusses the expected results from an overall increase, or maintenance at high levels, in 

the use of swap clearing in terms of the factors set forth in section 15(a) of the CEA.

1. Protection of Market Participants and the Public.

The required clearing of the RFR OIS to be added under this proposed rule should ensure 

the reduction of counterparty risk for market participants that clear those swaps, because they 

will be required to face the DCO rather than another market participant that lacks the full set of 

risk management tools that the DCO possesses. This also should reduce uncertainty in times of 

market stress because, for cleared trades, market participants facing a DCO would not be

concerned with the impact of such stress on the solvency of their original counterparty. By 

proposing to require clearing of RFR OIS, all of which are already available for clearing and 

predominantly cleared voluntarily, the Commission aims to further encourage a smooth 

transition away from IBORs. More specifically, the registered DCOs currently clearing these 

 

164 It is possible that the level of clearing overall may remain similar if the use of swaps referencing RFRs replaces 

the use of swaps referencing IBORs.
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RFR OIS would clear a slightly increased volume of swaps that they already understand and 

have experience managing.165 Similarly, FCMs may realize slightly increased customer and 

transaction volume as the result of the requirement, but would not have to simultaneously learn 

how to operationalize clearing for the covered interest rate swaps. 

In addition, uncleared swaps subject to collateral agreements can be the subject of 

valuation disputes, which sometimes require several months or longer to resolve. Potential 

future exposures can grow significantly and even beyond the amount of initial margin posted 

during that time, leaving one of the two counterparties exposed to counterparty credit risk. 

DCOs virtually eliminate valuation disputes for cleared swaps, as well as the risk that 

uncollateralized exposure can develop and accumulate during the time when such a dispute 

would have otherwise occurred, thus providing additional protection to market participants who 

transact in swaps that are cleared. Because most RFR OIS are cleared voluntarily, these 

protections are currently being realized. Requiring clearing under part 50 of the Commission’s 

regulations would ensure that they continue to be realized.

2. Efficiency, Competitiveness, and Financial Integrity of Swap Markets.

Swap clearing, in general, reduces uncertainty regarding counterparty risk in times of 

market stress and promotes liquidity and efficiency during those times. Increased liquidity

 

165 See CMEG Letter (“CME Clearing currently accepts OIS referencing SOFR, SARON, €STR, SONIA and TONA 

. . .. CME Clearing is therefore already in a position to support a Clearing Requirement in relation to these swaps.”); 

LSEG (noting RFR OIS that LCH already clears and discussing significant recent increases in liquidity in certain 

swaps, particularly JPY TONA and USD SOFR); Eurex Letter (“Eurex Clearing has a well-developed rule 

framework, compliance process and procedures, and support infrastructure to support clearing of swaps referencing 

the RFRs and already offers clearing of these swaps. Eurex Clearing has leveraged and will continue to leverage 

this operational capacity for the clearing of swaps referencing the RFRs and has the appropriate risk management, 

operations, technology, and compliance capabilities in place to continue to provide for compliance with all CEA 

core principles for DCOs.”). See also JSCC Letter (noting that JSCC has been clearing JPY TONA OIS since 2014 

and that because “JPY swap market liquidity has already fully transitioned from IRS referencing LIBOR to TONA 

OIS,” there is “no concern for DCOs to accept [JPY TONA OIS] for clearing.”).
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promotes the ability of market participants to limit losses by exiting positions effectively and 

efficiently when necessary in order to manage risk during a time of market stress. In addition, to 

the extent that positions move from facing multiple counterparties in the bilateral market to being 

cleared through a smaller number of clearinghouses, clearing facilitates increased netting. This 

reduces the amount of collateral that a party must post in margin accounts. As discussed above, 

in formulating this proposed determination, the Commission considered a number of specific 

factors that relate to the financial integrity of the swap markets. Specifically, as discussed above, 

the Commission assessed whether the registered DCOs that clear the RFR OIS that are the 

subject of this proposal have the rule framework, capacity, operational expertise and resources, 

and credit support infrastructure to clear these swaps on terms that are consistent with the 

material terms and trading conventions on which the contract is then traded.166 The Commission

also considered the resources of DCOs to handle additional clearing during stressed and nonstressed market conditions, as well as the existence of reasonable legal certainty in the event of a 

clearing member or DCO insolvency.

Also, as discussed above, bilateral swaps create counterparty risk that may lead market 

participants to discriminate among potential counterparties based on their creditworthiness. Such 

discrimination is expensive and time consuming insofar as market participants must conduct due 

diligence in order to evaluate a potential counterparty’s creditworthiness. Requiring certain 

types of swaps to be cleared reduces the number of transactions for which such due diligence is 

necessary, thereby contributing to the efficiency of the swap markets. In proposing a clearing 

requirement for RFR OIS, the Commission must consider the effect on competition, including 

 

166 See section V above.
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appropriate fees and charges applied to clearing. There are a number of potential outcomes that 

may result from required clearing. Some of these outcomes may impose costs, such as if a DCO 

possessed market power and exercised that power in an anticompetitive manner, and some of the 

outcomes would be positive, such as if the clearing requirement facilitated a stronger entry 

opportunity for competitors.167 Because most of these swaps are cleared voluntarily, these 

effects on efficiency, competitiveness, and financial integrity are, to a large degree, currently 

being realized. Requiring clearing would ensure that they continue to be realized.

3. Price Discovery.

Clearing, in general, encourages better price discovery because it eliminates the 

importance of counterparty creditworthiness in pricing swaps cleared through a given DCO. By 

making the counterparty creditworthiness of all swaps of a certain type essentially the same, 

prices should reflect factors related to the terms of the swap, rather than the idiosyncratic risk 

posed by the entities trading it. Because most of these swaps are cleared voluntarily, these 

effects on price discovery are currently being realized. Requiring clearing would ensure that 

they continue to be realized.

4. Sound Risk Management Practices.

If a firm enters into uncleared and uncollateralized swaps to hedge certain positions and 

then the counterparty to those swaps defaults unexpectedly, the firm could be left with large 

outstanding exposures. Even for uncleared swaps that are subject to the Commission’s uncleared 

 

167 Issues related to competition also are considered in sections V and VIII.
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swap margin regulations, some counterparty credit risk remains.168 As stated above, when a 

swap is cleared the DCO becomes the counterparty facing each of the two original participants in 

the swap. This standardizes and reduces counterparty risk for each of the two original 

participants. To the extent that a market participant’s hedges comprise swaps that are required to 

be cleared and would not be cleared voluntarily, the requirement enhances their risk management 

practices by reducing their counterparty risk.

In addition, to the extent that required clearing reduces or deters a potential increase in 

bilateral trading, it reduces the complexity of unwinding or transferring swap positions from 

large entities that default. Procedures for transfer of swap positions and mutualization of losses 

among DCO members are already in place, and the Commission anticipates that they are much 

more likely to function in a manner that enables rapid transfer of defaulted positions than legal 

processes that would surround the enforcement of bilateral contracts for uncleared swaps.169

Central clearing has evolved since the 2009 G20 Pittsburgh Summit, when G20 leaders 

committed to central clearing of all standardized swaps.170 The percentage of the swap market 

that is centrally cleared has increased significantly, clearinghouses have expanded their 

 

168 For example, there is a small risk of a sudden price move so large that a counterparty would be unable to post 

sufficient variation margin to cover the loss, which may exceed the amount of initial margin posted, and could be 

forced into default.

169 Sound risk management practices are critical for all DCOs, especially those offering clearing for interest rate 

swaps given the size and interconnectedness of the global interest rate swap market, as presented throughout this 

proposal. The Commission considered whether each regulation 39.5(b) submission under review was consistent 

with the DCO core principles. In particular, the Commission considered the DCO submissions in light of Core 

Principle D, which relates to risk management. See also section V.C above for a discussion of the effect on the 

mitigation of systemic risk in the interest rate swap market, as well as the protection of market participants during 

insolvency events at either the clearing member or DCO level.

170 The G20 Leaders Statement made in Pittsburgh is available at 

http://www.g20.utoronto.ca/2009/2009communique0925.html. 
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offerings, and the range of banks and other financial institutions that submit swaps to 

clearinghouses has broadened. At the same time, the numbers of swap clearinghouses and swap 

clearing members has remained highly concentrated. This has created concerns about a 

concentration of credit and liquidity risk at clearinghouses that could have systemic 

implications.171

However, the Commission believes that DCOs are capable of risk managing the swaps 

that are the subject of this proposed determination. Moreover, because most of the RFR OIS to 

be added to the clearing requirement under this proposed determination are already cleared 

voluntarily, the Commission anticipates that the extent to which this proposed determination 

would increase the credit risk and liquidity risk that is concentrated at DCOs would be relatively 

small. The Commission requests comments on this issue.

5. Other Public Interest Considerations.

In September 2009, the President and other leaders of the G20 nations met in Pittsburgh 

and committed to a program of action that includes, among other things, central clearing of all 

standardized swaps.172 The Commission believes that this clearing requirement proposal would 

be consistent with the G20’s commitment and would reflect the Commission’s ongoing 

confidence in central clearing for swaps and other derivatives. As discussed throughout this 

 

171 See Dietrich Domanski, et al., “Central clearing: Trends and current issues,” BIS Quarterly Review, Dec. 2015, 

available at https://www.bis.org/publ/qtrpdf/r_qt1512g.pdf; U.S. Department of the Treasury, Office of Financial 

Research, Financial Stability Report, at 35 (Nov. 2018), available at 

https://www.federalreserve.gov/publications/files/financial-stability-report-201811.pdf; Umar Faruqui, et al., 

“Clearing risks in OTC derivatives markets: the CCP-bank nexus,” at 77-79 (2018), available at 

https://www.bis.org/publ/qtrpdf/r_qt1812h.pdf. 

172 The G20 Leaders Statement made in Pittsburgh is available at 

http://www.g20.utoronto.ca/2009/2009communique0925.html. 
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proposal, central clearing of derivatives by DCOs can serve the public interest in numerous

ways.

VIII. RELATED MATTERS

A. Regulatory Flexibility Act

The Regulatory Flexibility Act (RFA) requires agencies to consider whether the rules 

they propose will have a significant economic impact on a substantial number of small entities 

and, if so, provide a regulatory flexibility analysis with respect to such impact.173 This proposed 

determination will not affect any small entities, as the RFA uses that term. Only eligible contract 

participants (ECPs) may enter into swaps, unless the swap is listed on a designated contract 

market (DCM),174 and the Commission has determined that ECPs are not small entities for 

purposes of the RFA.175 This proposed determination would affect only ECPs because all 

persons that are not ECPs are required to execute their swaps on a DCM, and all contracts 

executed on a DCM must be cleared by a DCO, as required by statute and regulation, not the

operation of any clearing requirement determination. Therefore, the Chairman, on behalf of the 

Commission, hereby certifies pursuant to 5 U.S.C. 605(b) that this proposed rulemaking will not 

have a significant economic impact on a substantial number of small entities.

B. Paperwork Reduction Act

The Paperwork Reduction Act (PRA)176 imposes certain requirements on federal 

agencies, including the Commission, in connection with conducting or sponsoring any collection 

 

173 5 U.S.C. 601 et seq.

174 Section 2(e) of the CEA, 7 U.S.C. 2(e).

175 Opting Out of Segregation, 66 FR 20740, 20743 (Apr. 25, 2001).

176 44 U.S.C. 3507(d).
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of information as defined by the PRA. This rulemaking will not require a new collection of 

information from any persons or entities, and there are no existing information collections related 

to this proposal.

C. Antitrust Considerations

Section 15(b) of the Act requires the Commission to “take into consideration the public 

interest to be protected by the antitrust laws and endeavor to take the least anticompetitive means 

of achieving the objectives of this Act, as well as the policies and purposes of this Act, in issuing 

any order or adopting any Commission rule or regulation (including any exemption under section 

4(c) or 4c(b)), or in requiring or approving any bylaw, rule, or regulation of a contract market or 

registered futures association established pursuant to section 17 of this Act.”177 The Commission 

believes that the public interest to be protected by the antitrust laws is generally to protect 

competition. The Commission requests comment on whether the proposal implicates any other 

specific public interest to be protected by the antitrust laws.

The Commission has considered the proposal to determine whether it is anticompetitive 

and has preliminarily identified no anticompetitive effects. The Commission requests comment 

on whether the proposal is anticompetitive and, if it is, what the anticompetitive effects are. 

Because the Commission has preliminarily determined that the proposal is not 

anticompetitive and has no anticompetitive effects, the Commission has not identified any less 

anticompetitive means of achieving the purposes of the Act. The Commission requests comment 

on whether there are less anticompetitive means of achieving the relevant purposes of the Act.

 

177 Section 15(b) of the CEA, 7 U.S.C. 15(b).
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List of Subjects in 17 CFR Part 50

Business and industry, Clearing, Swaps.

For the reasons set forth in the preamble, the Commodity Futures Trading Commission 

proposes to amend 17 CFR part 50 as follows:

PART 50—CLEARING REQUIREMENT AND RELATED RULES

▪ 1. The authority citation for part 50 continues to read as follows:

Authority: 7 U.S.C. 2(h) and 7a-1 as amended by Pub. L. 111-203, 124 Stat. 1376.

▪ 2. Revise Sec. 50.4(a) to read as follows:

§ 50.4 Classes of swaps required to be cleared.

(a) Interest rate swaps. Swaps that have the following specifications are required to be cleared 

under section 2(h)(1) of the Act, and shall be cleared pursuant to the rules of any derivatives 

clearing organization eligible to clear such swaps under § 39.5(a) of this chapter.

Table 1 a

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-BANXICO 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.

Table 1 b

Specification

Fixed-to-floating swap class
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1. Currency Polish Zloty (PLN) Singapore Dollar (SGD) Swedish Krona (SEK) U.S. Dollar (USD).

2. Floating Rate Indexes WIBOR SOR-VWAP STIBOR LIBOR.

3. Stated Termination Date Range 28 days to 10 years 28 days to 10 years 28 days to 15 years 28 days to 50 years.

4. Optionality No No No No.

5. Dual Currencies No No No No.

6. Conditional Notional Amounts No No No No.

Table 2

Specification

Basis swap class

1. Currency Australian Dollar (AUD) Euro (EUR) U.S. Dollar (USD).

2. Floating Rate Indexes BBSW EURIBOR LIBOR.

3. Stated Termination Date Range 28 days to 30 years 28 days to 50 years 28 days to 50 years.

4. Optionality No No No.

5. Dual Currencies No No No.

6. Conditional Notional Amounts No No No.

Table 3

Specification

Forward rate agreement 

class

1. Currency Euro (EUR) Polish Zloty 

(PLN)

Norwegian Krone 

(NOK)

Swedish Krona 

(SEK)

U.S. Dollar 

(USD).

2. Floating Rate Indexes EURIBOR WIBOR NIBOR STIBOR LIBOR.

3. Stated Termination Date 

Range 3 days to 3 years 3 days to 2 years 3 days to 2 years 3 days to 3 years 3 days to 3 years.

4. Optionality No No No No No.

5. Dual Currencies No No No No No.
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6. Conditional Notional 

Amounts No No No No No.

Table 4

Specification

Overnight index swap 

class

1. Currency Australian Dollar (AUD)

Canadian 

Dollar 

(CAD)

Euro 

(EUR)

Singapore 

Dollar 

(SGD)

Sterling 

(GBP)

Swiss 

Franc 

(CHF)

U.S. Dollar 

(USD)

U.S. 

Dollar 

(USD)

Yen 

(JPY).

2. Floating Rate 

Indexes AONIA-OIS CORRAOIS €STR SORA SONIA SARON FedFunds SOFR TONA.

3. Stated 

Termination 

Date Range

7 days to 2 years 7 days to 2 

years

7 days 

to 3 

years

7 days to 10 

years

7 days to 

50 years

7 days to 

30 years

7 days to 3 

years

7 days 

to 50 

years

7 days to 

30 years.

4. Optionality No No No No No No No No No.

5. Dual 

Currencies No No No No No No No No No.

6. Conditional 

Notional 

Amounts

No No No No No No No No No.

▪ 3. Revise Sec. 50.26 to read as follows:

§ 50.26 Swap clearing requirement compliance dates.

(a) Compliance dates for interest rate swap classes. The compliance dates for swaps that are 

required to be cleared under § 50.4(a) are specified in the following table.

Table 1 to 

Paragraph ( a )

Swap asset 

class

Swap class 

subtype

Currency and 

floating rate index

Stated 

termination date 

range

Clearing requirement compliance date

Interest Rate 

Swap

Fixed-toFloatingEuro (EUR) 

EURIBOR 28 days to 50 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.

Interest Rate 

Swap

Fixed-toFloatingU.S. Dollar (USD) 

LIBOR 28 days to 50 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.
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Interest Rate 

Swap

Fixed-toFloatingAustralian Dollar 

(AUD) BBSW 28 days to 30 years All entities December 13, 2016.

Interest Rate 

Swap

Fixed-toFloatingCanadian Dollar 

(CAD) CDOR 28 days to 30 years All entities July 10, 2017.

Interest Rate 

Swap

Fixed-toFloatingHong Kong Dollar 

(HKD) HIBOR 28 days to 10 years All entities August 30, 2017.

Interest Rate 

Swap

Fixed-toFloatingMexican Peso (MXN) 

TIIE-BANXICO 28 days to 21 years All entities December 13, 2016.

Interest Rate 

Swap

Fixed-toFloatingNorwegian Krone 

(NOK) NIBOR 28 days to 10 years All entities April 10, 2017.

Interest Rate 

Swap

Fixed-toFloatingPolish Zloty (PLN) 

WIBOR 28 days to 10 years All entities April 10, 2017.

Interest Rate 

Swap

Fixed-toFloatingSingapore Dollar 

(SGD) SOR-VWAP 28 days to 10 years All entities October 15, 2018.

Interest Rate 

Swap

Fixed-toFloatingSwedish Krona 

(SEK) STIBOR 28 days to 15 years All entities April 10, 2017.

Interest Rate 

Swap Basis Euro (EUR) EURIBOR 28 days to 50 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.

Interest Rate 

Swap Basis U.S. Dollar (USD) LIBOR 28 days to 50 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.

Interest Rate 

Swap Basis Australian Dollar (AUD) BBSW 28 days to 30 years All entities December 13, 2016.

Interest Rate 

Swap

Forward Rate 

Agreement

Euro (EUR) 

EURIBOR 3 days to 3 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.

Interest Rate 

Swap

Forward Rate 

Agreement

U.S. Dollar (USD) 

LIBOR 3 days to 3 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.

Interest Rate 

Swap

Forward Rate 

Agreement

Polish Zloty (PLN) 

WIBOR 3 days to 2 years All entities April 10, 2017.

Interest Rate 

Swap

Forward Rate 

Agreement

Norwegian Krone 

(NOK) NIBOR 3 days to 2 years All entities April 10, 2017.

Interest Rate 

Swap

Forward Rate 

Agreement

Swedish Krona 

(SEK) STIBOR 3 days to 3 years All entities April 10, 2017.
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Interest Rate 

Swap

Overnight Index 

Swap Euro (EUR) €STR 7 days to 3 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Singapore Dollar 

(SGD) SORA 7 days to 10 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Sterling (GBP) 

SONIA 7 days to 2 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.

2 years + 1 day to 3 

years

All entities December 13, 2016.

3 years + 1 day to 50 

years

All entities [DATE 30 DAYS AFTER DATE OF 

PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Swiss Franc (CHF)

SARON 7 days to 30 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

U.S. Dollar (USD) 

FedFunds 7 days to 2 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities 

September 9, 2013.

2 years + 1 day to 3 

years

All entities December 13, 2016.

Interest Rate 

Swap

Overnight Index 

Swap

U.S. Dollar (USD) 

SOFR 7 days to 50 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Australian Dollar 

(AUD) AONIA-OIS 7 days to 2 years All entities December 13, 2016.

Interest Rate 

Swap

Overnight Index 

Swap

Canadian Dollar 

(CAD) CORRA-OIS 7 days to 2 years All entities July 10, 2017.

Interest Rate 

Swap

Overnight Index 

Swap Yen (JPY) TONA 7 days to 30 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

(b) Compliance dates for credit default swap classes. The compliance dates for swaps that are 

required to be cleared under § 50.4(b) are specified in the following table.

Table 2 to 

Paragraph ( b )

Swap asset 

class

Swap class subtype Indices Tenor Clearing requirement compliance date

Credit Default 

Swap

North American 

untranched CDS indices CDX.NA.IG 3Y, 5Y, 7Y, 10Y

Category 1 entities March 11, 2013. All non-Category 2 

entities June 10, 2013. Category 2 entities September 9, 

2013.
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Credit Default 

Swap

North American 

untranched CDS indices CDX.NA.HY 5Y

Category 1 entities March 11, 2013. All non-Category 2 

entities June 10, 2013. Category 2 entities September 9, 

2013.

Credit Default 

Swap

European untranched 

CSD indices iTraxx Europe 5Y, 10Y Category 1 entities April 26, 2013. Category 2 entities July 25, 2013. All non-Category 2 entities October 23, 2013.

Credit Default 

Swap

European untranched 

CSD indices

iTraxx Europe 

Crossover 5Y Category 1 entities April 26, 2013. Category 2 entities July 25, 2013. All non-Category 2 entities October 23, 2013.

Credit Default 

Swap

European untranched 

CSD indices

iTraxx Europe 

HiVol 5Y Category 1 entities April 26, 2013. Category 2 entities July 25, 2013. All non-Category 2 entities October 23, 2013.

▪ 4. Effective July 1, 2023, revise Sec. 50.4(a) to read as follows:

Table 1 a

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-BANXICO 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.

Table 1 b

Specification

Fixed-to-floating swap class

1. Currency Polish Zloty (PLN) Swedish Krona (SEK).

2. Floating Rate Indexes WIBOR STIBOR.

3. Stated Termination Date Range 28 days to 10 years 28 days to 15 years.
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4. Optionality No No.

5. Dual Currencies No No.

6. Conditional Notional Amounts No No.

Table 2

Specification

Basis swap class

1. Currency Australian Dollar (AUD) Euro (EUR).

2. Floating Rate Indexes BBSW EURIBOR.

3. Stated Termination Date Range 28 days to 30 years 28 days to 50 years.

4. Optionality No No.

5. Dual Currencies No No.

6. Conditional Notional Amounts No No.

Table 3

Specification

Forward rate agreement class

1. Currency Euro (EUR) Polish Zloty (PLN) Norwegian Krone (NOK) Swedish Krona (SEK).

2. Floating Rate Indexes EURIBOR WIBOR NIBOR STIBOR.

3. Stated Termination Date Range 3 days to 3 years 3 days to 2 years 3 days to 2 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.

Table 4

Specification

Overnight index swap 

class
Pre-Print Version – As approved by the Commission on 5/9/2022

(subject to technical corrections required for Federal Register publication)

108

1. Currency Australian Dollar (AUD)

Canadian 

Dollar 

(CAD)

Euro 

(EUR)

Singapore 

Dollar 

(SGD)

Sterling 

(GBP)

Swiss 

Franc 

(CHF)

U.S. Dollar 

(USD)

U.S. 

Dollar 

(USD)

Yen 

(JPY).

2. Floating Rate 

Indexes AONIA-OIS CORRAOIS €STR SORA SONIA SARON FedFunds SOFR TONA.

3. Stated 

Termination 

Date Range

7 days to 2 years 7 days to 2 

years

7 days 

to 3 

years

7 days to 10 

years

7 days to 

50 years

7 days to 

30 years

7 days to 3 

years

7 days 

to 50 

years

7 days to 

30 years.

4. Optionality No No No No No No No No No.

5. Dual 

Currencies No No No No No No No No No.

6. Conditional 

Notional 

Amounts

No No No No No No No No No.

▪ 5. Effective July 1, 2023, revise Sec. 50.26(a) to read as follows:

§ 50.26 Swap clearing requirement compliance dates.

(a) Compliance dates for interest rate swap classes. The compliance dates for swaps that are 

required to be cleared under § 50.4(a) are specified in the following table.

Table 1 to 

Paragraph ( a )

Swap asset 

class

Swap class 

subtype

Currency and 

floating rate index

Stated termination 

date range Clearing requirement compliance date

Interest Rate 

Swap

Fixed-toFloatingEuro (EUR) 

EURIBOR 28 days to 50 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities September 

9, 2013.

Interest Rate 

Swap

Fixed-toFloatingAustralian Dollar 

(AUD) BBSW 28 days to 30 years All entities December 13, 2016.

Interest Rate 

Swap

Fixed-toFloatingCanadian Dollar 

(CAD) CDOR 28 days to 30 years All entities July 10, 2017.

Interest Rate 

Swap

Fixed-toFloatingHong Kong Dollar 

(HKD) HIBOR 28 days to 10 years All entities August 30, 2017.
Pre-Print Version – As approved by the Commission on 5/9/2022

(subject to technical corrections required for Federal Register publication)

109

Interest Rate 

Swap

Fixed-toFloatingMexican Peso (MXN) 

TIIE-BANXICO 28 days to 21 years All entities December 13, 2016.

Interest Rate 

Swap

Fixed-toFloatingNorwegian Krone 

(NOK) NIBOR 28 days to 10 years All entities April 10, 2017.

Interest Rate 

Swap

Fixed-toFloatingPolish Zloty (PLN) 

WIBOR 28 days to 10 years All entities April 10, 2017.

Interest Rate 

Swap

Fixed-toFloatingSwedish Krona (SEK) 

STIBOR 28 days to 15 years All entities April 10, 2017.

Interest Rate 

Swap Basis Euro (EUR) EURIBOR 28 days to 50 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities September 

9, 2013.

Interest Rate 

Swap Basis Australian Dollar (AUD) BBSW 28 days to 30 years All entities December 13, 2016.

Interest Rate 

Swap

Forward Rate 

Agreement

Euro (EUR) 

EURIBOR 3 days to 3 years

Category 1 entities March 11, 2013. All non-Category 2 

entities June 10, 2013. Category 2 entities September 9, 

2013.

Interest Rate 

Swap

Forward Rate 

Agreement

Polish Zloty (PLN) 

WIBOR 3 days to 2 years All entities April 10, 2017.

Interest Rate 

Swap

Forward Rate 

Agreement

Norwegian Krone 

(NOK) NIBOR 3 days to 2 years All entities April 10, 2017.

Interest Rate 

Swap

Forward Rate 

Agreement

Swedish Krona (SEK) 

STIBOR 3 days to 3 years All entities April 10, 2017.

Interest Rate 

Swap

Overnight Index 

Swap Euro (EUR) €STR 7 days to 3 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Singapore Dollar 

(SGD) SORA 7 days to 10 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Sterling (GBP) 

SONIA 7 days to 2 years

Category 1 entities March 11, 2013. All non-Category 

2 entities June 10, 2013. Category 2 entities September 

9, 2013.

2 years + 1 day to 3 

years

All entities December 13, 2016.

3 years + 1 day to 50 

years

All entities [DATE 30 DAYS AFTER DATE OF 

PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Swiss Franc (CHF)

SARON 7 days to 30 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].
Pre-Print Version – As approved by the Commission on 5/9/2022

(subject to technical corrections required for Federal Register publication)

110

Interest Rate 

Swap

Overnight Index 

Swap

U.S. Dollar (USD) 

FedFunds 7 days to 2 years

Category 1 entities March 11, 2013. All non-Category 2 

entities June 10, 2013. Category 2 entities September 9, 

2013.

2 years + 1 day to 3 

years

All entities December 13, 2016.

Interest Rate 

Swap

Overnight Index 

Swap

U.S. Dollar (USD) 

SOFR 7 days to 50 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

Interest Rate 

Swap

Overnight Index 

Swap

Australian Dollar 

(AUD) AONIA-OIS 7 days to 2 years All entities December 13, 2016.

Interest Rate 

Swap

Overnight Index 

Swap

Canadian Dollar

(CAD) CORRA-OIS 7 days to 2 years All entities July 10, 2017.

Interest Rate 

Swap

Overnight Index 

Swap Yen (JPY) TONA 7 days to 30 years All entities [DATE 30 DAYS AFTER DATE OF PUBLICATION IN THE FEDERAL REGISTER].

* * * * *

Issued in Washington, DC, on May __, 2022, by the Commission.

Christopher Kirkpatrick,

Secretary of the Commission.