SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 21-508

Organization: Chicago Mercantile Exchange Inc. (“CME”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 11/09/21 Filing Description: Acceptance of Singapore Overnight 

Rate Average (SORA) Interest Rate Swaps for Clearing 

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: See filing. 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: 

Rule Numbers: 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

November 9, 2021

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 39.5(b) Certification. Acceptance of Singapore Overnight Rate 

Average (SORA) Interest Rate Swaps for Clearing.

CME Submission No. 21-508

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “CME Clearing”), a registeredderivatives clearing organization 

(“DCO”) under the Commodity Exchange Act, as amended (“CEA” or “Act”) hereby submits to the 

Commodity Futures Trading Commission (“CFTC”) pursuant to Commission Regulation 39.5(b), its 

acceptance of Singapore Overnight Rate Average (“SORA”) denominated overnight index swaps (“SORA

Swaps”) and related amendments to CME Rule 90102.E.1. (“Interest Rate Swaps Rate Options”) of Chapter 

901 (“Interest Rate Swaps Contract Terms”), effective on trade date [Monday, November 15, 2021].

SORA is the average rate of overnight Singapore Dollar (“SGD”) borrowing transactions by banks in 

Singapore, calculated by reference to the volume-weighted average rate of borrowing transactions in the 

unsecured overnight interbank SGD cash market in Singapore between 8am and 6.15pm, Singapore time.

SORA is administered and published by the Monetary Authority of Singapore (“MAS”) and is accessible at 

no charge on the MAS website.1

Publication of SORA by MAS began on July 1, 2005. SORA is computed by MAS based on actual 

transactions and meets the standards of international best practice set out in the IOSCO Principles for 

Financial Benchmarks.2

As part of regulatory and industry initiatives to transition away from certain key interbank offered rates 

(“IBORs”) and interest rate benchmarks, on August 30, 2019 the Association of Banks in Singapore and 

the Singapore Foreign Exchange Market Committee (“ABS-SFEMC”) recommended SORA as the most 

suitable and robust benchmark to replace the SGD Swap Offer Rate (“SOR”) for interest rate derivatives 

denominated in SGD. MAS established the Steering Committee for SOR & SIBOR Transition to SORA, 

comprising senior representatives from key banks, relevant industry associations and MAS, to provide 

1 Further details are available on the MAS website at https://www.mas.gov.sg/monetary-policy/sora. The SORA rate is published at

https://eservices.mas.gov.sg/statistics/dir/DomesticInterestRates.aspx.

2 See: https://www.mas.gov.sg/-/media/MAS/SORA/IOSCOStatement.pdf?la=en&hash=14AD57BBE559FE6157F4E641481108025E3E37ED
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strategic direction and oversee the industry transition from the SGD Swap Offer Rate (“SOR”)3 and the 

Singapore Interbank Offered Rate (“SIBOR”)4to SORA (“SC-STS”). 

In accordance with the SC-STS SORA Transition Roadmap, market participants are preparing for the 

transition of bilateral and cleared OTC IRS from SIBOR and SOR to SORA. CME currently supports SOR 

interest rate swaps and proposes to launch SORA Swaps to facilitate market participants in this transition 

process.

As shown in Exhibit 2, CME’s cleared OTC IRS product scope will be increased to include SORA OIS.

39.5(b)(3)(i): Eligibility to Clear 

Pursuant to CFTC Regulation 39.5(b)(3)(i), CME states that it is eligible to accept SORA Swaps for clearing. 

Should the Commission determine that such swaps are required to be cleared, CME will be able to maintain 

compliance with the DCO core principles set forth in Section 5b(c)(2) of the Act and the Regulations 

promulgated thereunder. 

In accordance with CFTC Regulation 39.5(b)(3)(ii)-(viii), CME is are providing the following information in 

support of this submission: 

39.5(b)(3)(ii)(A): Statement on Outstanding Derivatives Notional Exposure, Trading Liquidity and 

Pricing Data 

Publication of SORA by MAS began on July 1, 2005. SORA represents the average rate of overnight SGD 

borrowing transactions by banks in Singapore, based on the volume-weighted average rate of borrowing 

transactions in the unsecured overnight interbank SGD cash market in Singapore. MAS is the administrator 

and overseer of the SORA rate, which is calculated in accordance with the SORA methodology published 

by MAS. As at October 2021, a total of 24 reporting banks, comprising the most active market participants 

in the underlying unsecured overnight interbank SGD cash market, contributed data to MAS for the 

calculation of SORA.

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A. SORA Swaps 

Based on information published by SC-STS, SORA derivatives market activity has increased significantly 

in 2021; in June 2021, turnover in SORA derivatives reached SGD 41 billion, equal to around 17% of the 

equivalent amount for SOR derivatives (compared to 3% in May 2021). SC-STS expects this trend to 

continue to accelerate as part of industry efforts to transition from SIBOR and SOR to SORA, in line with 

the transition roadmap published by the SC-STS.

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3 SOR is the synthetic rate for deposits in SGD, which represents the effective cost of borrowing SGD synthetically by borrowing U.S. 

Dollars for the same maturity (utilizing the USD London Interbank Offered Rate (“USD LIBOR”) for the purposes of computation), and 

swap out the USD in return for the SGD. SOR is set by the Association of Banks in Singapore. USD LIBOR is scheduled to be 

discontinued immediately after June 30, 2023. As such, SOR will also be discontinued immediately after June 30, 2023. See: 

https://abs.org.sg/benchmark-rates/sor-sibor-to-sora

4 SIBOR is the daily reference rate set by the Association of Banks in Singapore and is based on the interest rates at which banks 

offer to lend unsecured funds to other banks in the Singapore wholesale money market. Certain SIBOR tenors will be discontinued in 

2022 and all SIBOR tenors will cease to be published from the end of 2024: https://www.abs.org.sg/docs/library/timelines-to-ceaseissuance-of-sor-derivatives-and-sibor-linked-financial-products.pdf

5 The SORA Methodology is available at https://www.mas.gov.sg/-/media/MAS/SORA/Methodologydocument.pdf?la=en&hash=76D9DE4B8FED3DD9661BCCDB47F4A59C29AA0CB1

6 The SC-STS SORA Transition Roadmap is available at https://www.abs.org.sg/benchmark-rates/transition-roadmap. Data on 

notional and volumes is taken from SC-STS data available at: https://abs.org.sg/docs/library/sc-sts-recommendations-for-transitionof-legacy-sor-contracts.pdf.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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CME expects further development of the SORA derivatives market in the near future, particularly in the lead 

up to and following the discontinuation of SIBOR tenors from 2022 onwards and the discontinuation of SOR 

scheduled to take place immediately after June 30, 2023.

39.5(b)(3)(ii)(B): Rule Framework, Capacity, Operational Expertise and Resources, and Credit 

Support Infrastructure 

The rule framework for SORA Swaps is the same as all other IRS cleared by CME and is set forth in the 

CME Rulebook.7 Furthermore, CME Clearing’s “Risk Management and Financial Safeguards” brochure 

(the “Risk Management Brochure”), contains information regarding CME’s risk management capacity, 

expertise, resources, and financial safeguard system.8 Both documents are available to the public on the 

CME Group website.

39.5(b)(3)(ii)(C): Statement on the Mitigation of Systemic Risk 

As a central counterparty, CME interposes itself between counterparties to the swaps (and other derivatives 

products) that it clears, becoming the buyer to every seller and the seller to every buyer. For each swap 

that it clears, CME provides all clearing house services, including a mark-to-market function, on a daily 

basis. Depending upon the particular asset class, CME may standardize contract-critical dates (e.g., start 

dates, last trade dates, expiry dates) and other contract terms. This may enable customers who hold 

positions to liquidate or to adjust positional exposures simply by buying back or selling the relevant 

contracts. The associated benefits are considerable:

• Centralized clearing. Clearing SORA Swaps through CME allows market participants to free up 

counterparty credit lines. The daily mark-to-market process employed by CME enhances customer 

risk management opportunities. 

• Operational efficiencies. Centralized clearing of swaps reduces operational burdens in several 

ways. Standardization and centralized clearing enables consolidation of collateral management 

and cash flows and eliminates the need for novation or tear-ups. 

• Ease of position adjustment. In non-cleared markets, the only means to completely eliminate the 

risk of a swap is to (i) enter into a tear-up agreement with the swap counterparty, or (ii) enter into a 

novation (i.e., find another entity willing to assume its side of the swap). In either case, the tear-up 

or the novation must be approved by the bilateral swap counterparty. For most asset classes, 

central clearing may be used to offset exposures by a contra trade. 

As further described in the Risk Management Brochure and summarized in the section below titled “Risk 

Management Procedures,” CME has the necessary resources available to clear SORA Swaps. 

39.5(b)(3)(ii)(D): Statement on Competition and Appropriate Fees and Charges 

CME does not believe that the clearing of SORA Swaps will have any negative impact, or impose any 

burden, on competition. In clearing SORA Swaps CME will provide market participants with another clearing 

service provider to support activity in SORA derivative contracts. 

CME’s schedule of fees for IRS can be found at https://www.cmegroup.com/trading/interest-rates/clearedotc-irs-customer-fees.html.

39.5(b)(ii)(E): Statement on Legal Certainty and Insolvency 

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The CME Rulebook is available at https://www.cmegroup.com/rulebook/CME/

8 The Risk Management Brochure is available at http://www.cmegroup.com/clearing/files/financialsafeguards.pdf
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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The bankruptcy of a DCO is governed by subchapter IV of Chapter 7 of the U.S. Bankruptcy Code (11 

U.S.C. §§ 761-767), and by Subpart C of Part 190 (“Bankruptcy”) of the Commission’s Regulations. Also 

relevant in the event that CME were to enter into bankruptcy proceedings is CME Rule 818. (“Close-Out 

Netting”) included in Chapter 8 (“Clearing House and Performance Bonds”) of the CME Rulebook. 

The bankruptcy of a clearing member that is a U.S. futures commission merchant (“FCM”) would be 

governed by subchapter IV of Chapter 7 of the U.S. Bankruptcy Code (11 U.S.C. §§ 761-767) and Subpart 

B of Part 190 (Bankruptcy) of the Commission’s Regulations. If an FCM is registered as a broker-dealer, 

certain aspects of its insolvency proceeding will be governed by the Securities Investor Protection Act. 

39.5(b)(3)(iii): Product Specification 

Attached as Exhibit 2 are the product-specifications for SORA Swaps. These specifications will be added, 

without the conditional statement of being subject to further regulatory review upon the effectiveness of this 

submission, to CME’s IRS product scope slate at https://www.cmegroup.com/trading/interest-rates/clearedotc.html. SORA Swaps will settle in SGD.

39.5(b)(3)(iv): Participant Eligibility Standards 

CME Rule 8G04. (“IRS Clearing Member Obligations and Qualifications”) specifies the requirements for 

IRS Clearing Members. 

39.5(b)(3)(v): Pricing Sources 

We have concurrently submitted in CME Submission 21-508S, a document, marked for confidential 

treatment, describing the curve building for cleared SORA Swaps. 

SORA swaps rely on a single-curve valuation methodology. The SGD-SORA curve will be used for 

forecasting and discounting the cashflows of cleared SORA Swaps. 

CME will continue to value cleared SGD SOR swaps using the current single-curve valuation methodology. 

SGD SORA curve quotes will be sourced at 4:00 p.m. Singapore time.

SORA Swap Rate 

The SORA Swaps reference the SORA. The SORA is calculated by MAS in accordance with the published 

methodology and published on the next business day at 9am Singapore time. SORA is an overnight rate 

but MAS also publishes SORA averages calculated using the compounded methodology of daily SORA 

over 1-month, 3-month and 6-month tenors (“Compounded SORA”). Details of the methodology for 

calculation and publication of SORA and Compounded SORA are available on the MAS website and 

summarized below. 

SORA is computed from reporting banks’ concluded arm’s-length eligible transactions between 8.00am and 

6.15pm Singapore time on each relevant day. Eligible transactions of reporting banks meet the following 

criteria: (a) unsecured overnight interbank SGD borrowing; (b) traded with onshore (Singapore) banks 

(including foreign bank branches located in Singapore) and booked in the window between 8.00am and 

6.15pm; (c) booked in Singapore or outside of; (d) settled on the trade date; and (e) at least SGD 1 million. 

Transactions between the reporting bank and its affiliates are excluded as only arms-length transactions 

are used in the computation of SORA. The MAS methodology further sets out the conditions for data 

sufficiency, each of which must be met: (i) minimum of 5 reporting banks with eligible transactions; (ii) 

minimum of 10 eligible transactions; and (iii) minimum of SGD 500 million in eligible transaction notional 

volume. In the event that eligible transactions are insufficient or not available on a given day, SORA will be 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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produced by MAS using contingent data processes and sources set out in the relevant SORA public 

methodology.

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39.5(b)(3)(vi): Risk Management Procedures 

The Risk Management Brochure summarizes CME’s risk management procedures applicable to the 

clearing of SORA Swaps. 

CME has performed various tests to ensure the existing IRS margin model and related parameters do not 

require any enhancements to cover the clearing of SORA Swaps. These tests included backtesting and 

correlation analysis where it was validated that CME’s existing IRS margin model generates performance 

bond requirements that are sufficient to cover the clearing of SORA Swaps. Further, the existing IRS 

financial safeguards will be utilized to cover any additional exposures related to the clearing of SORA

Swaps. The IRS financial safeguards will continue to provide risk management protection beyond daily 

settlement variation and performance bonds.

39.5(b)(3)(vii): Rules, Manuals, Policies, or Procedures 

The product rules for SORA Swaps are being added to Chapter 901 of the CME Rulebook and are enclosed 

in Exhibit 1 which is attached hereto. The product rules and attendant non-substantive conforming revisions

to add SGD-SORA-OIS Compound is reflected in amendments to Rule 90102.E.1. (“Interest Rate Swaps 

Rate Options”). Exhibit 1 below provides amendments to Rule 90102.E.1. in blackline format. 

39.5(b)(3)(viii): Notice of Submission 

Notice of this submission has been concurrently posted on CME Group’s website at 

http://www.cmegroup.com/market-regulation/rule-filings.html. 

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director & Chief Regulatory Counsel

Attachments: Exhibit 1 – Amendments to Rule 90102.E.1. (“Interest Rate Swaps Rate Options”)

Exhibit 2 – SORA Swaps Product Specifications

9 The SORA Methodology is available at https://www.mas.gov.sg/-/media/MAS/SORA/Methodologydocument.pdf?la=en&hash=76D9DE4B8FED3DD9661BCCDB47F4A59C29AA0CB1
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EXHIBIT 1

CME RULEBOOK

Chapter 901

Interest Rate Swap Contract Terms

(additions underscored)

***

90102. CONTRACT TERMS 

***

90102.E. Rate Options 

90102.E.1. Interest Rate Swaps Rate Options 

With respect to an IRS Contract, the Floating Rate Option elected by the IRS Clearing Participant 

in accordance with Rule 90002.F from the following Floating Rate Options names specified in the 

2006 ISDA Definitions or Floating Rate Options names specified in the ISDA Definitions Floating 

Rate Matrix, or combination of rate options:

2006 ISDA Definitions Floating Rate Option (“FRO”)

Name

2021 ISDA Definitions FRO Name

1. USD-LIBOR-BBA USD-LIBOR

2. USD-Federal Funds-H.15-OIS-COMPOUND USD-Federal Funds-OIS Compound

3. USD-Federal Funds-H. 15 USD-Federal Funds

4. EUR-EURIBOR-Reuters EUR-EURIBOR

5. EUR-EURIBOR-Telerate (as defined in the 2000 ISDA 

Definitions, as published by ISDA)

Not applicable

6. GBP-LIBOR-BBA GBP-LIBOR

7. GBP-SONIA-COMPOUND GBP-SONIA-OIS Compound

8. JPY-LIBOR-BBA JPY-LIBOR

9. JPY-TONA-OIS-COMPOUND JPY-TONA-OIS Compound

10. CHF-LIBOR-BBA CHF-LIBOR

11. CAD-BA-CDOR CAD-CDOR

12. CAD-CORRA-OIS-COMPOUND CAD-CORRA-OIS Compound

13. AUD-BBR-BBSW AUD-BBSW

14. AUD-AONIA-OIS-COMPOUND AUD-AONIA-OIS Compound

15. SEK-STIBOR-SIDE SEK-STIBOR

16. DKK-CIBOR-DKNA13 DKK-CIBOR

17. DKK-CIBOR2-DKNA13 DKK-CIBOR2

18. NOK-NIBOR-NIBR NOK-NIBOR

19. NOK-NIBOR-OIBOR NOK-NIBOR

20. HKD-HIBOR-HKAB HKD-HIBOR

21. NZD-BBR-FRA NZD-BKBM FRA

22. SGD-SOR-VWAP SGD-SOR 

23. HUF-BUBOR-Reuters HUF-BUBOR

24. PLN-WIBOR-WIBO PLN-WIBOR

25. CZK-PRIBOR-PRBO CZK-PRIBOR

26. ZAR-JIBAR-SAFEX ZAR-JIBAR

27. MXN-TIIE-Banxico MXN-TIIE

28. USD-SOFR-COMPOUND USD-SOFR-OIS Compound
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29. EUR-EuroSTR-COMPOUND EUR-EuroSTR-OIS Compound

30. CHF-SARON-OIS-COMPOUND CHF-SARON-OIS Compound

31. USD-BSBY (also effective November 15, 2021 – see CME 

Submission No. 21-471)

USD-BSBY (also effective November 15, 2021 

– see CME Submission No. 21-471)

32. Not supported SGD-SORA-OIS Compound

[Remainder of Rule unchanged.]
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EXHIBIT 2

SORA Swaps Product Specifications

SORA OIS

Product Type Interest Rate Swap - Fixed versus SORA

Currency SGD

Floating Rate Index SGD-SORA-OIS Compound

Maximum Maturity 21 years

Settlement Convention SGD will be settled on a two day (T+2) basis

Floating Index Tenor 1D

Price Alignment Rate SORA

Fixing Calendar Singapore Holiday Calendar (SGSI)

Fixing Offset 0D

Day Count ACT/365.FIXED

Payment Calendar SGSI required, others optional

Payment Frequency 1M, 3M, 6M, 1Y, 1T

Payment Offset 2D

Variable Notional, Spreads, Stubs Yes; to be supported