The Division of Market Oversight at the CFTC announces Swaps transaction and pricing data reporting relief to DCOs

On October 13^th, 2020, the  Division of Market Oversight at the Commodities Futures Trading Commission (CFTC) announced it has provided swaps transaction and pricing data reporting relief to certain derivatives clearing organisations (DCOs) and market participants participating in upcoming DCO auctions. This follows a series of support provided since December 2019 where the CFTC was one of the first agencies to provide LIBOR-transition relief.

The relief is set to help DCOs and market participants with the transition of certain swaps from discounting using the Effective Federal Funds Rate (EFFR) to the Secured Overnight Financing Rate (SOFR). This is part of a global transition away from Swaps that reference the London Interbank Offered Rate (LIBOR) – and other interbank offer rates (IBORs) – to a range of alternative benchmarks.

LIBOR, which is currently set to retire at the end of 2021; is referenced by more than USD 400 trillion in derivatives, loans, and other financial instruments[1].

The reporting of swap transaction and pricing data for relevant swaps will as a result be delayed until November 19^th, 2020, which sits under the CFTC Regulation 43.3 for specific swaps that may be executed as part of the upcoming discounting auctions to be held at two CCPs.

As the US transitions to SOFR, it is also worth noting that across the global marketplace, other regions are introducing their own local currency denominated alternative reference rates for the short-term lending market. A list of the new Risk-Free-Rates (RFRs) can be seen below in Table 1.

Region	Current LIBOR Rate	New Risk-Free Rate (RFR)	Entity Responsible for the transition to the New RFR
Australia	BBSW	RBA Cash Rate (AONIA)	Australian Financial Markets Association
Canada	CDOR	CORRA	Canadian Alternative Reference Rate Working Group (CARR)
Europe	EURIBOR and EUR LIBOR	ESTER	European Money Markets Institute (EMMI) and Euro RFR Working Group
Hong Kong	HIBOR	HONIA	Treasury Markets Association’s Market Practices Committee
Japan	TIBOR, JPY LIBOR and Euroyen TIBOR	TONA	Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks
Switzerland	CHF LIBOR	SARON	The National Working Group on Swiss Franc Reference Rates
United Kingdom	GBP LIBOR	SONIA	Sterling Working Group on Risk-Free Rates
United States	USD LIBOR	SOFR	Alternative Reference Rates Committee

Table 1

For more information:

• CFTC Staff Provides Reporting Relief for Swaps Related to Upcoming DCO Auctions as Part of the Industry-Wide Initiative to Transition Away from LIBOR
• CFTC Provides Additional LIBOR Transition Relief to DCOs
• [1] https://www.bis.org/publ/qtrpdf/r_qt1903e.pdf Page 29.