Washington, DC — The Division of Market Oversight of the Commodity Futures Trading Commission today announced it has provided swap transaction and pricing data reporting relief to specific derivatives clearing organizations (DCOs) and market participants participating in upcoming DCO auctions that will help transition certain cleared swaps from discounting using the Effective Federal Funds Rate (EFFR) to the Secured Overnight Financing Rate (SOFR). This discounting transition is an essential part of the industry-wide initiative to transition from swaps that reference the London Interbank Offered Rate (LIBOR), and other interbank offered rates, to swaps that reference alternative benchmarks.
The relief provides for a delay in the reporting of swap transaction and pricing data under CFTC Regulation 43.3 for specific swaps that may be executed as part of the upcoming discounting transition auctions that will be held by LCH Limited or CME Inc. The relief allows the reporting of swap transaction and pricing data for the relevant swaps to be delayed until November 19, 2020.
The relief was announced in two no-action letters: (1) CFTC Letter No. 20-32 provides relief for certain swaps executed as part of the LCH Limited discounting transition auction on October 16, 2020; and (2) CFTC Letter No. 20-33 provides relief for certain swaps executed as part of the CME Inc. discounting transition auction on October 19, 2020.
The CFTC was one of the first agencies to provide LIBOR-transition relief, issuing an initial round of no-action letters in December 2019. Chairman Heath P. Tarbert recently addressed the importance of transitioning from LIBOR in remarks at the U.S. Treasury Markets Conference, which can be viewed here.
