Home
gpo.gov
govinfo.gov

e-CFR Navigation Aids

Browse

Simple Search

Advanced Search

 — Boolean

 — Proximity

 

Search History

Search Tips

Corrections

Latest Updates

User Info

FAQs

Agency List

Incorporation By Reference

eCFR logo

Related Resources

Electronic Code of Federal Regulations

We invite you to try out our new beta eCFR site at https://ecfr.federalregister.gov. We have made big changes to make the eCFR easier to use. Be sure to leave feedback using the Feedback button on the bottom right of each page!

e-CFR data is current as of December 1, 2020

Title 17Chapter IPart 50Subpart A → §50.4


Title 17: Commodity and Securities Exchanges
PART 50—CLEARING REQUIREMENT AND RELATED RULES
Subpart A—Definitions and Clearing Requirement


§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 1a

SpecificationFixed-to-floating swap class
1. CurrencyAustralian Dollar (AUD)Canadian Dollar (CAD)Euro (EUR)Hong Kong Dollar (HKD)Mexican Peso (MXN)Norwegian Krone (NOK).
2. Floating Rate IndexesBBSWCDOREURIBORHIBORTIIE-BANXICONIBOR.
3. Stated Termination Date Range28 days to 30 years28 days to 30 years28 days to 50 years28 days to 10 years28 days to 21 years28 days to 10 years.
4. OptionalityNoNoNoNoNoNo.
5. Dual CurrenciesNoNoNoNoNoNo.
6. Conditional Notional AmountsNoNoNoNoNoNo.

Table 1b

SpecificationFixed-to-floating swap class
1. CurrencyPolish Zloty (PLN)Singapore Dollar (SGD)Swedish Krona (SEK)Swiss Franc (CHF)Sterling (GBP)U.S. Dollar (USD)Yen (JPY).
2. Floating Rate IndexesWIBORSOR-VWAPSTIBORLIBORLIBORLIBORLIBOR.
3. Stated Termination Date Range28 days to 10 years28 days to 10 years28 days to 15 years28 days to 30 years28 days to 50 years28 days to 50 years28 days to 30 years.
4. OptionalityNoNoNoNoNoNoNo.
5. Dual CurrenciesNoNoNoNoNoNoNo.
6. Conditional Notional AmountsNoNoNoNoNoNoNo.

Table 2

SpecificationBasis swap class
1. CurrencyAustralian Dollar (AUD)Euro (EUR)Sterling (GBP)U.S. Dollar (USD)Yen (JPY).
2. Floating Rate IndexesBBSWEURIBORLIBORLIBORLIBOR.
3. Stated Termination Date Range28 days to 30 years28 days to 50 years28 days to 50 years28 days to 50 years28 days to 30 years.
4. OptionalityNoNoNoNoNo.
5. Dual CurrenciesNoNoNoNoNo.
6. Conditional Notional AmountsNoNoNoNoNo.

Table 3

SpecificationForward rate agreement class
1. CurrencyEuro (EUR)Polish Zloty (PLN)Norwegian Krone (NOK)Swedish Krona (SEK)Sterling (GBP)U.S. Dollar (USD)Yen (JPY).
2. Floating Rate IndexesEURIBORWIBORNIBORSTIBORLIBORLIBORLIBOR.
3. Stated Termination Date Range3 days to 3 years3 days to 2 years3 days to 2 years3 days to 3 years3 days to 3 years3 days to 3 years3 days to 3 years.
4. OptionalityNoNoNoNoNoNoNo.
5. Dual CurrenciesNoNoNoNoNoNoNo.
6. Conditional Notional AmountsNoNoNoNoNoNoNo.

Table 4

SpecificationOvernight index swap class
1. CurrencyAustralian Dollar (AUD)Canadian Dollar (CAD)Euro (EUR)Sterling (GBP)U.S. Dollar (USD).
2. Floating Rate IndexesAONIA-OISCORRA-OISEONIASONIAFedFunds.
3. Stated Termination Date Range7 days to 2 years7 days to 2 years7 days to 3 years7 days to 3 years7 days to 3 years.
4. OptionalityNoNoNoNoNo.
5. Dual CurrenciesNoNoNoNoNo.
6. Conditional Notional AmountsNoNoNoNoNo.

(b) Credit default 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.

SpecificationNorth American untranched CDS indices class
Reference EntitiesCorporate.
RegionNorth America.
IndicesCDX.NA.IG; CDX.NA.HY.
TenorCDX.NA.IG: 3Y, 5Y, 7Y, 10Y; CDX.NA.HY: 5Y.
Applicable SeriesCDX.NA.IG 3Y: Series 15 and all subsequent Series, up to and including the current Series.
   CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and including the current Series.
   CDX.NA.IG 7Y: Series 8 and all subsequent Series, up to and including the current Series.
   CDX.NA.IG 10Y: Series 8 and all subsequent Series, up to and including the current Series.
   CDX.NA.HY 5Y: Series 11 and all subsequent Series, up to and including the current Series.
TranchedNo.
SpecificationEuropean untranched CDS indices class
Reference EntitiesCorporate.
RegionEurope.
IndicesiTraxx Europe.
   iTraxx Europe Crossover.
   iTraxx Europe HiVol.
TenoriTraxx Europe: 5Y, 10Y.
   iTraxx Europe Crossover: 5Y.
   iTraxx Europe HiVol: 5Y.
Applicable SeriesiTraxx Europe 5Y: Series 10 and all subsequent Series, up to and including the current Series.
   iTraxx Europe 10Y: Series 7 and all subsequent Series, up to and including the current Series.
   iTraxx Europe Crossover 5Y: Series 10 and all subsequent Series, up to and including the current Series.
   iTraxx Europe HiVol 5Y: Series 10 and all subsequent Series, up to and including the current Series.
TranchedNo.

[77 FR 74335, Dec. 13, 2012, as amended at 81 FR 71239, Oct. 14, 2016]

Need assistance?