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e-CFR data is current as of October 26, 2020

Title 17Chapter IPart 50 → Subpart A


Title 17: Commodity and Securities Exchanges
PART 50—CLEARING REQUIREMENT AND RELATED RULES


Subpart A—Definitions and Clearing Requirement


Contents
§50.1   Definitions.
§50.2   Treatment of swaps subject to a clearing requirement.
§50.3   Notice to the public.
§50.4   Classes of swaps required to be cleared.
§50.5   Swaps exempt from a clearing requirement.
§50.6   Delegation of Authority.
§50.7-50.9   [Reserved]
§50.10   Prevention of evasion of the clearing requirement and abuse of an exception or exemption to the clearing requirement.
§50.11-50.24   [Reserved]

Source: 77 FR 74335, Dec. 13, 2012, unless otherwise noted.

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§50.1   Definitions.

For the purposes of this part,

Business day means any day other than a Saturday, Sunday, or legal holiday.

Day of execution means the calendar day of the party to the swap that ends latest, provided that if a swap is:

(1) Entered into after 4:00 p.m. in the location of a party; or

(2) Entered into on a day that is not a business day in the location of a party, then such swap shall be deemed to have been entered into by that party on the immediately succeeding business day of that party, and the day of execution shall be determined with reference to such business day.

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§50.2   Treatment of swaps subject to a clearing requirement.

(a) All persons executing a swap that:

(1) Is not subject to an exception under section 2(h)(7) of the Act or §50.50 of this part; and

(2) Is included in a class of swaps identified in §50.4 of this part, shall submit such swap to any eligible derivatives clearing organization that accepts such swap for clearing as soon as technologically practicable after execution, but in any event by the end of the day of execution.

(b) Each person subject to the requirements of paragraph (a) of this section shall undertake reasonable efforts to verify whether a swap is required to be cleared.

(c) For purposes of paragraph (a) of this section, persons that are not clearing members of an eligible derivatives clearing organization shall be deemed to have complied with paragraph (a) of this section upon submission of such swap to a futures commission merchant or clearing member of a derivatives clearing organization, provided that submission occurs as soon as technologically practicable after execution, but in any event by the end of the day of execution.

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§50.3   Notice to the public.

(a) In addition to its obligations under §39.21(c)(1), each derivatives clearing organization shall make publicly available on its Web site a list of all swaps that it will accept for clearing and identify which swaps on the list are required to be cleared under section 2(h)(1) of the Act and this part.

(b) The Commission shall maintain a current list of all swaps that are required to be cleared and all derivatives clearing organizations that are eligible to clear such swaps on its Web site.

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§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]

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§50.5   Swaps exempt from a clearing requirement.

(a) Swaps entered into before July 21, 2010 shall be exempt from the clearing requirement under §50.2 of this part if reported to a swap data repository pursuant to section 2(h)(5)(A) of the Act and §46.3(a) of this chapter.

(b) Swaps entered into before the application of the clearing requirement for a particular class of swaps under §§50.2 and 50.4 of this part shall be exempt from the clearing requirement if reported to a swap data repository pursuant to section 2(h)(5)(B) of the Act and either §46.3(a) or §§45.3 and 45.4 of this chapter, as appropriate.

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§50.6   Delegation of Authority.

(a) The Commission hereby delegates to the Director of the Division of Clearing and Risk or such other employee or employees as the Director may designate from time to time, with the consultation of the General Counsel or such other employee or employees as the General Counsel may designate from time to time, the authority:

(1) After prior notice to the Commission, to determine whether one or more swaps submitted by a derivatives clearing organization under §39.5 falls within a class of swaps as described in §50.4, provided that inclusion of such swaps is consistent with the Commission's clearing requirement determination for that class of swaps; and

(2) To notify all relevant derivatives clearing organizations of that determination.

(b) The Director of the Division of Clearing and Risk may submit to the Commission for its consideration any matter which has been delegated in this section. Nothing in this section prohibits the Commission, at its election, from exercising the authority delegated in this section.

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§50.7-50.9   [Reserved]

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§50.10   Prevention of evasion of the clearing requirement and abuse of an exception or exemption to the clearing requirement.

(a) It shall be unlawful for any person to knowingly or recklessly evade or participate in or facilitate an evasion of the requirements of section 2(h) of the Act or any Commission rule or regulation promulgated thereunder.

(b) It shall be unlawful for any person to abuse the exception to the clearing requirement as provided under section 2(h)(7) of the Act or an exception or exemption under this chapter.

(c) It shall be unlawful for any person to abuse any exemption or exception to the requirements of section 2(h) of the Act, including any exemption or exception as the Commission may provide by rule, regulation, or order.

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§50.11-50.24   [Reserved]

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