(a) Compliance dates for interest rate swap classes. The compliance dates for swaps that are required to be cleared under § 50.4(a) are specified in the following table.

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Terms Used In 17 CFR 50.26

  • Interest rate: The amount paid by a borrower to a lender in exchange for the use of the lender's money for a certain period of time. Interest is paid on loans or on debt instruments, such as notes or bonds, either at regular intervals or as part of a lump sum payment when the issue matures. Source: OCC

Table 1 to Paragraph (a)

Swap asset classSwap class subtypeCurrency and floating rate indexStated termination date rangeClearing requirement compliance date
Interest Rate SwapFixed-to-FloatingEuro (EUR) EURIBOR28 days to 50 yearsCategory 1 entities March 11, 2013. All non-Category 2 entities June 10, 2013. Category 2 entities September 9, 2013.
Interest Rate SwapFixed-to-FloatingAustralian Dollar (AUD) BBSW28 days to 30 yearsAll entities December 13, 2016.
Interest Rate SwapFixed-to-FloatingCanadian Dollar (CAD) CDOR28 days to 30 yearsAll entities July 10, 2017.
Interest Rate SwapFixed-to-FloatingHong Kong Dollar (HKD) HIBOR28 days to 10 yearsAll entities August 30, 2017.
Interest Rate SwapFixed-to-FloatingMexican Peso (MXN) TIIE-BANXICO28 days to 21 yearsAll entities December 13, 2016.
Interest Rate SwapFixed-to-FloatingNorwegian Krone (NOK) NIBOR28 days to 10 yearsAll entities April 10, 2017.
Interest Rate SwapFixed-to-FloatingPolish Zloty (PLN) WIBOR28 days to 10 yearsAll entities April 10, 2017.
Interest Rate SwapFixed-to-FloatingSwedish Krona (SEK) STIBOR28 days to 15 yearsAll entities April 10, 2017.
Interest Rate SwapBasisEuro (EUR) EURIBOR28 days to 50 yearsCategory 1 entities March 11, 2013. All non-Category 2 entities June 10, 2013. Category 2 entities September 9, 2013.
Interest Rate SwapBasisAustralian Dollar (AUD) BBSW28 days to 30 yearsAll entities December 13, 2016.
Interest Rate SwapForward Rate AgreementEuro (EUR) EURIBOR3 days to 3 yearsCategory 1 entities March 11, 2013. All non-Category 2 entities June 10, 2013. Category 2 entities September 9, 2013.
Interest Rate SwapForward Rate AgreementPolish Zloty (PLN) WIBOR3 days to 2 yearsAll entities April 10, 2017.
Interest Rate SwapForward Rate AgreementNorwegian Krone (NOK) NIBOR3 days to 2 yearsAll entities April 10, 2017.
Interest Rate SwapForward Rate AgreementSwedish Krona (SEK) STIBOR3 days to 3 yearsAll entities April 10, 2017.
Interest Rate SwapOvernight Index SwapEuro (EUR) €STR7 days to 3 yearsAll entities September 23, 2022.
Interest Rate SwapOvernight Index SwapSingapore Dollar (SGD) SORA7 days to 10 yearsAll entities October 31, 2022.
Interest Rate SwapOvernight Index SwapSterling (GBP) SONIA7 days to 2 yearsCategory 1 entities March 11, 2013. All non-Category 2 entities June 10, 2013. Category 2 entities September 9, 2013.
2 years + 1 day to 3 yearsAll entities December 13, 2016.
3 years + 1 day to 50 yearsAll entities September 23, 2022.
Interest Rate SwapOvernight Index SwapSwiss Franc (CHF) SARON7 days to 30 yearsAll entities September 23, 2022.
Interest Rate SwapOvernight Index SwapU.S. Dollar (USD) FedFunds7 days to 2 yearsCategory 1 entities March 11, 2013. All non-Category 2 entities June 10, 2013. Category 2 entities September 9, 2013.
2 years + 1 day to 3 yearsAll entities December 13, 2016.
Interest Rate SwapOvernight Index SwapU.S. Dollar (USD) SOFR7 days to 50 yearsAll entities October 31, 2022.
Interest Rate SwapOvernight Index SwapAustralian Dollar (AUD) AONIA-OIS7 days to 2 yearsAll entities December 13, 2016.
Interest Rate SwapOvernight Index SwapCanadian Dollar (CAD) CORRA-OIS7 days to 2 yearsAll entities July 10, 2017.
Interest Rate SwapOvernight Index SwapYen (JPY) TONA7 days to 30 yearsAll entities September 23, 2022.

(b) Compliance dates for credit default swap classes. The compliance dates for swaps that are required to be cleared under § 50.4(b) are specified in the following table.

Table 2 to Paragraph (b)

Swap asset classSwap class subtypeIndicesTenorClearing requirement compliance date
Credit Default SwapNorth American untranched CDS indicesCDX.NA.IG3Y, 5Y, 7Y, 10YCategory 1 entities March 11, 2013. All non-Category 2 entities June 10, 2013. Category 2 entities September 9, 2013.
Credit Default SwapNorth American untranched CDS indicesCDX.NA.HY5YCategory 1 entities March 11, 2013. All non-Category 2 entities June 10, 2013. Category 2 entities September 9, 2013.
Credit Default SwapEuropean untranched CSD indicesiTraxx Europe5Y, 10YCategory 1 entities April 26, 2013. Category 2 entities July 25, 2013. All non-Category 2 entities October 23, 2013.
Credit Default SwapEuropean untranched CSD indicesiTraxx Europe Crossover5YCategory 1 entities April 26, 2013. Category 2 entities July 25, 2013. All non-Category 2 entities October 23, 2013.
Credit Default SwapEuropean untranched CSD indicesiTraxx Europe HiVol5YCategory 1 entities April 26, 2013. Category 2 entities July 25, 2013. All non-Category 2 entities October 23, 2013.
[87 FR 52217, Aug. 24, 2022, as amended at 87 FR 52218, Aug. 24, 2022]
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