Font Size: AAA // Print // Bookmark

Comment for Proposed Rule 87 FR 32898

  • From: James Lovely

    Comment No: 69474
    Date: 6/7/2022

    Comment Text:

    With respect to SOFR-linked swaps, clarification and/or confirmation on the following would be helpful in any final rulemaking related to mandatory swap clearing.

    1. Given the CFTC's definition of "OIS" at NOPR footnote #8, please confirm that the proposed swap clearing requirement (i) would not apply to swaps using a CME term SOFR rate and (ii) would apply to swaps using not only compounded SOFR but also daily simple SOFR (i.e., any SOFR-linked swap floating rate derived from geometric or arithmetic averaging of a daily overnight SOFR rate, whether in advance or in arrears). Each of these rate variations on SOFR is used in U.S. bilateral and syndicated lending or other markets.

    2. Please clarify whether or not retroactive application of the clearing mandate is intended for those SOFR OIS swaps that would fall within the type of swap required to be cleared if such swaps were executed previously and not cleared voluntarily.

    Thank you.

    James Lovely

No records to display.