On October 13, 2020, the Division of Market Oversight of the Commodity Futures Trading Commission (“CFTC”) issued 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 to the Secured Overnight Financing Rate. This discounting transition is an essential part of the industry-wide initiative to transition from swaps that reference the London Interbank Offered Rate, and other interbank offered rates, to swaps that reference alternative benchmarks.
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 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.