Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for Interest Rate Swaps To Account for CAD and MXN Interest Rate Benchmark Transitions

======================================================================== Rules and Regulations Federal Register ________________________________________________________________________ This section of the FEDERAL REGISTER contains regulatory documents having general applicability and legal effect, most of which are keyed to and codified in the Code of Federal Regulations, which is published under 50 titles pursuant to 44 U.S.C. 1510. The Code of Federal Regulations is sold by the Superintendent of Documents. ========================================================================

Federal Register / Vol. 91, No. 172 / Tuesday, September 8, 2026 / Rules and Regulations

COMMODITY FUTURES TRADING COMMISSION

17 CFR Part 50

RIN 3038-AF69

Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for Interest Rate Swaps To Account for CAD and MXN Interest Rate Benchmark Transitions

Commodity Futures Trading Commission.

Final rule.

The Commodity Futures Trading Commission (Commission or CFTC) is amending its interest rate swap clearing requirement regulations under applicable provisions of the Commodity Exchange Act (CEA) to address the transition from the Canadian Dollar Offered Rate (CDOR) to the Canadian Overnight Repo Rate Average (CORRA), and the transition from the Mexican Interbank Equilibrium Interest Rate (la Tasa de Inter[eacute]s Interbancaria de Equilibrio, or TIIE by its Spanish acronym) to the TIIE Funding Rate (TIIE de Fondeo or F-TIIE), as benchmark reference rates for interest rate swaps denominated, respectively, in Canadian dollars (CAD) and Mexican pesos (MXN). These transitions are part of an ongoing global effort by market participants, benchmark administrators, regulators, and others to shift away from reliance on certain interbank offered rates (IBORs) that have become unavailable as benchmark reference rates and adopt alternative reference rates, which are predominantly overnight, nearly risk-free reference rates (RFRs). These amendments revise the set of interest rate swaps that are required to be submitted for clearing, pursuant to the CEA and the Commission's regulations, to a derivatives clearing organization (DCO) that is registered under the CEA (registered DCO) or a DCO that has been exempted from such registration (exempt DCO). The amendments modify the Commission's interest rate swap clearing requirement to reflect the market transitions from swaps referencing CAD CDOR and MXN TIIE to swaps referencing, respectively, CAD CORRA and MXN F-TIIE.

The amended rules are effective October 8, 2026.

Sarah E. Josephson, Deputy Director, at 202-418-5684 or [email protected]; Daniel O'Connell, Special Counsel, at 202-418-5583 or [email protected]; or Philip Tumminio, Special Counsel, at 202-418-5910 or [email protected], Division of Clearing and Risk at the Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street NW, Washington, DC 20581.

Table of Contents

I. Background A. Commission's Swap Clearing Requirement B. Global Progress on Benchmark Reform C. CAD and MXN Interest Rate Benchmark Transitions II. Domestic and International Coordination Efforts A. Domestic Coordination Efforts B. International Coordination Efforts C. Clearing Requirements in Other Jurisdictions III. Overview of Comment Letters Received IV. Final Amendments to Regulation Sec. 50.4(a) V. Determination Analysis for RFR OIS A. General Description of Information Considered B. Consistency With DCO Core Principles Under Section 2(h) of the CEA C. Conclusions Regarding Consideration of Section 2(h)'s Five Statutory Factors VI. Implementation Schedule VII. Cost Benefit Considerations A. Statutory and Regulatory Background B. Overview of Swap Clearing C. Consideration of the Costs and Benefits of the Commission's Action D. Costs and Benefits of the Amendments as Compared to Alternatives E. Section 15(a) Factors VIII. Related Matters A. Regulatory Flexibility Act B. Paperwork Reduction Act C. Antitrust Laws D. Executive Orders 12866, 13563, and 14192 E. Congressional Review Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) established a comprehensive new regulatory framework for swaps.\1\ Title VII of the Dodd-Frank Act (Title VII) amended the CEA to require, among other things, that a swap be cleared through a registered DCO or an exempt DCO if the Commission has determined that the swap, or group, category, type, or class of swaps, is required to be cleared, unless an exception to the clearing requirement applies.\2\ The CEA, as amended by Title VII, provides that the Commission may issue a clearing requirement determination based either on a Commission-initiated review of a swap \3\ or a swap submission from a DCO.\4\

\1\ Dodd-Frank Wall Street Reform and Consumer Protection Act, Public Law 111-203, 124 Stat. 1376 (2010). \2\ Section 2(h)(1)(A) of the CEA, 7 U.S.C. 2(h)(1)(A). \3\ Section 2(h)(2)(A) of the CEA, 7 U.S.C. 2(h)(2)(A). Section 2(h)(2)(A) provides for a Commission-initiated review process whereby the Commission, on an ongoing basis, must review swaps, or a group, category, type, or class of swaps, to determine whether a swap, or a group, category, type, or class of swaps, should be required to be cleared. \4\ Section 2(h)(2)(B) of the CEA, 7 U.S.C. 2(h)(2)(B). Section 2(h)(2)(B)(i) requires that each DCO submit to the Commission each swap, or group, category, type, or class of swaps, that it plans to accept for clearing. The swaps subject to this determination were submitted by DCOs pursuant to CEA section 2(h)(2)(B)(i) and regulation 39.5(b), 17 CFR 39.5(b). Pursuant to section 2(h)(2)(B)- (C) of the CEA, the Commission must review swap submissions from DCOs to determine whether the swaps should be subject to required clearing. Regulation Sec. 39.5(b) implements the procedural elements of section 2(h)(2)(B)-(C) by establishing the process by which a DCO must submit the swaps it offers for clearing to the Commission for purposes of considering a clearing requirement determination.

Section 2(h)(2)(D)(ii) of the CEA requires the Commission to consider the following five factors when making a clearing requirement determination: (I) the existence of significant outstanding notional exposures, trading liquidity, and adequate pricing data; (II) the availability of rule framework, capacity, operational expertise and resources, and credit support infrastructure to clear the contract on terms that are consistent with the material terms and trading conventions on which the contract is traded; (III) the effect on the mitigation

of systemic risk, taking into account the size of the market for such contract and the resources of the DCOs available to clear the contract; (IV) the effect on competition, including appropriate fees and charges applied to clearing; and (V) the existence of reasonable legal certainty in the event of the insolvency of the relevant DCO or one or more of its clearing members with regard to the treatment of customer and swap counterparty positions, funds, and property.\5\

\5\ 7 U.S.C. 2(h)(2)(D)(ii).

The Commission adopted its first clearing requirement determination (First Determination) in 2012.\6\ The First Determination was implemented between March 2013 and October 2013 based on the schedule described in regulation Sec. 50.25 and the preamble to the First Determination.\7\ The First Determination applied to interest rate swaps in four classes: fixed-to-floating swaps, basis swaps, forward rate agreements (FRAs), and overnight index swaps (OIS).\8\

\6\ Clearing Requirement Determination Under Section 2(h) of the CEA, 77 FR 74284 (Dec. 13, 2012) (First Determination). \7\ 17 CFR 50.25; First Determination, 77 FR at 74319-74321. \8\ See generally First Determination. By way of background, an interest rate swap is generally an agreement by counterparties to exchange payments based on a series of cash flows over a specified period of time, typically calculated using two different rates. Fixed-to-floating swaps are interest rate swaps in which the payment(s) owed on one leg of the swap is calculated using a fixed rate, and the payment(s) owed on the other leg is calculated using a floating rate. Basis swaps are interest rate swaps for which the payments for both legs are calculated using floating rates. FRAs are interest rate swaps in which payments are exchanged on a predetermined date for a single period and one leg of the swap is calculated using a fixed rate while the other leg is calculated using a floating rate set on a predetermined date. OIS are interest rate swaps for which one leg of the swap is calculated using a fixed rate and the other leg is calculated using a floating rate based on a daily overnight rate.

In making its initial interest rate swap clearing determination, the Commission focused on the size of the interest rate swap market relative to the swap market overall, as well as the fact that these swaps were already widely being cleared on a voluntary basis.\9\ As set forth in regulation Sec. 50.4(a), the Commission required clearing for four classes of interest rate swaps satisfying six specifications related to (i) the currency in which the notional and payment amounts are specified; (ii) the floating rate index referenced in the swap; (iii) the stated termination date; (iv) optionality; (v) dual currencies; and (vi) conditional notional amounts.\10\

\9\ Id. at 74287, 74307. \10\ 17 CFR 50.4(a).

The Commission, in the First Determination, limited the interest rate swaps required to be cleared to those denominated in four currencies (U.S. dollar (USD), Euro (EUR), British pound (GBP), and Japanese yen (JPY)). The Commission noted that interest rate swaps denominated in these currencies comprised an outsized portion of the interest rate swap market in terms of notional amounts outstanding and trading volumes compared to interest rate swaps denominated in other currencies.\11\

\11\ First Determination, 77 FR at 74308.

The First Determination covered a number of interest rate swaps that reference interbank offered rates (IBORs), including fixed-to- floating swaps, basis swaps, and FRAs denominated in USD, GBP, JPY, and EUR, referencing the then existing USD London Interbank Offered Rate (LIBOR), GBP LIBOR, JPY LIBOR, and the Euro Interbank Offered Rate (EURIBOR), respectively. The First Determination also included OIS denominated in EUR referencing the Euro Overnight Index Average (EONIA), as well as OIS denominated in USD referencing FedFunds and GBP referencing the Sterling Overnight Index Average (SONIA). The Commission observed that interest rate swaps referencing those rates had significant outstanding notional amounts and trading liquidity.\12\ The First Determination was implemented throughout 2013 by type of market participant pursuant to regulation Sec. 50.25, in subpart B of part 50 of the Commission's regulations.

\12\ Id. at 74309.

The Commission adopted its second clearing requirement determination for interest rate swaps (Second Determination) in 2016.\13\ The Second Determination covered interest rate swaps in nine additional currencies: Australian dollar (AUD), Canadian dollar (CAD), Hong Kong dollar (HKD), Mexican peso (MXN), Norwegian krone (NOK), Polish zloty (PLN), Singapore dollar (SGD), Swedish krona (SEK), and Swiss franc (CHF), and was implemented between December 2016 and October 2018 in part based on the effective dates of analogous clearing mandates adopted by authorities in non-U.S. jurisdictions.\14\ The Commission adopted the Second Determination largely in order to further harmonize its interest rate swap clearing requirement with those of other jurisdictions that had already issued, or were in the process of issuing, interest rate swap clearing mandates.\15\ The Second Determination also covered swaps that reference additional IBORs, including fixed-to-floating swaps denominated in SGD referencing the Singapore Swap Offer Rate (SOR-VWAP) and fixed-to-floating swaps denominated in CHF referencing CHF LIBOR.\16\

\13\ Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for Interest Rate Swaps, 81 FR 71202 (Oct. 14, 2016) (Second Determination). \14\ 17 CFR 50.26; Second Determination, 81 FR at 71202-71228. \15\ Second Determination, 81 FR at 71203-71205. The Commission explained that such harmonization serves an important anti-evasion goal: if a non-U.S. jurisdiction issued a clearing requirement, and a swap dealer located in the United States were not subject to an analogous a clearing requirement under U.S. law, then market participants potentially could avoid the non-U.S. jurisdiction's clearing requirement by entering into a swap with a swap dealer located in the United States. Id. at 71203. \16\ Id. at 71205.

The Commission adopted its third clearing requirement determination (Third Determination) in 2022.\17\ The Commission adopted the Third Determination largely to address the global transition from IBORs to RFRs in the context of the existing interest rate swap clearing requirement without any expansion of the underlying requirement. Specifically, the Commission adopted the Third Determination to account for the transition from LIBOR to RFRs covering five currencies, along with the transition from SGD Singapore Dollar Swap Offer Rate--Volume- Weighted Average Price (SOR-VWAP) (which relied on USD LIBOR as an input) and EUR EONIA (which ceased publication on January 3, 2022) to corresponding RFRs.\18\

\17\ Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for Interest Rate Swaps To Account for the Transition From LIBOR and Other IBORs to Alternative Reference Rates, 87 FR 52182 (Aug. 24, 2022) (Third Determination). \18\ Id. at 52183-52185; European Money Markets Institute, EONIA, available at https://www.emmi-benchmarks.eu/benchmarks/eonia/. LIBOR was produced in five currencies: USD, GBP, EUR, CHF, and JPY. LIBOR, ICE, available at https://www.ice.com/iba/libor.

LIBOR was one of the world's most frequently referenced interest rate benchmarks and served as a reference rate for a wide variety of swaps and other financial products. More than a decade ago, a decline in the volume of interbank lending transactions that LIBOR was intended to measure, as well as government investigations concerning LIBOR, gave rise to concerns regarding the integrity and reliability of LIBOR and other IBORs. Although LIBOR was subject to significant reform efforts, regulators and global standard-setting bodies did not view these reforms as a long-term solution. The transition away from LIBOR, which is described in detail in the Commission's Third Determination, was a multiyear, coordinated process

involving the orderly cessation of LIBOR settings, market adoption of corresponding RFRs, and supporting steps by market participants, regulators, and others, including conversions of LIBOR swaps to RFR OIS at DCOs.\19\ The transition was largely complete in June 2023 with the cessation or permanent loss of representativeness of the underlying markets of USD LIBOR and SGD SOR-VWAP.\20\

\19\ See Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for Interest Rate Swaps to Account for CAD and MXN Interest Rate Benchmark Transitions, 91 FR 25812, 25814- 25816 (May 12, 2026) (NPRM); Third Determination, 87 FR at 52183- 52186. \20\ Settings for GBP LIBOR, CHF LIBOR, and JPY LIBOR ceased or became unrepresentative prior to June 2023, as did settings for EUR LIBOR. The Commission did not adopt a clearing requirement for swaps referencing EUR LIBOR.

While global benchmark reform efforts have focused on LIBOR, certain other IBORs continue to be published, and swaps referencing those rates remain subject to the Commission's interest rate swap clearing requirement, as well as clearing requirements in other jurisdictions. In adopting the Third Determination, the Commission noted that it may consider further modifications to the interest rate swap clearing requirement in regulation Sec. 50.4 to address the cessation of additional IBORs and market adoption of corresponding RFRs.\23\

\23\ Third Determination, 87 FR at 52192 n. 94.

Since the Commission adopted the Third Determination, benchmarks for certain CAD- and MXN-denominated swaps subject to the Commission's interest rate swap clearing requirement became unavailable: CAD CDOR, which ceased publication on June 28, 2024; \24\ and 28-day MXN TIIE, which Banco de M[eacute]xico prohibited as a reference rate for new contracts entered into by the financial entities it regulates beginning on January 1, 2025, subject to a waiver period that allowed for the trading of new swaps referencing 28-day MXN TIIE until December 31, 2025, provided such swaps did not mature after that date.\25\

\24\ See Canadian Alternative Reference Rate Working Group, CDOR Transition FAQs, July 10, 2024, available at https://www.bankofcanada.ca/wp-content/uploads/2023/08/cdor-transition-faqs.pdf (CDOR Transition FAQs). \25\ Banco de M[eacute]xico, "Transition from TIIE with tenors greater than one business day (28, 91 and 182 days) to the Overnight TIIE Funding Rate (TIIE de Fondeo)," Dec. 20, 2022, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7B2D6F5896-CF86-3F28-0C02-98D17B7542B9%7D.pdf (discussing the transition from MXN TIIE to MXN F-TIIE); Banco de M[eacute]xico, 10th Meeting of the Working Group on Alternative Reference Rates in Mexico (GTTR), Dec. 6, 2023, at 10, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7B8AAAB86C-BAD5-AD0F-513C-B465BAFDE75E%7D.pdf (discussing the waiver period). As discussed below, Banco de M[eacute]xico prohibited the use of 91- and 182-day MXN TIIE as reference rates for new contracts entered by financial entities regulated by Banco de M[eacute]xico as of January 1, 2024.

With respect to both the CAD CDOR and MXN TIIE transitions, as was the case with the transition away from LIBOR, benchmark administrators and working groups established a transition plan, with DCOs and market participants playing an important role in the adoption of corresponding RFRs. 1. Transition From CAD CDOR to CAD CORRA Prior to its cessation, CAD CDOR was the primary wholesale interest rate benchmark in Canada.\26\ CAD CDOR was developed in the 1980s as a survey-based benchmark to determine the interest rate for bankers' acceptance (BA)-related credit facilities.\27\ It measured the average rate at which Canadian banks were willing to lend to corporate borrowers with existing committed BA credit facilities.\28\ Refinitiv Benchmark Services (UK) Limited (RBSL) administered CAD CDOR from December 31, 2014 until CAD CDOR's cessation.\29\ Immediately prior to its cessation, RBSL calculated CAD CDOR based on submissions from

six banks and published CAD CDOR for one-month, two-month, and three- month tenors.\30\

\26\ As of 2021, CAD CDOR was referenced in over $20 trillion of gross notional exposure, ninety-seven percent of which was related to derivatives; namely, cleared interest rate swaps. Canadian Alternative Reference Rate Working Group, CARR's Review of CDOR: Analysis and Recommendations, Dec. 18, 2021, at 8, 10, available at https://www.bankofcanada.ca/wp-content/uploads/2021/12/CARR-Review-CDOR-Analysis-Recommendations.pdf (CDOR White Paper). \27\ Id. A banker's acceptance is an instrument by which a bank promises to make a requested future payment. \28\ In this manner, CAD CDOR was distinct from LIBOR, which measured the rate at which banks were able to borrow. \29\ CDOR White Paper at 9. Thomson Reuters was appointed as administrator of CAD CDOR (for which it was already calculation agent and distributor) as well as of CAD CORRA following a tender process announced by the Canadian Bankers Association and the Investment Industry Association of Canada. Thomson Reuters, "Thomson Reuters to administer two of Canada's fundamental financial benchmarks," Jan. 6, 2015, available at https://www.thomsonreuters.com/en/press-releases/2015/january/thomson-reuters-to-administer-two-of-canadas-fundamental-financial-benchmarks.html; Investment Industry Association of Canada, CDOR/ CORRA Administrator Tender Notice, June 2, 2014, available at https://iiac-accvm.ca/wp-content/uploads/CDOR-CORRA-Tender-Notice.pdf. Thomson Reuters sold Refinitiv, its financial and risk business which administered CAD CDOR, to the London Stock Exchange Group in 2021. Thomson Reuters, Thomson Reuters Announces Closing of Sale of Refinitiv to London Stock Exchange Group, Jan. 29, 2021, available at https://www.thomsonreuters.com/en/press-releases/2021/january/thomson-reuters-announces-closing-of-sale-of-refinitiv-to-london-stock-exchange-group.html. \30\ CDOR White Paper at 9-10.

CAD CORRA, the interest rate benchmark that superseded CAD CDOR, measures the cost of overnight general collateral funding in CAD using Canadian treasury bills and bonds as collateral for repurchase (repo) transactions.\31\ CAD CORRA is calculated based on overnight repo transactions between unaffiliated counterparties that are collateralized by Canadian treasury securities.\32\ The underlying volume of daily transactions on which CAD CORRA is based has generally been in the range of $15 billion to $20 billion.\33\

\31\ Bank of Canada, Canadian Overnight Repo Rate Average, available at https://www.bankofcanada.ca/rates/interest-rates/corra/. \32\ CDOR White Paper at 7. \33\ CDOR Transition FAQs.

The Bank of Canada first published CAD CORRA in 1997.\34\ RBSL was appointed as administrator of CAD CORRA in 2014.\35\ The Bank of Canada assumed the role of CAD CORRA's administrator from RBSL in June 2020 and has published the benchmark under an enhanced methodology since that time.\36\

\34\ Bank of Canada, "Bank of Canada to begin publishing Canadian Overnight Repo Rate Average in June," Feb. 18, 2020, available at https://www.bankofcanada.ca/2020/02/bank-canada-begin-publishing-canadian-overnight-repo-rate-average-june/. \35\ Thomson Reuters, "Thomson Reuters to administer two of Canada's fundamental financial benchmarks," Jan. 6, 2015, available at https://www.thomsonreuters.com/en/press-releases/2015/january/thomson-reuters-to-administer-two-of-canadas-fundamental-financial-benchmarks.html. \36\ Id.; CDOR White Paper at 6-7. While CAD CDOR is a forward- looking rate (i.e., the three-month CAD CDOR rate is the interest rate that will apply for the next three months), CAD CORRA is an overnight rate that reflects market activity on the previous day. To derive a CAD CORRA rate that spans a tenor period, which would make the rate easier to use in loans and floating rate notes, since April 2021, the Bank of Canada has published a CAD CORRA Compounded Index that compounds CAD CORRA settings over the relevant interest period. Id. at 8; Bank of Canada, Canadian Overnight Repo Rate Average, available at https://www.bankofcanada.ca/rates/interest-rates/corra/. In September 2023, Candeal Benchmark Solutions and TMX Datalinx launched one-month and three-month term CAD CORRA rates for use in certain loans and derivatives used to hedge them. Bank of Canada, "Term CORRA to be launched on September 5, 2023," Aug. 10, 2023, available at https://www.bankofcanada.ca/2023/08/term-corra-to-be-launched-on-september-5-2023/; Canadian Alternative Reference Rate Working Group, "CARR's allowable use cases for Term CORRA-- Finalized," Aug. 29, 2023, available at https://www.bankofcanada.ca/wp-content/uploads/2023/01/carr-approved-use-cases-term-corra.pdf.

In 2018, the Canadian Fixed-Income Forum (CFIF), a committee established by the Bank of Canada to discuss developments, practices, and policy issues in fixed-income markets, established the Canadian Alternative Reference Rate Working Group (CARR) to help guide benchmark reform efforts in Canada.\37\ In December 2021, CARR, in response to a request from CFIF in consultation with the CAD CDOR contributor banks,\38\ published a white paper analyzing the effectiveness of CAD CDOR as a benchmark in Canada.\39\ CARR's findings included that the determination of CAD CDOR was based predominantly on expert judgment and that the BA lending model on which CAD CDOR was premised was no longer viewed as an effective way for banks to provide credit to corporate clients.\40\ CARR also noted the departure of contributor banks could further imperil CAD CDOR's robustness.\41\ These observations echoed concerns raised about LIBOR.\42\

\37\ CDOR White Paper at 5. \38\ Id. \39\ See generally CDOR White Paper. \40\ Id. at 22-25. \41\ Id. at 25. \42\ See Third Determination, 87 FR at 52219-52220.

CARR recommended that CAD CDOR should cease publication after June 30, 2024, and that markets should transition to CAD CORRA,\43\ in a two-stage process: (1) by June 30, 2023, a transition of all new derivatives and securities exposures to CAD CORRA, with no new exposures subject to limited exceptions; \44\ and (2) by June 30, 2024, CAD CDOR would no longer be published, there would be no new use of CAD CDOR, and applicable CAD CDOR fallbacks would come into effect for any remaining CAD CDOR exposures.\45\

\43\ CDOR White Paper at 28. \44\ Id. \45\ Id. at 3, 28. A fallback rate is the rate provided for use in a contract if the benchmark that the contract uses becomes unavailable. ISDA, Understanding IBOR Benchmark Fallbacks, June 2, 2020, available at https://www.isda.org/a/YZQTE/Understanding%20Benchmarks-Factsheet.pdf. Under the ISDA 2020 IBOR Fallbacks Protocol, the fallback rate for CAD CDOR is a spread- adjusted version of CAD CORRA. See ISDA, ISDA 2020 IBOR Fallbacks Protocol, Oct. 23, 2020, at 41-42, available at https://assets.isda.org/media/3062e7b4/08268161-pdf/. CARR intended this phased approach to provide firms with additional time to transition loan agreements and manage potential issues related to the repapering of legacy securities. CDOR White Paper at 28.

Following a public consultation and announcement, among other steps, RBSL ceased calculation and publication of CAD CDOR after the June 28, 2024 publication.\46\ DCOs supported the transition from CAD CDOR to CAD CORRA, as they did in the transition from LIBOR to corresponding RFRs. Prior to the cessation of CAD CDOR, Chicago Mercantile Exchange, Inc. (CME) and LCH Limited (LCH) cleared CAD CDOR fixed-to-floating swaps with maximum termination dates of, respectively, 31 years and 41 years.\47\ LCH also cleared CAD CDOR-CAD CDOR and CAD CDOR-CAD CORRA basis swaps, both with a maximum termination date of 41 years.\48\ CME and LCH currently clear CAD CORRA OIS with maximum termination dates, respectively, of 31 years and 41 years.\49\ CME and LCH converted CAD CDOR swaps to CAD CORRA OIS ahead of the CAD CDOR cessation \50\ and, post-conversion, neither DCO clears CAD CDOR swaps.\51\

\46\ RBSL, Canadian Dollar Offered Rate (CDOR): Consultation on Potential Cessation of CDOR, Jan. 31, 2022, available at https://www.lseg.com/content/dam/ftse-russell/en_us/documents/consultation/future-of-cdor-consultation.pdf; RBSL, Canadian Dollar Offered Rate (CDOR) Announcement of Cessation of CDOR in June 2024, May 16, 2022, available at https://www.lseg.com/content/dam/ftse-russell/en_us/documents/announcement/cdor-cessation-notice.pdf. \47\ CME, Cleared OTC Interest Rate Swaps, Download Product Scope, available at https://www.cmegroup.com/trading/interest-rates/cleared-otc.html; LCH, LCH Limited Self-Certification: Tenor Extensions, Jan. 25, 2022, available at https://www.lseg.com/content/dam/post-trade/en_us/documents/lch/proposed-rule-changes/lch-ltd/lch-self-ceort-hkd-nok-cad-extensions-20220125-final.pdf. \48\ LCH, LCH Limited Self-Certification: Tenor Extensions, Jan. 25, 2022, available at https://www.lseg.com/content/dam/post-trade/en_us/documents/lch/proposed-rule-changes/lch-ltd/lch-self-cert-hkd-nok-cad-extensions-20220125-final.pdf. \49\ CME, Cleared OTC Interest Rate Swaps, Download Product Scope, available at https://www.cmegroup.com/trading/interest-rates/cleared-otc.html; LCH, Product Specific Contract Terms and Eligibility Criteria Manual, Nov. 2024, available at https://www.lseg.com/content/dam/post-trade/en_us/documents/lch/rulebooks/lch-ltd/lch-product-specific-contract-terms-eligiblity-for-zar-zaronia-ois-compound-241104.pdf. \50\ CME, Advisory Notice #24-136, CAD CDOR to CORRA Primary Swap Conversion--May 17, available at https://www.cmegroup.com/content/dam/cmegroup/notices/clearing/2024/05/Chadv24-136.pdf; CME, CME Conversion for CAD CDOR Cleared Swaps, Jan. 2024, available at https://www.cmegroup.com/content/dam/cmegroup/trading/interest-rates/files/cme-conversion-for-cad-cdor-cleared-swaps.pdf (CME CAD CDOR Conversion Presentation); London Stock Exchange Group, LCH SwapClear CAD CDOR Conversion Quick Guide, Feb. 21, 2024, available at https://www.lch.com/system/files/?file=media_root/swapclear-cad-cdor-quickquide-021624-03.pdf (LCH CAD CDOR Conversion Guide). \51\ CME, Cleared OTC Interest Rate Swaps, available at https://www.cmegroup.com/trading/interest-rates/cleared-otc.html (noting, "Clearing support will be limited to spot and forward trades for swap products where an index cessation or modification effective date has occurred. Any IBOR indexed swaps submitted for clearing will be converted to a corresponding risk free rate (RFR) swap."); LCH, What We Clear, available at https://www.lseg.com/en/post-trade/clearing/lch-services/swapclear/what-we-clear.

2. Transition From MXN TIIE to MXN F-TIIE Banco de M[eacute]xico began administering and publishing MXN TIIE in 1995 as a more accurate reflection of the cost of funding in the Mexican banking market than the existing Average Interbank Interest Rate (la Tasa Inter[eacute]s Interbancaria Promedio, or TIIP by its Spanish acronym).\52\ Historically, each bank business day, Banco de M[eacute]xico published 28-, 91-, and 182-day MXN TIIE rates calculated based on quotations submitted by a panel of commercial banks.\53\

\52\ Banco de M[eacute]xico, Informe Anual, 1995, at 130, available at https://www.banxico.org.mx/publicaciones-y-prensa/informes-anuales/%7B04840DAE-89CE-942C-ADC0-7F8D6DD0971D%7D.pdf. MXN TIIP was first published in 1993 and ceased publication in 2001. Banco de M[eacute]xico, Economic Information System, Securities Prices and Interest Rates, Interbank Interest Rates (CF111), n.3, available at https://www.banxico.org.mx/SieInternet/consultarDirectoriointernetAction.do?accion=consultarCuadro&idCuadro=CF111&sector=18&locale=en. While both MXN TIIP and MXN TIIE were designed to serve as survey-based indicators of the cost of funds in the Mexican banking market, MXN TIIE accounts for the supply and demand curve for such loans. See generally FSB, Progress in Reforming Major Interest Rate Benchmarks, July 9, 2015, at 15, available at https://www.fsb.org/uploads/OSSG-interest-rate-benchmarks-progress-report-July-2015.pdf. \53\ Banco de M[eacute]xico, Economic Information System, Securities Prices and Interest Rates, Representative Interest Rates (CA51), n.3, available at https://www.banxico.org.mx/SieInternet/consultarDirectoriointernetAction.do?sector=18&accion=consultarCuadroAnalitico&idCuadro=CA51&locale=en. The 28-, 91-, and 182-day MXN TIIE rates refer to the tenor of the interbank transactions that MXN TIIE is intended to measure.

In order to foster the sound development of the financial system and abide by the recommendations of international standard-setting bodies with respect to benchmark methodology, in January 2020, Banco de M[eacute]xico began administering and publishing MXN F-TIIE as an alternative to MXN TIIE.\54\ MXN F-TIIE is calculated based on a volume-weighted median of daily observed MXN-denominated wholesale overnight repurchase agreement transactions settled by banks and brokerage firms and secured by debt instruments issued by the Mexican government, the Mexican Bank Savings Protection Institute (Instituto para la Protecci[oacute]n al Ahorro Bancario, or IPAB by its Spanish acronym), Banco de M[eacute]xico.\55\ Banco de M[eacute]xico also announced enhancements to governance, accountability, and quality requirements with respect to MXN TIIE rates with maturities of greater than overnight, and a Code of Conduct for institutions that participate in determining MXN TIIE rates.\56\

\54\ Banco de M[eacute]xico, "Publication of the overnight TIIE funding rate and improvement of TIIE rates with longer than overnight maturities," Jan. 15, 2020, available at https://www.banxico.org.mx/publications-and-press/other-announcements/%7BA3CFC638-5913-1C42-1843-360A95F89A92%7D.pdf. \55\ Id. Daily average turnover in the Mexican repo market is approximately MXN 2.4 trillion (approximately $117 billion). International Monetary Fund, Mexico: Financial Sector Assessment Program-Technical Note on Systemic Liquidity Management, Nov. 10, 2022, at 8, available at https://www.elibrary.imf.org/downloadpdf/view/journals/002/2022/338/article-A001-en.pdf. \56\ Id. The enhancements are reflected in Banco de M[eacute]xico Circular 3/2012, available at https://www.banxico.org.mx/marco-normativo/normativa-emitida-por-el-banco-de-mexico/circular-3-2012/%7B4E0281A4-7AD8-1462-BC79-7F2925F3171D%7D.pdf.

In December 2022, after conducting an analysis supported by financial market participants in Mexico, Banco de M[eacute]xico deemed it necessary to prohibit the use of MXN TIIE rates with tenors greater than one business day as reference rates for new contracts.\57\

\57\ Banco de M[eacute]xico, "Transition from TIIE with tenors greater than one business day (28, 91, and 182 days) to the Overnight TIIE Funding Rate (TIIE de Fondeo)," Dec. 20, 2022, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7B2D6F5896-CF86-3F28-0C02-98D17B7542B9%7D.pdf. Spanish-language versions of the consultation, draft provisions, comments, and comment summary are available at https://www.banxico.org.mx/ConsultaRegulacionWeb/ (see, under "Hist[oacute]ricas," "PROYECTO DE DISPOSICIONES PARA MODIFICAR LA CIRCULAR 3/2012, CON OBJETO DE ESTABLECER LAS FECHAS A PARTIR DE LAS CUALES SE RESTRINGIR[Aacute] EL USO DE LAS TIIE A PLAZOS MAYORES A UN D[Iacute]A H[Aacute]BIL BANCARIO, AS[Iacute] COMO MODIFICAR LA METODOLOG[Iacute]A PARA SU C[Aacute]LCULO"). See also generally Banco de M[eacute]xico, 7th Meeting of the Working Group on Alternative Reference Rates in Mexico (GTTR), Mar. 2023, at 6-8, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7BA0239E58-6DE1-A4BC-D0DE-88E94841D16F%7D.pdf (summarizing comments on the consultation). Consistency with international efforts and best practices to move interest rate swap markets from survey-based IBORs to transaction- based RFRs was a significant consideration in Banco de M[eacute]xico's decision. Banco de M[eacute]xico, 4th Meeting of the Working Group on Alternative Reference Rates in Mexico (GTTR), Nov. 30, 2021, at 8, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7B53572077-823D-FEA5-6B89-5D4584C21981%7D.pdf. See also Banco de M[eacute]xico, 6th Meeting of the Working Subgroup on Derivative Instruments Referenced to the Funding TIIE of the GTTR, Oct. 30, 2023, at 3, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7B77DD82E8-D6CC-D5B4-345B-CEDFE130EEC5%7D.pdf; Banco de M[eacute]xico, 10th Meeting of the Working Group on Alternative Reference Rates in Mexico (GTTR), Dec. 6, 2023, at 3, 5, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7B8AAAB86C-BAD5-AD0F-513C-B465BAFDE75E%7D.pdf; Banco de M[eacute]xico, 11th Meeting of the Working Subgroup on Derivative Instruments Referenced to the Funding TIIE of the GTTR, Feb. 1, 2024, at 5, available at https://www.banxico.org.mx/markets/mexican-alternative-reference-rates-working-group/d/%7BA5419A19-1C19-9ED4-F429-8518FF28516E%7D.pdf.

Accordingly, Banco de M[eacute]xico determined the following: (1) use of 91- and 182-day tenor MXN TIIE as reference rates would be prohibited for new contracts entered into by financial entities regulated by Banco de M[eacute]xico beginning on January 1, 2024; (2) use of the 28-day MXN TIIE rate as a reference rate for new contracts entered into by the financial entities regulated by Banco de M[eacute]xico would be prohibited beginning January 1, 2025; and (3) Banco de M[eacute]xico would modify the methodology for calculation of MXN TIIE with tenors greater than one business day so that contracts tied to MXN TIIE with tenors greater than one business day that are still active as of the transition dates would not require adjustment through legal amendment.\58\ On December 6, 2023, to address feedback from market participants related to implementation concerns, particularly management of basis risk, Banco de M[eacute]xico announced that it would grant a waiver to permit trading in new swaps referencing the legacy MXN TIIE 28-day rate until December 31, 2025, provided the maturity of the transaction did not extend beyond that date.\59\ On June 7, 2024, Banco de M[eacute]xico finalized amendments to its transition timeline to account for the waiver period.\60\

The transitions from CAD CDOR to CAD CORRA and from MXN TIIE to MXN F-TIIE are further steps in a continuing effort by international standard-setting bodies such as International Organization of Securities Commissions (IOSCO) and the FSB, regulators, cross- jurisdictional working groups, market infrastructure providers, market participants, and others, to move global swap markets toward reliance on more sustainable benchmarks. Due to the cross-border nature of this effort, and the size of the affected markets, it is a priority for the Commission to engage with domestic and international regulators as it considers changes to the clearing requirement.