Page 27 - 期货和衍生品行业监管动态（2024年2月）

期货和衍生品行业监管动态

替代品，以回应对 LIBOR 和其他银行间报价利率的可靠性和稳健性的重大关注。

该函中的不行动立场适用于所有注册互换实体。

CFTC Staff Issues No-Action Letter Regarding Pre-Trade Mid-Market Mark

for Certain Interest Rate Swaps Referencing SOFR (2024/2/22)

The Commodity Futures Trading Commission’s Market Participants Division

(MPD) today issued a no-action letter in relation to the requirement in Regulation

23.431 that swap dealers and major swap participants (swap entities) disclose to

certain counterparties the Pre-Trade Mid-Market Mark (PTMMM) of a swap.

The no-action position issued today states that MPD will not recommend the

Commission take an enforcement action against a registered swap entity for its failure

to disclose the PTMMM to a counterparty in certain interest rate swaps referencing

the Secured Overnight Financing Rate (SOFR) that are identified in the no-action

letter, provided that: (1) real-time tradeable bid and offer prices for the swap are

available electronically, in the marketplace, to the counterparty; and (2) the

counterparty to the swap agrees in advance, in writing, that the registered swap entity

need not disclose a PTMMM for the swap.

The no-action letter provides a similar no-action position as that in CFTC Staff

Letter No. 12-58 for certain interest rate swaps referencing the London Interbank

Offered Rate (LIBOR). It responds to a request from the Alternative Reference Rate

Committee (ARRC). ARRC, at the direction of the Federal Reserve Bank of New

York, identified SOFR as a preferred replacement for US Dollar LIBOR in response

to significant concerns regarding the reliability and robustness of LIBOR and other

interbank offered rates.

The no-action position in the letter is applicable to all registered swap entities.

https://www.cftc.gov/PressRoom/PressReleases/8869-24

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