See Full Document Text
Official Journal EN
of the European Union L series
2024/363 22.1.2024
COMMISSION DELEGATED REGULATION (EU) 2024/363
of 11 October 2023
amending the regulatory technical standards laid down in Delegated Regulation (EU) 2015/2205 as
regards the transition to the TONA and SOFR benchmarks referenced in certain OTC derivative
contracts
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC
derivatives, central counterparties and trade repositories(1), and in particular Article 5(2), second subparagraph, thereof,
Whereas:
(1) Commission Delegated Regulation (EU) 2015/2205(2)specifies, among others, a set of classes of over-the-counter
(OTC) interest rate derivatives that are subject to the clearing obligation. Delegated Regulation (EU) 2015/2205 was
amended by Commission Delegated Regulation (EU) 2022/750(3)as regards the set of classes of OTC interest rate
derivatives denominated in euro (EUR), Pound Sterling (GBP), Japanese Yen (JPY) and US Dollar (USD) that are
subject to the clearing obligation. That change in the scope of classes that are subject to the clearing obligation
reflects the transition to new benchmarks referenced in OTC derivatives, moving away from referencing the euro
Overnight Index Average (EONIA) and London Inter-Bank Offered Rate (LIBOR) benchmarks and referencing
instead new risk-free rates, as some classes no longer met the criteria that are essential for subjecting them to the
clearing obligation while new classes started to meet these criteria.
(2) The ICE Benchmark Administrator, the administrator for LIBOR, had communicated that the cessation of JPY LIBOR
and certain fixings of USD LIBOR was going to take place at the end of 2021, whereas the publication of all
remaining settings of USD LIBOR will cease in June 2023. In addition, the Commission, the European Central Bank
in its banking supervisory capacity (ECB Banking Supervision), the European Banking Authority (EBA) and the
European Securities and Markets Authority (ESMA) issued a joint statement to strongly encourage counterparties to
stop using any of the LIBOR settings, including USD LIBOR, as a reference rate in new contracts by 31 December
2021. Since 1 January 2022, counterparties are hence no longer able to enter into OTC interest rate derivatives
referencing JPY LIBOR as that benchmark has ceased and counterparties are expected to no longer enter into OTC
interest rate derivatives referencing USD LIBOR.
(3) Regulators and market participants have been working on replacement rates for those currencies, and in particular
on the development of new risk-free rates, which are now being used as benchmarks in financial instruments and
financial contracts. In particular, the Secured Overnight Financing Rate (SOFR) and the Tokyo Overnight Average
Rate (TONA) risk-free rates are produced for USD and JPY respectively. More specifically with respect to the OTC
derivative market, OTC interest rate derivative contracts referencing SOFR and TONA are being traded by
counterparties and are being cleared at certain Central Counterparties (CCPs).
(1) OJ L 201, 27.7.2012, p. 1.
(2) Commission Delegated Regulation (EU) 2015/2205 of 6 August 2015 supplementing Regulation (EU) No 648/2012 of the European
Parliament and of the Council with regard to regulatory technical standards on the clearing obligation (OJ L 314, 1.12.2015, p. 13).
(3) Commission Delegated Regulation (EU) 2022/750 of 8 February 2022 amending the regulatory technical standards laid down in
Delegated Regulation (EU) 2015/2205 as regards the transition to new benchmarks referenced in certain OTC derivative contracts
(OJ L 138, 17.5.2022, p. 6).
ELI: http://data.europa.eu/eli/reg_del/2024/363/oj 1/4EN
OJ L, 22.1.2024
(4) ESMA has been notified of the classes of OTC interest rate derivatives referencing SOFR or TONA that certain CCPs
have been authorised to clear. For each of those classes ESMA has assessed again the criteria that are essential for
subjecting them to the clearing obligation, including the level of standardisation, the volume and liquidity, and the
availability of pricing information. With the overarching objective of reducing systemic risks, ESMA has determined
that those classes of OTC interest rate derivatives referencing those risk-free rates should now become subject to the
clearing obligation in accordance with the procedure set out in Regulation (EU) No 648/2012. Those classes should
therefore be included in the scope of the clearing obligation.
(5) In general, different counterparties need different periods of time for putting in place the necessary arrangements to
start clearing their OTC interest rate derivatives subject to the clearing obligation. However, in this case,
counterparties have had time to prepare for the benchmark transition, including the cessation of JPY LIBOR that
took place at the end of 2021 or the planned cessation of most settings of USD LIBOR scheduled for June 2023,
including with respect to their clearing arrangements. For counterparties already subject to the clearing obligation
and clearing OTC interest rate derivatives denominated in JPY or in USD, clearing the new classes referencing the
risk-free rates in JPY or USD does not require significant changes, if any at all, to their clearing contracts or
processes. Indeed, when counterparties have clearing arrangements in place to clear OTC interest rate derivatives
denominated in JPY, then clearing OTC interest rate derivatives referencing the risk-free rate in that currency does
not require establishing and implementing brand new clearing arrangements as was the case when they first started
clearing OTC interest rate derivatives denominated in that currency. Furthermore, for counterparties that have had
clearing arrangements in place to clear OTC interest rate derivatives referencing SOFR, as SOFR Overnight Index
Swaps classes of maturities up to 3 years are already in scope of the clearing obligation, then clearing OTC interest
rate derivatives referencing SOFR for longer maturities does not require establishing and implementing brand new
clearing arrangements. There is no need to introduce an additional phase-in in order to ensure an orderly and
timely implementation of that obligation. The changes made to introduce the new classes of OTC interest rate
derivatives referencing the risk-free rates and denominated in JPY and USD should start to apply on the date of entry
into force of this Regulation.
(6) Delegated Regulation (EU) 2015/2205 should therefore be amended accordingly.
(7) This Regulation is based on the draft regulatory technical standards submitted to the Commission by ESMA.
(8) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation
is based, analysed the potential related costs and benefits, requested the advice of the Security and Markets
Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of
the Council(4), and consulted the European Systemic Risk Board,
HAS ADOPTED THIS REGULATION:
Article 1
Delegated Regulation (EU) 2015/2205 is amended as follows:
(1) in Article 3, the following paragraph 1c is inserted:
‘1c. By way of derogation from paragraph 1, and excluding contracts referred to in paragraph 1b, in respect of
contracts pertaining to a class of OTC derivatives set out in the Annex in rows E.4.1 and E.4.2 of Table 4, the
clearing obligation for such contracts shall take effect on 11 February 2024.’;
(2) the Annex is amended in accordance with the Annex to this Regulation.
(4) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European
Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission
Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
2/4 ELI: http://data.europa.eu/eli/reg_del/2024/363/ojEN
OJ L, 22.1.2024
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the
European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 11 October 2023.
For the Commission
The President
Ursula VON DER LEYEN
ELI: http://data.europa.eu/eli/reg_del/2024/363/oj 3/4EN
OJ L, 22.1.2024
ANNEX
In the Annex to Delegated Regulation (EU) 2015/2205, Table 4 is amended as follows:
(1) the row for entry D.4.3 is deleted;
(2) the following rows for entries E.4.1 and E.4.2 are added:
‘E.4.1 OIS SOFR USD 7D-50Y Single No Constant or
currency variable
E.4.2 OIS TONA JPY 7D-30Y Single No Constant or
currency variable’
4/4 ELI: http://data.europa.eu/eli/reg_del/2024/363/oj