RegAlert2012-12-18 | CFTC Staff Letter 12-58Added · Updated
CFTC Staff Letter 12-58: No-Action Relief for Pre-Trade Mid-Market Mark Disclosure for Certain Swaps
Swap dealers and major swap participants are not required to disclose pre-trade mid-market marks for specific credit default swaps and interest rate swaps if counterparties agree in writing to waive this requirement and real-time executable bid and offer prices are available. The relief applies to untranched credit default swaps referencing CDX.NA.IG 5Y, CDX.NA.HY 5Y, iTraxx Europe 5Y, and iTraxx Europe Crossover 5yr, as well as USD or EUR denominated fixed-for-floating interest rate swaps with terms of no more than 30 years. Prior to final rules governing Swap Execution Facility registration, relief requires that real-time tradeable prices be available electronically in the marketplace; subsequently, such prices must be available on a Designated Contract Market or Swap Execution Facility. This no-action position is limited to the specified transactions and does not affect obligations to provide daily marks or disclose pre-trade mid-market marks for other contracts.
CFTC published 6 documents in the last 30 days — get each new one by email the day it lands.
U.S. COMMODITY FUTURES TRADING COMMISSION
Three Lafayette Centre
1155 21st Street, NW, Washington, DC 20581
Telephone: (202) 418-5977
Facsimile: (202) 418-5407 gbarnett@cftc.gov
Division of Swap Dealer and
Intermediary Oversight
Gary Barnett
Director
CFTC Letter No. 12-58
No-Action
December 18, 2012
Division of Swap Dealer and Intermediary Oversight Re: Request for Relief Regarding Obligation to Provide Pre-Trade Mid-Market Mark for Certain Credit Default Swaps and Interest Rate Swaps Ladies and Gentlemen:
This letter is in response to a request dated November 30, 2012, from the International Swaps and Derivatives Association, Inc. (“ISDA”) to the Division of Swap Dealer and Intermediary Oversight (“Division”) of the Commodity Futures Trading Commission (“Commission”), in which ISDA requested relief 1 that would permit swap dealers and major swap participants to enter into certain derivatives transactions without disclosing a pre-trade midmarket mark to the counterparty of the transaction as required under Commission Regulation (“Regulation”) 23.431(a)(3)(i). ISDA requested that swap dealers and major swap participants not be required to disclose pre-trade mid-market marks in connection with: (1) untranched credit default swaps referencing the on-the-run and most recent off-the run series of the following indices: CDX.NA.IG 5Y, CDX.NA.HY 5Y, iTraxx Europe 5Y and iTraxx Europe Crossover 5yr (“Covered Credit Derivative Transactions”); and (2) interest rate swaps (A) in the “fixed-forfloating swap class” (as such term is used in Regulation 50.4(a)) denominated in USD or EUR, (B) for which the remaining term to the scheduled termination date is no more than 30 years, and (C) that have the specifications set out in the Regulation 50.4 (“Covered Rates Derivative Transactions,” and together with Covered Credit Derivative Transactions, “Covered Derivative Transactions”). Applicable Regulatory Requirements
Section 4s(h)(3)(B) of the CEA directs the Commission to adopt business conduct
standards for swap dealers and major swap participants that:
Read the rest free, and get an email when CFTC publishes again
Lineage: Superseded
Timeline
Amended 1 time · last 2025-09-30
Source: Commodity Futures Trading Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
More like this from CFTC
CFTC published 6 documents in the last 30 days. We email you each new one the day it's published.