ESMA Reviews Clearing And Derivatives Trading Obligations

Basel Committee Consults on Interest-Rate Risk

The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, launches a consultation  exploring the extension of the scope of both the Clearing Obligation (CO) and the Derivatives Trading Obligation (DTO).

The proposals contained in the consultation, based on the progress made with the benchmark transition in the interest rate derivative market, introduce additional classes to the scope of the CO and of the DTO. These changes complement the first set of changes developed also in the context of the benchmark transition.

ESMA’s proposal includes for:

  • the CO
    • the introduction of the overnight indexed swap (OIS) class referencing TONA (JPY);
    • the expansion of the maturities in scope of the CO for the OIS class referencing SOFR (USD); and
  • for the DTO – the introduction of certain classes of OIS referencing €STR (EUR), which have shown a substantial increase in liquidity over the last months.

In November 2021, ESMA published a first set of technical standards on the CO and DTO amending the respective scopes of these two obligations in view of the benchmark transition, which entered into force in May 2022.

Next steps

Stakeholders, in particular counterparties of OTC derivatives transactions which are subject to the clearing obligation or the derivative trading obligation as well as from CCPs and Trading Venues, are invited to respond to this consultation by 30 September 2022.


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