On 22 January 2024, there was published in the Official Journal of the EU, 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 over-the-counter (OTC) derivative contracts.
Commission Delegated Regulation (EU) 2015/2205 specifies, among others, a set of classes of 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 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. With respect to the OTC derivative market and the development of new risk-free rates, OTC interest rate derivative contracts referencing the Secured Overnight Financing Rate (SOFR) and Tokyo Overnight Average Rate (TONA) are being traded by counterparties and are being cleared at certain central counterparties.
The Commission Delegated Regulation amends Commission Delegated Regulation (EU) 2015/2205 to specify that the clearing obligation will take effect on 11 February 2024 for certain transactions referencing SOFR and TONA. It inserts paragraph 1c into Article 3 of Commission Delegated Regulation (EU) 2015/2205 which reads:
‘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.’;
The annex to Commission Delegated Regulation (EU) 2015/2205 is also amended.
The Commission Delegated Regulation enters into force on the twentieth day following its publication in the Official Journal of the European Union (11 February 2024).