CFTC Replaces CDOR and TIIE Swap Clearing With CORRA and F-TIIE Rates

The Commodity Futures Trading Commission on September 2, 2026, issued a final rule modifying its interest rate swap clearing requirement, removing the requirement to clear swaps referencing the Canadian Dollar Offered Rate (CDOR) and the Interbank Equilibrium Interest Rate (TIIE) and replacing it with a requirement to clear Canadian dollar (CAD)- and Mexican peso (MXN)-denominated swaps referencing overnight, nearly risk-free rates.

The rule updates the set of swaps that must be submitted for clearing to a derivatives clearing organization (DCO) registered under the Commodity Exchange Act (CEA), or to a DCO exempted from registration, under part 50 of the CFTC’s regulations. It amends CFTC Regulations 50.4 and 50.26 to add a new set of swaps required to be cleared, remove swaps no longer required to be cleared, and revise associated compliance dates. The final rule takes effect 30 days after publication in the Federal Register.

Amendments to Part 50

The final rule makes four specific changes. First, it changes the stated termination date range for CAD-denominated swaps referencing the Canadian Overnight Repo Rate Average (CORRA) in the overnight index swap (OIS) class to seven days to 30 years. Second, it adds MXN-denominated swaps referencing the Overnight TIIE Funding Rate (F-TIIE) to the OIS class, with a stated termination date range of 28 days to 21 years. Third, it removes CAD-denominated swaps referencing CDOR as a floating rate index from the fixed-to-floating swap class. Fourth, it removes MXN-denominated swaps referencing TIIE as a floating rate index from the fixed-to-floating swap class.

Benchmark Transitions Behind the Rule

CDOR ceased publication on June 28, 2024, according to the Commission’s rulemaking record. Before its cessation, CDOR was the primary wholesale interest rate benchmark in Canada, referenced in more than $20 trillion of gross notional exposure as of 2021, with 97 percent of that exposure related to derivatives, principally cleared interest rate swaps, according to a 2021 analysis by the Canadian Alternative Reference Rate Working Group (CARR) cited in the proposal. CARR recommended in December 2021 that CDOR cease publication after June 30, 2024, and that markets transition to CORRA, after finding that CDOR’s determination was based predominantly on expert judgment and that the bankers’ acceptance lending model underlying it was no longer seen as an effective way for banks to provide credit to corporate clients.

CORRA measures the cost of overnight general collateral funding in Canadian dollars using Canadian treasury bills and bonds as collateral for repurchase transactions. The Bank of Canada first published CORRA in 1997 and assumed the role of administrator in June 2020. Daily transaction volumes underlying CORRA have generally ranged from $15 billion to $20 billion, the proposal states. Chicago Mercantile Exchange and LCH Limited converted cleared CDOR swaps to CORRA OIS in 2024; CME conducted its conversion in stages in May 2024 and July 2024, and LCH conducted its conversion on June 8, 2024. Neither clearinghouse now offers CDOR swaps for clearing.

In Mexico, Banco de México prohibited the use of 91- and 182-day TIIE as reference rates for new contracts entered into by financial entities it regulates beginning January 1, 2024, and of 28-day TIIE beginning January 1, 2025, subject to a waiver that permitted trading of new swaps referencing 28-day TIIE until December 31, 2025, provided the swaps did not mature after that date. Banco de México has administered and published F-TIIE since January 2020; the rate is calculated from a volume-weighted median of daily observed MXN-denominated wholesale overnight repurchase agreement transactions settled by banks and brokerage firms and secured by debt instruments issued by the Mexican government, the Mexican Bank Savings Protection Institute, and Banco de México. CME and LCH previously cleared fixed-to-floating swaps referencing 28-day TIIE with maximum stated termination dates of 31 years and 21 years, respectively; both no longer offer those swaps for clearing and now clear F-TIIE OIS with maximum stated termination dates of 31 years and 21 years, respectively. Asigna, a Mexican clearinghouse that is neither a registered DCO nor an exempt DCO, clears F-TIIE OIS with a maximum stated termination date of 30 years.

The Commission proposed the amendments on May 8, 2026, and the notice of proposed rulemaking was published in the Federal Register on May 12, 2026, at 91 FR 25812, with comments due by June 11, 2026.

The clearing requirement traces to Title VII of the Dodd-Frank Act, which amended the CEA to require that a swap be cleared through a registered or exempt DCO if the Commission has determined that the swap, or group, category, type, or class of swaps, must be cleared. The Commission’s first clearing requirement determination, adopted on December 13, 2012, applied to four classes of interest rate swaps denominated in U.S. dollars, euros, British pounds, and Japanese yen. Its second determination, adopted on October 14, 2016, added nine currencies, including CAD and MXN, and brought CAD CDOR fixed-to-floating swaps, CAD CORRA OIS, and MXN TIIE fixed-to-floating swaps under the requirement. A third determination, published on August 24, 2022, addressed the global transition away from LIBOR and other interbank offered rates, removing requirements to clear swaps referencing those benchmarks and adding requirements to clear OIS referencing overnight rates including SOFR, SONIA, TONA, SARON, €STR, and SORA.

Section 2(h)(2)(D)(ii) of the CEA requires the Commission to consider five factors when making a clearing requirement determination, including the existence of significant outstanding notional exposures, trading liquidity, and adequate pricing data; the effect on the mitigation of systemic risk; the effect on competition; and the existence of reasonable legal certainty in the event of the insolvency of the relevant DCO or one or more of its clearing members. According to Bank for International Settlements data cited in the proposal, there was an estimated $579 trillion in outstanding notional of interest rate swaps as of June 2024, representing approximately 80 percent of the total outstanding notional of all over-the-counter derivatives.