As jurisdictions across the globe shift from legacy benchmark interest rates to alternative risk-free rates, CME Group is committed to collaborating with the industry to identify, understand, and formulate plans to help facilitate these transitions for cleared interest rate swaps. Please direct any questions or comments on these transitions to our team at ClearedSwapConversion@cmegroup.com.
| Market | Legacy rate | Risk-free rate | Cessation date | Resources |
|---|---|---|---|---|
| EUR | EONIA | €STR | January 3, 2022 | EUR EONIA Conversion Plan |
| CHF GBP JPY |
IBOR | SARON SONIA TONA |
December 31, 2021 | CHF/GBP/JPY Conversion Plan |
| USD | IBOR | SOFR | June 30, 2023 | USD LIBOR Conversion Plan |
| CAD | CDOR | CORRA | June 28, 2024 | |
| USD | BSBY | SOFR | November 15, 2024 | |
| MXN | 28D TIIE | F-TIIE | January 1, 2025* | MXN TIIE Transition Page |
| PLN | WIBOR | WIRON | December 31, 2027** | Postponed |
*Bank of Mexico intends to modify to 28D TIIE rate calculation from January 1, 2025 onwards while implementing trading prohibitions
**PLN WIBOR cessation date postponed to end of 2027
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
