CME Group is fully supportive of efforts by the official sector, ARRC, ISDA and their industry-wide working groups, to improve and strengthen LIBOR Fallbacks. We intend to align with ISDA to include revised fallback language in our rules at a time which is concurrent with amendments or New Definitions being adopted across the OTC derivative marketplace that reference the six indices across four currencies referenced in their recent consultation: GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW. CME reserves the right to make necessary adjustments based on consultations with our clients. We will keep all participants informed throughout the process.
Beyond the four currencies referenced thus far by ISDA, CME remains in close consultation with ARRC, ISDA and our clients, and we will communicate our plans regarding other currencies at the appropriate times in relation to ISDA’s work to achieve consensus across the industry.
CME Group’s views relating more broadly to LIBOR transition are summarized in our white paper, "What’s Next for LIBOR and Eurodollar Futures."
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.
