Seeking your feedback to validate paths forward and efficiently achieve adoption of risk-free rates (RFRs).
As the industry advances RFR markets, CME Group continues our collaborative approach to identify, understand, and create innovative solutions for hurdles faced by market participants.
Subject to regulatory approval, the CME Rulebook will incorporate ISDA IBOR Fallbacks in cleared OTC IRS for certain currencies, in coordination with the broader industry, on January 25, 2021.
Market participants have requested CCPs to consider converting existing IBOR swap exposures into new OIS contracts that follow RFR standards, with a cash adjustment to compensate for any changes in valuation.
This discussion document is intended to facilitate a more detailed conversation with our customers and corresponding industry groups on this topic. Please follow the below link to read more.
If you have any questions or wish to offer feedback on the document, please contact a member of the cleared swaps team.
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.
