Discussion document: Cleared Swaps Considerations for IBOR Fallbacks and Conversion Proposal
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.
On January 14, CME Group published a discussion document intended to facilitate a more detailed conversation with our customers and corresponding industry groups on this topic.
Discounting and Price Alignment transition: Emerging markets IRS and OTC FX products
Timing: Close of business on March 26, 2021, subject to regulatory approval. Testing in new release environment will begin on February 10, 2021.
Scope: Mexican TIIE IRS, our six non-deliverable IRS currencies, and USD or EUR-settled OTC FX pairs.
Process: CME Group will only conduct a cash adjustment for this transition to compensate for the change in NPV for each swap under SOFR discounting. For avoidance of doubt, CME Group will be forgoing a re-hedging exercise and auction for this transition.
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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs).
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