• Modification of Cleared OTC CHF, GBP, JPY IRS Products Referencing LIBOR and Limitation of Acceptance for Clearing - Effective December 03, 2021

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-434
      • Notice Date
      • 22 November 2021
      • Effective Date
      • 03 December 2021

    • Subject to regulatory review, CME will transition CME cleared GBP, JPY and CHF LIBOR Swaps by converting the relevant LIBOR referencing IRS to CME cleared standardized OIS referencing SONIA, TONA and SARON, respectively. Following the Secondary Conversion Dates noted in this advisory, CME will limit the GBP, JPY and CHF LIBOR Swaps eligible for clearing and continue to convert any new GBP, JPY, and CHF LIBOR swaps on a daily basis.

      For the full text of this advisory, please click here.

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