• OTC IRS Production Advisory – IBOR to RFR Swap Conversion Events: January 3 and January 4, 2022

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-479
      • Notice Date
      • 30 December 2021
      • Effective Date
      • 30 December 2021

    • Please be advised CME Clearing has the below LIBOR to RFR Swaps conversion events scheduled for next week:

      • CHF LIBOR to RFR Replacement Swaps on Monday, January 3rd for swaps with fixings between the December 3rd conversion date and Index Cessation Effective Date
      • JPY & GBP LIBOR to RFR Replacement Swaps on Tuesday, January 4th for swaps with fixings between the respective December conversion date and Index Cessation Effective Date
      • For any JPY, CHF or GBP Libor swaps cleared on Wednesday, January 5th, 2022 or thereafter, CME will run a daily conversion cycle at the end of each business day

      Click here for the full text of the advisory

      21-479

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