Modification and Withdrawal of Clearing Support for certain Cleared USD LIBOR Basis Swaps - Effective March 24, 2023

As a preliminary process prior to the proposed USD LIBOR to SOFR Conversion, CME plans to convert each such cleared USD LIBOR Basis Swap into corresponding CME cleared fixed-floating interest rate swaps on March 24, 2023. Following this date, CME will withdraw clearing support for USD LIBOR basis swaps.

USD LIBOR vs Fed Funds basis swaps are excluded from this event and will continue to be eligible for clearing through June 30, 2023. Please see the advisory for full information and impacts to USD LIBOR basis swaps.

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