• REMINDER: LIBOR Fallback; ED-to-SOFR Fallbacks Conversion Production Weekend - Effective April 17, 2023

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 23-121
      • Notice Date
      • 11 April 2023
      • Effective Date
      • 17 April 2023

    • As a reminder… Further to CME Rulebook Chapter 452, Chapter 452A and SER 9115, ahead of the scheduled final publication of a “representative” 3M USD LIBOR reference rate on June 30, 2023, following close of business on Friday, April 14, 2023, CME will convert specific Eurodollar Futures and Options open interest to corresponding SOFR positions, at a ratio of 1:1, for Trade Date Monday, April 17, 2023.

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

       

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