CME updates on USD LIBOR 1W & 2M tenor discontinuation
CME will amend all in-scope USD LIBOR swaps and FRAs affected by the one-week and two-month USD LIBOR tenor discontinuation in the New Release environment on Wednesday, November 3, 2021.
Beginning on Wednesday, November 10, 2021, CME will apply updated product validations on new trades referencing the one-week and/or two-month USD LIBOR tenors in the New Release environment.
CME will identify and amend in-scope USD LIBOR Swaps and FRAs based on the below criteria:
- If the adjusted fixing date for either the 1W or 2M stub tenor is on or before December 31, 2021, the swap/FRA will be left unchanged
- If the adjusted fixing date for either the 1W or 2M stub tenor is after December 31, 2021, the swap/FRA will be amended
Let’s note that CME will not provide clearing member firms with amendment messaging.
For interpolated stub tenors, the next shorter or next longer USD LIBOR tenors that are published must be referenced as part of the bulk amendment.
▪ Examples:
- 1W–1M→1D–1M
- 1W–2M→1D–3M
- 1M–2M→1M–3M
- 2M–3M→1M–3M
For standalone stub tenors, the new rate will be interpolated between the next shorter and next longer tenors that are still published.
▪ Examples:
- 1W→1D–1M
- 2M→1M–3M
CME will apply updated product validations on new trades based on the below criteria:
- If the adjusted fixing date for either the 1W or 2M stub tenor is on or before December 31, 2021, the swap/FRA will be cleared
- If the adjusted fixing date for either the 1W or 2M stub tenor is after December 31, 2021, the swap/FRA will be rejected
Beginning on November 10, 2021, CME will begin supporting the overnight (1D) USD LIBOR tenor for clearing on IRS and FRAs in the New Release environment. The 1D USD LIBOR tenor will be added to the daily Rate Reset report (IRSRR) posted to Clearing Firm FTP sites.