June 16, 2022

Chicago Mercantile Exchange Proposes Conversion Plan for USD LIBOR Swaps

The Chicago Mercantile Exchange ("CME") proposed a plan for transitioning swaps referencing USD LIBOR.

The proposed approach is intended to align with the one used in late 2021 for non-USD LIBOR rates, with "operational change" compared to that process. Under the new plan, USD LIBOR swaps will be replaced with two swaps: (i) a forward-starting Secured Overnight Financing Rate swap excluding the upfront fee and (ii) a short-dated LIBOR swap for LIBOR fixings that settle after the cessation of USD LIBOR. According to CME, the cashflow and risk perspective for the proposal is unchanged compared to the prior methodology.

Feedback on the CME proposal is requested by July 15, 2022, and a final conversion plan is intended to be published in late July or early August 2022.

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