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CME Amends Swaps Rule to Facilitate Transition to SOFR

The Chicago Mercantile Exchange ("CME") amended a rule on swap elections in connection with the transition from LIBOR to SOFR.

Amended Rule 58101.B ("Swap Elections") under CBOT ("Board of Trade of the City of Chicago, Inc.") Chapter 58 ("Treasury Invoice Swaps") changes the floating rate option from USD LIBOR to SOFR. The amended rule will affect all Treasury invoice swap spreads traded on CME.

The rule will become effective on January 23, 2022, for the trade date of January 24, 2022.

Primary Sources

  1. CME: Amendments to Convert Floating Rate from LIBOR to SOFR for All Treasury Invoice Swap Spreads
  2. Board of Trade of the City of Chicago: Chapter 58 ("Treasury Invoice Swaps")

Tags

Regulated Products
Indices Swaps / SBS
Body of Law
CEA Regulation
Jurisdiction
US - Federal
Organization
CFTC, NFA, CFTC Markets
Sub-Author
CME