Cme Group Inc. · NASDAQ:CME
Cme — Conference Presentation (January 2021)
9 slides from Cme's conference presentation, January 2021
Slide 1: LIBOR Fallback Proposal for CME Eurodollar Futures and Options
LIBOR Fallback Proposal for CME Eurodollar Futures and Options
Slide 2: CME Eurodollars
CME Eurodollars • Debuted in 1981, Eurodollar futures and options have grown throughout periods of different interest rate environments and market structure changes • Eurodollar futures and options remain the most flexible, highly traded, and widely referenced of the listed interest rate derivatives
Slide 3: LIBOR Fallbacks - Background
LIBOR Fallbacks - Background • In June 2017 the Alternative Reference Rate Committee CME SOFR futures market participation (ARRC) endorsed SOFR as the designated alternative reference rate for USD interest rates and as the successor rate to ICE LIBOR 2020 ADV 51,000 Total # of 500+ participants • Gl
Slide 4: SOFR 2021
SOFR 2021 2020 H1 2021 H2 2021 2023 DEC 31 – ARRC Target JAN 25 Milestones: DEC 31 Milestones: JUN 30 Milestones: for making markets in • ISDA Protocol & New definitions effective • Proposed LIBOR Cessation for • Proposed LIBOR Cessation SOFR volatility products • IBA LIBOR Consultation Closes EUR,
Slide 5: LIBOR Fallbacks
LIBOR Fallbacks ISDA & CME Fallbacks alignment ISDA Fallbacks (OTC)* CME Proposed Fallbacks (F&O) After several consultations, ISDA’s final framework comprises three Based on consultation with our customers and the goal to retain alignment chief elements: with cleared and uncleared OTC and cash mark
Slide 6: Eurodollar Options Fallback proposal
Eurodollar Options Fallback proposal Option expiration date Eurodollar open interest Percent of total June 2023 and Earlier 33,357,271 98.6% Post 30th June 2023* 170,828 1.4% *Exact date to be determined by the confirmation of an Index Cessation Event date Current State: First listed in January 2020
Slide 7: Fallback Flow Chart – Eurodollar Futures & Options
Fallback Flow Chart – Eurodollar Futures & Options Eurodollar Eurodollar Futures Options ED F&O Fallback SR3 Strike = ED SOFR Options Non- Strike + ISDA Step 1 Standard Strikes Spread Adjustment 1 Time Conversion: SR3 Price = ED Settle + ISDA Spread Adjustment Positions allocated to Standard Options
Slide 8: Feedback
Feedback We are eager to hear your comments and questions. If you wish to speak with us, please contact us at InterestRate@cmegroup.com. Today’s Speakers: Sunil Cutinho Agha Mirza Senior Managing Director and President of CME Clearing Managing Director and Global Head, Interest Rate and OTC Products
Slide 9: Disclaimer
Disclaimer CME Group remains engaged with market participants, industry bodies and regulatory authorities regarding IBOR fallbacks, and will continue to promote industry standards for the orderly transition from IBORs to corresponding alternative reference rates as and when transition may be require