Market Notice

5 March 2021

CurveGlobal Markets

MARKET NOTICE 2021/007

CurveGlobal Markets LIBOR cessation Trigger Event

Market Notice 2021/005 announced the CurveGlobal Markets LIBOR cessation fallback provisions for the CurveGlobal® Three Month Sterling Futures and the CurveGlobal® 1 Million Three Month Sterling Futures contracts (“the CurveGlobal® LIBOR futures”).

CurveGlobal Markets confirms that a “Pre-Cessation ICE LIBOR Trigger Event”, as defined in the “Cessation of 3- month GBP ICE LIBOR” section of the CurveGlobal® LIBOR futures contract specifications, occurred today, 5th March 2021. Please see the following link for the FCA announcement for further information.

As a result of the occurrence of the Pre-Cessation ICE LIBOR Trigger Event, for the purposes of the CurveGlobal® LIBOR futures contract specifications: - the “Cessation Date” is 4th January 20221; and - the “Trigger Event Date” is 5th March 2021.

As a result of the announcement, the credit spread adjustment will be the value calculated by Bloomberg Index Services Limited in relation to 3-month GBP ICE LIBOR, that is published in respect of 5th March 2021.

Based on feedback from market participants since the CurveGlobal Markets LIBOR transition consultation response was published, the Exchange will no longer de-list any CurveGlobal® LIBOR futures (including those with no Open Interest). All of the CurveGlobal® LIBOR futures will remain listed and tradeable until the Business Day prior to the Cessation Date, 31st December 2021, or an earlier date announced by CurveGlobal Markets in a Notice with no less than 3 months’ notice.

For questions related to this, or any other, Market Notice please contact the CurveGlobal Products Team.

CurveGlobal Markets Products London Stock Exchange Telephone: +44 (0)207 797 1055 [email protected]

1 The Cessation Date may ultimately be earlier than 4th January 2022, as may be subsequently announced by CurveGlobal Markets in a Notice with no less than 3 months’ notice.