Coremont’s latest whitepaper, authored by our Quantitative Analysis team, sets out the latest Libor landscape, including market migration to Risk-Free Rates, LCH and CME USD Libor swap conversion, and an update on improved Analytics available via Clarion, our cloud-based portfolio management system.

Main Updates

  • USD Libor cessation 30th June 2023
  • Clarion – independent Eurodollar and SOFR listed option volatility surfaces
  • Results of the LCH USD Libor conversion consultation
  • Overview of CME plan and time line for Eurodollar Future and Option conversion
  • SGD SOR Cessation and LCH conversion consultation

Consolidated timeline

  • 31st Dec 2021 – Last publication of CHF, EUR, GBP and JPY Libors
  • 31st Dec 2021 – No new risk on USD Libor
  • 3rd Jan 2022 – Last publication of EONIA
  • Sep 2022 – CME to publish methodology for Eurodollar option conversion to SOFR
  • Late 2022 – LCH to introduce a free and voluntary Libor/Libor and Libor/SOFR basis swap splitting facility
  • April 2023 – Expected Eurodollar Future and Option conversion at CME
  • April 2023 – Expected conversion of CME cleared USD Libor swaps to SOFR
  • Weekend 21st April 2023 – LCH Libor/Fed Fund basis swap conversion
  • Weekend 19th May 2023 – LCH Conversion of Cleared Libor swaps to SOFR
  • 30th June 2023 – Last publication of USD Libor

This is the latest in a series of Coremont whitepapers on Libor discontinuation, with other analysis available from the News & Insights page.

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