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 Libors31st Dec 2021 – No new risk on USD Libor3rd 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.
About Clarion Analytics
Clarion’s proprietary front office analytics harness our advanced capabilities in listed and OTC derivatives. A strong feedback mechanism with our community of front office users ensures that valuation and risk outputs are closely aligned to market best practice. Find out more on our Solutions pages.
