CME Publishes USD LIBOR Swap
Conversion Methodology

 

CME has published the methodology for converting cleared USD LIBOR swaps to their SOFR equivalents. The conversion will take place in phases, including "dress rehearsals" beginning in January 2023.

The primary approach involves replacing the original LIBOR swap with two swaps: a forward starting SOFR Swap to represent the period after LIBOR's cessation and a short-dated swap to cover any remaining LIBOR fixings but which settle after the cessation.

Key phases are:

• Dress Rehearsals and Indicative Analysis Reporting from January to March
• Basis Swap Splitting: March 24, 2023
• Primary USD Swap Conversions: Friday, April 21, 2023
• Secondary USD Swap Conversions: Zero Coupon Swaps and Swaption Expiries July 3, 2023

For details click here.

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