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The Webinar will begin shortly

USD LIBOR Final Steps

Thursday, April 13, 2023
9:00 AM – 10:00 AM EDT
ISDA Webinar: USD LIBOR Final Steps
Thursday, April 13, 2023 | 9:00 AM – 10:00 AM EDT

Speakers

Ann Battle Steve Dayon Aditya Dhadam Jonathan Martin

ISDA CME Eurex ISDA
abattle@isda.org Steven.Dayon@cmegroup.com aditya.dhadam@eurex.com jmartin@isda.org

Kalina Natcheva-Acar Dave Reif Jonathan Seymour Philip Whitehurst

Eurex CME Bloomberg LCH
kalina.natcheva-acar@eurex.com David.Reif@cmegroup.com jseymour11@bloomberg.net Philip.Whitehurst@lseg.com

2
©2023 International Swaps and Derivatives Association, Inc.
ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc.
 Relevant Provisions in the 2006 ISDA Definitions and 2021 ISDA
Interest Rate Derivatives Definitions
USD LIBOR FROs
Contain SOFR-based
fallbacks published by SOFR FROs
Bloomberg
(provided entered on or after January 25,
2021 or amended by the 2020 IBOR
Fallbacks Prtocol)

Compounded Index Overnight Published Average Self-Compounding Forward Term

Compounded Index ICE All-in Compounded

Index

Compounding and
Index Compounding Averaging Provisions
Provisions

3 ISDA Webinar: USD LIBOR Final Steps

 IBOR Fallbacks: Adjustments to Fallback Rates
Form of Adjustments
• The RFRs are adjusted (1) to reflect the fact that the IBOR is a term rate and (2) to factor in the embedded bank
credit spread element of the IBOR.
• The methodology is:
– RFRs are based on the compounded setting in arrears rate and the five-year historical median approach
to the spread adjustment.
– The compounded setting in arrears rate is the RFR observed over a period (generally equivalent to the
relevant IBOR tenor) and compounded daily. The rate is adjusted whereby the observation period is
backward-shifted to allow for the rate to be known prior to the relevant payment date.
– The five-year historical median approach to the spread adjustment is based on the median spot spread
between the IBOR and the term-adjusted RFR calculated over a static lookback period of five years prior to
the Index Cessation Event. The spread adjustment as fixed on March 5, 2021 is added to the compounded
setting in arrears rate (but will not be compounded itself).

• Information about the relevant consultations and results available at

https://www.isda.org/2020/01/10/benchmark-fallback-consultations/

4 ISDA Webinar: USD LIBOR Final Steps

 USD LIBOR Spread Adjustment Fixings
• IBOR Cessation Trigger Date
Spread
• On 5 March 2021, the UK Financial Conduct Authority (FCA) issued an LIBOR Tenor Ticker Adjustment
announcement on the future cessation and loss of representativeness of (%)
the LIBOR benchmarks. As confirmed via the announcement by the
USD Overnight YUS00ON Index 0.00644
International Swaps and Derivatives Association, Inc. (ISDA), 5 March 2021
was the ‘Spread Adjustment Fixing Date’ for all LIBOR Tenors across all USD 1 Week YUS0001W Index 0.03839
LIBOR currencies USD 1 Month YUS0001M Index 0.11448
• Each USD LIBOR Tenor, Ticker and associated fixed Spread Adjustment are USD 2 Months YUS0002M Index 0.18456
shown in the table
USD 3 Months YUS0003M Index 0.26161
• Thereafter, the ‘Fallback Rate’ calculated for each ‘Rate Record Day’ (as
USD 6 Months YUS0006M Index 0.42826
such terms are defined in the Rule Book) from and including 5 March 2021
uses the fixed Spread Adjustments USD 12 Months YUS001Y Index 0.71513

5 ISDA Webinar: USD LIBOR Final Steps

 Interplay of Key Dates Associated with IBOR Fallbacks and ISDA Definitions
• Most adjusted reference rates and fallback rates are published in arrears
• Spread adjustments are designed to be published on the rate record day itself (now fixed for USD LIBOR as of 5th March 2021)
• Fallback Observation Date – defined in the ISDA Definitions as two local Business Days prior to the relevant Payment Date

6 ISDA Webinar: USD LIBOR Final Steps

Determining the Accrual Period
Accrual Period Example, 1 month tenor

USD LIBOR = 2, except O/N tenor = 0

All Tenors = two SOFR Business Days

7 ISDA Webinar: USD LIBOR Final Steps

 Example
What will be the Calculation Date be for the USD LIBOR Fallback Rate for the 3M tenor with Record Date of Thursday 13th April 2023?
• Step 1 – Start with the Original Rate Record Date for which the 3M USD LIBOR Fallback rate is to be determined. This is 13th April 2023
• Step 2 – Find the Accrual Spot Date by adding the Spot (Value) Lag for USD LIBOR which is two Business Days. This is Monday 17th April (this is
also the Reset Date)
• Step 3 – Subtract the Offset Lag, which is two SOFR Business Days, to get Thursday 13th April. This is the Accrual Start Date.
• Step 4 – Determine the Accrual End Date by adding the 3M Tenor to the Accrual Start Date to get Thursday 13th July. The last SOFR used in the
compounding period is the rate valid for the business day prior to the Accrual End Date (Wednesday 12th July, published at 8am on Thursday 13th
July)
• Step 5 – on Thursday 13th July, the Calculation Date, calculate the Adjusted SOFR

A = Determination of compound rate; B = Annualizing factor; C = Day count adjustment between USD LIBOR and SOFR (in this case both use Act/360 so the factor is 1)

• Step 6 – Add the Spread Adjustment of 0.26161% for the 3M Tenor to determine the Fallback Rate for the Original Rate Record Date of Thursday
13th April 2023

8 ISDA Webinar: USD LIBOR Final Steps

 ISDA Definitions – IBOR Fallbacks
• The Fallback Rate will be the Fallback Rate for the relevant IBOR and Tenor that corresponds to the Original IBOR Rate Record Day, provided
that this Fallback Rate appears on the relevant screen at least two Business Days (as defined in the ISDA Definitions as applicable for the
purposes of payment) prior to the relevant Payment Date.

• The Payment Date will be specified in the contract and will typically be at the end of the relevant Calculation Period.
• Parties can define the relevant Business Days in the contract so as to ensure that the Fallback Rate will be known two days in advance of the
payment being due based on the Business Day calendar in relevant jurisdictions.
• If the parties do not specify places for the purposes of the reference to Business Days for payment purposes within the contract, then the ISDA
Definitions will implement default Business Day calendars (e.g. London for GBP LIBOR).
• This means that two transactions which referenced the same IBOR on the same day may apply a different Fallback Rate if different Business Day
calendars apply to those transactions.

• If the Fallback Rate for the Original IBOR Rate Record Day corresponding to the Reset Date (or the day two banking days prior to the Reset
Date, as applicable) is not produced by Bloomberg two Business Days prior to the Payment Date, then the Fallback Rate that has been
published for the most recent Original IBOR Rate Record Day should be used.

• This will have the effect of applying a dynamic ‘backward shift’ (i.e. the standard two-day backward shift that applies under the Bloomberg Rule
Book for the Fallback Rates will effectively be lengthened in this scenario to the number of days necessary for the Fallback Rate to be known two
Business Days prior to the ‘Payment Date’).
• This mechanism is also important for stub periods for which linear interpolation is not specified and for certain non-linear transactions (including
those for which the Payment Date is not at the end of the relevant IBOR period).

9 ISDA Webinar: USD LIBOR Final Steps

 Points to Note
• The SOFR values used in the accrual period to calculate the Adjusted Reference Rate include the value for the Accrual Start Date and each value
through to, but not including, the value for the Accrual End Date.

• SOFR values are published on the Business Day following their value date, i.e., T+1

• For USD LIBOR Fallbacks, the IBOR Value Lag (or Spot Lag) is two LIBOR Business Days for each USD LIBOR tenor except the overnight tenor, for
which the IBOR Value Lag is zero

• Each calculation, being the Adjusted RFR, the Spread Adjustment and the ‘all-in’ Fallback rate is rounded to the rounding precision noted in the
methodology Rulebook: 5dp in the case of USD LIBOR Fallback calculations

• Fallback rates are published for every Rate Record Date, regardless of whether such date was a business day

• Non-publication of SOFR on a ‘good business day’, including under SIFMA definitions Friday 7th April 2023 which was effectively a ‘half-day’ for US
government securities trading, will be treated as a Market Disruption Event and consequently a non-business day for the purpose of fallback
calculations

• USD LIBOR Fallback Rates are not ‘new benchmarks’ under Benchmark Regulation; the benchmarks remain USD LIBOR and SOFR

10 ISDA Webinar: USD LIBOR Final Steps

 Bloomberg Disclaimer
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. ("BFLP"). ISDA is a trademark and service mark of the International
Swaps and Derivatives Association, Inc. ("ISDA"). Bloomberg Index Services Limited ("BISL" and, collectively with BFLP and their affiliates,
"Bloomberg") maintains and calculates the ‘fallback’ data comprising the 'all in' fallback rates and their component parts, the adjusted ‘risk-
free’ reference rates and the spread adjustment (collectively with any other data or information relating thereto or contained herein, the
“Data") under an engagement between BISL and ISDA. The Data includes sample calculations which are for illustrative purposes only. Neither
Bloomberg nor ISDA guarantees the timeliness, accurateness, completeness of, or fitness for a particular purpose with respect to, the Data
and each shall have no liability in connection with the Data. Without limiting the foregoing, neither Bloomberg nor ISDA makes any
representations regarding whether the Data would be appropriate for derivative or non-derivative financial instruments, including
derivatives transacted outside of standard ISDA documentation and related protocols. Market participants are encouraged to consider and
analyze the details of the Data and determine independently whether they would be appropriate for any such use. These materials are
intended for information purposes only. They are not intended to be comprehensive, nor to provide legal advice, and their contents should
not be relied upon as legal advice, either generally or in relation to any specific matter. Neither Bloomberg nor ISDA accept any responsibility
for any loss which may arise from reliance on the information contained in these materials.

11 ISDA Webinar: USD LIBOR Final Steps

CME Eurodollar Futures & Options Conversion
April 2023

CME GROUP PUBLIC © 2023 CME Group. All rights reserved.

 Key principles for fallbacks for CME Eurodollar futures and options
Client feedback driven, economically accurate, operationally simple, and aligned with the economics of
the ISDA’s fallback methodology for OTC swaps, CME Group will convert all eligible Eurodollar F&O to
SOFR equivalent contracts following close of business on April 14, 2023
o Effective February 6, 2023, CME amended the fallback procedures in our rulebook for Eurodollar futures and options.
o Promotes broad alignment with wider industry transition timelines.

Key principles for Eurodollar futures and options fallback conversion

o Eligible open positions at the time of conversion will be terminated and replaced by an equal number of corresponding SOFR
contracts.
o Futures are handled by adding the ISDA fallback spread of 26.161 bps to final Eurodollar futures settlement prices, creating an onset
price for the new positions in 3-month SOFR contracts while the original Eurodollar position is closed out at the same settlement
price.
o Options follow a two-step process whereby SOFR strikes are mapped to temporary non-standard strikes of Eurodollars at the exact
spread of 26.161bps, these instruments are then compared to the nearest standard strike Eurodollar option to calculate the correct
premium adjustment for replacement SOFR options. In all cases the new SOFR option will be 25bps higher than the original
Eurodollar option.
o Only positions in futures and options with underlying futures expiring after June 30, 2023 will be in scope and eligible for conversion.
o Post conversion, April 2023, May 2023 and June 2023 Eurodollar futures, and associated options, will be the only remaining listed
Eurodollar contracts and will be available for trading until expiration.

13 ISDA Webinar: USD LIBOR Final Steps

 SOFR futures and options are now the leading liquidity pool
ADV and OI growth Expiring Options OI going into SOFR

ADV Open Interest OI at Expiry ED Options ED Futures

(March 31)
Futures Q1 2022 Q1 2023 Q1 2022 Q1 2023 Converting OI 3.7M 3.9M
SOFR 1.2M 3.9M 4.5M 10.2M Remaining ED OI 2.1M 755K
Eurodollar 2.7M 432K 10.9M 4.7M Total (04/05/23) 5.8M 4.7M
Options Q1 2022 Q1 2023 Q1 2022 Q1 2023
SOFR 39K 2.4M 1.4M 38.4M There are only 7.7M contracts currently in ED
Eurodollar 1.5M 137k 34.9M 5.8M F/O scheduled to convert to corresponding
SOFR F&O activity now exceeds legacy ED F&O levels SOFR contracts on April 14th under the
fallback plan adopted in CME F&O rulebook

SOFR Futures and Options (F&O) franchise in 2023 YTD is surpassing the four-decade history of Eurodollar
F&O franchise, with volumes exceeding the best years ever seen in Eurodollars by:
• +33% for SOFR Futures, with 2023 YTD ADV of 4.0M contracts
• +50% for SOFR Options, with 2023 YTD ADV of 2.5M contracts
ADV: Average Daily Volume
Source: CME Group
OI: Open Interest (open positions)

14 ISDA Webinar: USD LIBOR Final Steps

1
5
Fallback process for Eurodollar futures

Eurodollar SR3 Onset Price for conversion:

futures
All existing Three-Month Eurodollar (ED) futures contracts will be converted into the
corresponding 3-month SOFR (SR3) futures as follows:

1 Time Conversion: 3-month Eurodollar

SOFR futures Onset Price = + Fallback Spread Adjustment
SR3 Onset Price = ED Futures Settle + futures Settlement
Fallback Spread Adjustment

Final settlement price Fixed at 26.161 bps

3-Month
SOFR futures

* Final settlement price of Eurodollars will be to 4 decimal places to conform with existing client infrastructure, with the impact of the additional 0.001bp being handled by a
balancing cash flow between longs and shorts (cash residual amount)

15 ISDA Webinar: USD LIBOR Final Steps

 Fallback flow chart – Options on Eurodollar futures
Eurodollar
options

Step 1 3-Month SOFR options Non-Standard Strike =

ED Strike + Fallback Spread Adjustment (26.161 bps)

Step 2 Positions allocated to 3-

Month SOFR options with Premium Differential*
Strike = ED Strike + 0.25

Steps 1 and 2 are concurrent

3-Month
SOFR options
* Premium differential corresponds to premium differences between ED Option premium corresponding to Strike K vs. SR3 Option premium corresponding to Strike (K + 25 bps)

16 ISDA Webinar: USD LIBOR Final Steps

 Eurodollar fallbacks clearing and operational update
On April 14, 2023 CME Group will convert all eligible Eurodollar futures & options to equivalent SOFR contracts

Important Reminders:
• Customers are strongly encouraged to complete trading needs in Eurodollars by April 13 th, given clearing time restrictions on April
14th for impacted contracts
• Early exercise will be prohibited on April 14th. Pit Out-Trades, Unclaimed Transfers, and Unclaimed Allocations (Give-ups, Average
Priced Allocations) will be deleted from FECPlus prior to the EOD Cycle for all conversion-eligible contracts (Clearing Advisory)
• Exchange transaction fees will be waived for transfers in connection with conversion (SER).
• Following conversion, only April, May, and June 2023 Eurodollar futures and options will remain listed.
• If you still use Eurodollar data for curve construction, valuation, or pricing purposes, it is imperative that you switch to SOFR ahead
of April 14 to avoid disruptions.

Conversion Resources:
• Eurodollar Fallbacks Implementation Plan - Our complete guide to the conversion process
• Indicative Cash Flow Report - See how position quantities for Eurodollars would be converted to corresponding SOFR positions,
as well as the cash flows for each.
• Contact Information: Inquiries can be directed to our team at ListedConversionInquiries@cmegroup.com

17 ISDA Webinar: USD LIBOR Final Steps

 LCH SwapClear:
USD LIBOR Transition

January 2023

19 ISDA Webinar: USD LIBOR Final Steps

 USD LIBOR Cessation: LCH’s Treatment of Cleared Swaps following Consultation*

“LCH plan to convert Outstanding USD LIBOR Contracts into Market-Standard SOFR OIS equivalents
on a cash-compensated basis in mandatory events conducted shortly before USD LIBOR cessation”

Outstanding USD LIBOR Contracts All LCH-cleared USD LIBOR swap contracts which are outstanding on the Conversion Dates and which rely on at least one LIBOR setting beyond
30th June 2023 will be subject to conversion

Market-standard SOFR OIS The contracts generated by the conversion process will carry a market-standard SOFR floating leg in which LIBOR will be replaced by
standardised backward-looking compounded SOFR and to which the relevant IBOR Fallbacks Spread Adjustment will be added (see table below).
The terms of any non-LIBOR leg on the original contract will be unchanged

Conversion Dates Tranche 1 Date: 22nd / 23rd April 2023 Tranche 2 Date: 20th / 21st May 2023

Products in scope Tranche 1 Products: VNS, ZCS Tranche 2 Products: All other USD LIBOR-based products

Representative LIBOR Continuity To minimise disruption, LCH aim to preserve the cashflows associated with representative USD LIBOR settings via overlay bookings

Cash Compensation LCH will cash compensate for any valuation difference between the original LIBOR trade and the SOFR contract (including overlays)

Process Mechanics LCH expect to characterise the process legally as a trade amendment; operationally, trades will be terminated and rebooked

Process Fees Applicable Fallback Fees and Conversion Fees are available here: Rates Reform: USD LIBOR Fallback and Conversion Fees | LCH Group

Back-stop LCH’s conversion process should be treated as a back-stop. Market participants are strongly encouraged to convert pro-actively

USD LIBOR Tenor in original contract 1M 3M 6M 12M

IBOR Fallback Spread Adjustment (BISL) 0.11448 0.26161 0.42826 0.71513

* Subject to regulatory review

20 ISDA Webinar: USD LIBOR Final Steps

 Key Dates: Q4 2022 – Q2 2023

LCH’s conversion processes and dress rehearsals will happen over the weekend and will be based on the contract population on the
Friday’s EOD close immediately prior to the weekend, according to the schedule below.

Date Event
Monday 31st October 2022 • Unilateral Basis Swap Splitting Tool and eligibility enhancements available in Member Test*

Monday 12th December 2022 USD LIBOR Conversion Tools and Reports available in production
• Unilateral Basis Swap Splitting Tool
• REP000315; REP00072FB
• Eligibility Enhancements
• Indicative Conversion Tools via Portal

Friday 24th February 2023 Dress rehearsal #1: Tranche 1 and 2 products

Friday 31st March 2023 Dress rehearsal #2: Tranche 1 and 2 products (SGD DR will also take place on this date)

Friday 21st April 2023 Production: Tranche 1 USD LIBOR Conversion

Friday 19th May 2023 Contingency Production: Tranche 1 USD LIBOR Conversion

Friday 19th May 2023 Production: Tranche 2 USD LIBOR Conversion

Friday 2nd June 2023 Contingency Production: Tranche 2 USD LIBOR Conversion

Friday 9th June 2023 Production: SGD SOR Conversion & THB THBFIX Conversion

*REP315 and indicative conversion tools were released directly into production on 12 December.

21 ISDA Webinar: USD LIBOR Final Steps

 LCH SwapClear: USD LIBOR swap eligibility in Q2 2023

Following conversion, LCH will withdraw USD LIBOR eligibility (products with no LIBOR leg are not affected). We will however continue to
support trade registration between the Conversion Events and USD LIBOR cessation date (30th June 2023) via the following arrangements:

Product From Monday 24th April From Monday 22nd May Alternative Booking Solution
until COB Friday 19th May until COB Friday 30th June
IRS Eligible Eligible* (Legacy) Not required
VNS Eligible Eligible* (Legacy) Not required
ZCS Ineligible Ineligible None
Basis (LIBOR/SOFR) Eligible Alternative Booking Solution * LIBOR/Fixed (IRS)* + Fixed/SOFR (SOFR OIS)
Basis (LIBOR/LIBOR) Eligible Alternative Booking Solution * LIBOR1/Fixed (IRS)* + Fixed/LIBOR2 (IRS)*
Basis (LIBOR/FedFunds) Eligible Alternative Booking Solution * LIBOR/SOFR (Basis)* + SOFR/FedFunds (Basis)

* On Monday 22nd May 23, after Tranche 2 conversion, LCH’s USD Legacy solution will go live. Under this solution, eligible USD IRS &
VNS products (reduced scope relative to current eligibility†) can be registered and will undergo an intra-day conversion into SOFR
equivalents as summarised below:

What happens to eligible Legacy LIBOR trades upon registration? Which products are eligible?
After registration of the USD LIBOR trades but before EOD, LCH will convert each Plain vanilla IRS and VNS are eligible.
Legacy LIBOR trade to a SOFR equivalent contract using the same conversion Periodic compounding IRS, ZCS and Basis swaps are not
methodology deployed in the Conversion Events but without overlays. LCH will supported. IRS and VNS trades with stub periods and/or other
also calculate and settle cash compensation associated with this daily conversion. non-generic features are also not supported†.

† A product matrix detailing the full clearing eligibility for USD Legacy LIBOR can be found on LCH Knowledge Centre: Document Library (force.com). Further details around SwapClear
USD Legacy solution are available in LCH Circular No 4235.

22 ISDA Webinar: USD LIBOR Final Steps

 Disclaimer

• This document has been provided to you for informational purposes only and is intended as an overview of certain aspects of or proposed changes to the ForexClear service provided by LCH
Group Holdings Limited (“LCH Group”) or any of its group undertakings (group undertakings shall be construed in accordance with section 1161 of the Companies Act 2006; each an “LCH Group
Company”). LCH Limited (“LCH”) is regulated as a “recognised central counterparty” authorised under Regulation (EU) No. 648/2012 of the European Parliament and of the Council of 4 July 2012
on OTC derivatives, central counterparties and trade repositories and supervised by the Bank of England within the UK regulatory framework, and is a “derivatives clearing organization”
registered with the U.S. Commodity Futures Trading Commission.

• The relationship of an LCH Group Company with its members is governed solely by its rulebook and certain other ancillary documentation, as applicable. This document does not, and does not
purport to, contain a detailed description of any aspect of a service provided by an LCH Group Company or any other topics discussed in this document, and it has not been prepared for any
specific person. This document does not, and does not seek to, constitute advice of any nature. You may not rely upon the contents of this document under any circumstance and should seek
your own independent legal, investment, tax and other advice. The information and any opinion contained in this document does not constitute a recommendation or offer with respect to any
derivative contract, financial instrument, security or service. No LCH Group Company makes any representation, warranty, condition or guarantee (whether express or implied) that the contents
of this document are accurate, complete or up-to-date, and makes no commitment to offer any particular product or service. No LCH Group Company shall have any liability for any losses, claims,
demands, actions, proceedings, damages, costs or expenses arising out of, or in any way connected with, the information contained in this document, except that each LCH Group Company
accepts liability that cannot be excluded by applicable law.

• Copyright © LCH Limited 2023. All rights reserved. ForexClear is a registered trademark of LCH.

• The information contained in this document is confidential. By reading this document, each recipient agrees to treat it in a confidential manner and will not, directly or indirectly, disclose or
permit the disclosure of any information in this document to any other person (other than its regulators or professional advisers who have been informed of the confidential nature of the
information) without the prior written consent of LCH Group.

23 ISDA Webinar: USD LIBOR Final Steps

CME USD LIBOR Cleared Swap Conversion
April 2023

CME GROUP PUBLIC © 2023 CME Group. All rights reserved.

 USD LIBOR Swap Conversion: Timeline
Mar 29 July 3
Mar 3 June 30th Secondary (ZCS)
Jan 27 DR3 – Secondary (ZCS) DR4 - Primary Conversion
DR1 - Basis Swap Split Conversion Conversion

Jan 23 Feb 10 Mar 24 daily conversion cycles →

Indicative Analysis Report DR2 – Primary Conversion
begins
Basis Swap Split Apr 21
Primary Conversion

Dress Rehearsal 1 – Basis Swap Splitting – Jan 27 Basis Swap Splitting – Mar 24
• New Release test to split LIBOR-LIBOR & LIBOR-SOFR to fixed-float swaps • Production splitting of LIBOR-LIBOR & LIBOR-SOFR to fixed-float swaps

Primary Conversion – Apr 21

Dress Rehearsal 2 – Primary Conversion – Feb 10
• CME runs the main conversion for production trades on Friday, Apr 21,
• New Release test of the main conversion process for USD Libor swaps, beginning at 7 pm ET.
excluding ZCS
• USD LIBOR swaps continue to be accepted for clearing after this date

Dress Rehearsal 3 – ZCS Conversion – Mar 3 Secondary (ZCS) Conversion – July 3

• New Release test for ZCS and second test for other USD LIBOR products
Dress Rehearsal 4 – Primary Conversion – Mar 29
• 2nd test of the main conversion process for USD Libor swaps, excluding ZCS
• ZCS and any new USD LIBOR swaps are converted Monday, July 3,
beginning at 7 pm ET
Daily Conversions
• Following July 3rd, CME will continue to accept spot and forward starting
USD LIBOR swaps and perform daily conversions on USD business days

25 ISDA Webinar: USD LIBOR Final Steps

 USD LIBOR Swap Conversion Methodology
Examples of Vanilla Seasoned Swaps: Matching Fixed-Float Pay Freq. (left) vs Different Fixed-Float Pay Freq. (right)
Original 3M LIBOR vs 1% IRS Original 3M LIBOR vs 1% IRS
Start= 4/15/23; Maturity= 4/15/24 Start= 4/15/23; Maturity = 4/15/24
Fixed Pays 3m, Float Rec 3m Fixed Pays 6m, Float Rec 3m

1% 1%
1%
Conv 7/15/23 10/15/23 … 4/15/24
Conv 7/15/23 10/15/23 … 4/15/24

4/15/23 4/15/23
3M LIBOR 3M LIBOR 3M LIBOR
3M LIBOR
Conversion Conversion

Short LIBOR Replacement Forward SOFR Replacement* Short LIBOR Replacement Forward SOFR Replacement*
3M LIBOR vs 1% IRS SOFR vs 1% OIS 3M LIBOR vs 1% IRS: SOFR vs 1% OIS
Start= 4/15/23; Maturity= 7/15/23 Start= 7/15/23; Maturity= 4/15/24 Start= 4/15/23; Maturity = 7/15/23 Start= 7/15/23; Maturity = 4/15/24
Fixed Pays 3m, Float Rec 3m Fixed Pays 3m, Float Rec 3m Fixed Pays 3m, Float Rec 3m Fixed Pays 6m, Float Rec 3m

1% 1% 1T 1% Stub 1%
Conv 7/15/23 10/15/23 … 4/15/24 Conv 7/15/23 10/15/23 … 4/15/24
4/15/23 4/15/23
3M LIBOR SOFR + SOFR +
3M LIBOR
Spread Spread
*Forward SOFR Replacement swap will default to a 2D payment offset on both the fixed and floating legs
*Cash compensation settled on Apr 24th in form of upfront fee on SOFR OIS Replacement

26 ISDA Webinar: USD LIBOR Final Steps

 USD LIBOR Cleared Swap Conversion
Conversion Resources

• CFTC Rulebook Filing – January 2023 filing with the CFTC that details CME Group’s conversion plan for cleared USD LIBOR
swaps
• Detailed Conversion Plan – CME Group’s public presentation and complete overview of the cleared USD LIBOR swap
conversion
• Conversion Videos – Series of four high-level videos that discuss the cleared USD LIBOR swap conversion
• Contact Information: Inquiries can be directed to our team at ClearedSwapConversion@cmegroup.com

27 ISDA Webinar: USD LIBOR Final Steps

USD LIBOR Conversion 2023

ISDA Webinar

12 April 2023
 Eurex – OTC Cleared Market Conversion of USD LIBOR
Key Dates OTC Cleared market transition of USD Libor
❖ Eurex Clearing will preserve and employ the identical approach for
• SOD - Post-Trade Events for USD denominated trades
USD LIBOR conversion as it did for previous LIBOR conversions:
21st April 2023 will not be permitted
➢ Limited eligibility of USD FRAs ahead of conversion
• Last day for USD LIBOR swaps to be clearing eligible
• Maximum maturity 31st March 2023
Date of Conversion for USD LIBOR Swaps1 ➢ Active conversion of all outstanding USD LIBOR IRS by replacing
• Cleared USD LIBOR swaps will be terminated contractual reference of LIBOR with SOFR
• Amended trades will be novated, with compensation ➢ LIBOR fixings and settlements known before cessation will be
22nd April 2023
fees attached conserved and processed by means of a pair of short maturity overlay
• Terminated and new trades will be synchronized with swaps
MarkitWire – Netting Synchronisation2 ➢ LIBOR-LIBOR basis swaps will be shortened (no basis swap splitting)
The amended trades will be employed in the margining ➢ Resulting PV differences to today mitigated by adding the ISDA/BBG
24th April 2023
and valuation processes (SOD) fallback spread and cash compensation
• The compensation fee per converted trade will be ➢ No forced compression or additional fees
settled in the form of an upfront fee or a termination fee
25th April 2023 ❖ The conversion approach that will be prevalently employed
• Capacity to execute Post-Trade Events for USD
denominated trades will be reinstated ➢ All LIBOR fixings and settlements are known prior to the index cessation
date for the current floating period
R1. A full maturity RfR OIS trade with identical start and maturity dates as the
original LIBOR trade
R2. A short maturity (known LIBOR fixings) LIBOR IRS trade identical to the
1. USD LIBOR swaps with a floating leg in the final period and a final LIBOR fixing prior to index cessation original LIBOR IRS trade
will not be converted R3. An opposite short maturity replacement RfR OIS trade with identical start
2. For trades originally received from MarkitWire and members having Netting synchronisation enabled
and end dates as R2

30 ISDA Webinar: USD LIBOR Final Steps 30

Thank you!
Aditya Dhadam
Derivatives Clearing Design

Eurex Clearing AG
Mergenthalerallee 61
65760 Eschborn
Tel: +49 (0) 15120976888
aditya.dhadam@eurex.com​
 Fallback Data Availability
Data Publication
• Bloomberg began publishing fallback data on July 17, 2020
• Data is calculated and published every weekday for USD LIBOR fallbacks and for each of the 18 other rate sets. This includes the Adjusted
Reference Rates, Spread Adjustments and ‘all-in’ Fallback rates, subject to holiday calendars
• For USD LIBOR fallbacks, the latest data is normally published shortly after the publication of the latest SOFR (published at 8am ET). Similarly for
the other fallback rates, data is typically published within 30 - 45 minutes of the official publication time of the relevant RFR

Distribution Channels
• Bloomberg Terminal
• Bloomberg Data License & B-Pipe data feed
• Bloomberg website, on a 24hr delay, with a rolling five-day history file
• Authorized re-distributors

32 ISDA Webinar: USD LIBOR Final Steps

 Data Availability on Bloomberg Terminal
Bloomberg Terminal FBAK <GO>
• FBAK <GO>: the ‘home’ page for the latest values
• DES <GO>: the description page associated
with the given fallback data
• HP <GO>: historic data associated
with the given fallback data
• W#SPEC 70 <GO>: Bloomberg Worksheet
displays all pertinent information including
Accrual Start and End dates

33 ISDA Webinar: USD LIBOR Final Steps

 Commercial Usage Terms
• A license is required from Bloomberg Index Services Limited (BISL) for the re-distribution or usage of ISDA Fallback rates
• Usage Terms are published in the LIBOR Resource center at www.Bloomberg.com/libor
• Three license types are available
o Standard Usage License
o Premium Usage License
o Re-distribution License
• A usage license permits firm-wide enterprise usage for multiple purposes. This is a group-wide global license and includes affiliates.
There is no ‘per user’ count and no ‘product’ count
• Exemptions apply for some public policy institution use cases and smaller institutions with assets below USD 5bn
• Examples of cases where a Standard Usage License is required
o To create or issue a Financial Product that references Fallback Data
o To convert, transform or amend a Financial Product referencing an IBOR to an alternative reference rate using Fallback Data, whether to an
Adjusted RFR or ‘all-in’ Fallback Rate, or other rate, including by use of the Spread Adjustment
o All parties to a swap or other such derivative that references any of the Fallback Data
o A broker, or inter-dealer broker (IDB) who provides pricing and/or dealing services in Fallback Data-linked swaps, derivatives and other
instruments
o Firms engaging with clients and external parties to the extent they use Fallback Data in performance measurement, benchmarking, strategy
outcome measurement and money market and other returns calculations
o For making reference in contracts, prospectuses, and other such official documents to official BISL calculated Fallback Data, including the
Spread Adjustment(s), for use of such reference as a contractual fallback, conversion or transformation mechanism, or such similar activities

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 Useful Resources
• Additional resources are available on the Bloomberg Terminal at ISDA <GO> and RFR <GO>, and on the Bloomberg website at
www.Bloomberg.com/libor, including:

o IBOR Fallback Rate Adjustments Rulebook, updated January 31, 2023

o IBOR Fallbacks Frequently Asked Questions, updated January 31, 2023
o IBOR Fallbacks Usage Terms, updated September 27, 2021
o IBOR Fallbacks Sample Calculation for 3M USD LIBOR fallback
o IBOR Fallbacks Technical Notes, including USD LIBOR Cessation Announcement, published March 05, 2021
o IBOR Fallbacks Fact Sheet, updated January 31, 2023

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 Additional ISDA Resources

ISDA Protocols
Benchmark Transition Hub
ISDA 2021 Definitions
ISDA – Clarus RFR Adoption Index
ISDA-Brattle Microsite

36 ISDA Webinar: USD LIBOR Final Steps