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GBP LIBOR Swap Curve Announcement| Weekly Release 4/7/2023

The GBP 6M Libor swap curve will now use the fallback securities for 1M and 6M rates as the old securities are no longer published as of the end of March due to the LIBOR cessation. Please refer to the security changes below


Old:

1M Libor = BP0001M Index

6M Libor = BP0006M Index

New:

1M Libor = VBP0001M Index

6M Libor = VBP0006M Index

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