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LIBOR Cessation Enhancements | Weekly Release 06/30/2023

Enhancement 1: In this week’s release, we have disabled the LIBOR curves for USD, GBP, and JPY.

Many sheets have updated to accommodate the removal of the Libor curve, see below:

[Sprd Bfly] Removed TED & IVSP related columns


o Removed ASW columns from “Graph” dropdown

o Removed <right click> TED Hedge calculations

The Hedge is now only showing FedFund hedge and SFR strip hedges.

o Removed “ED$ Future Bucket Risk” from “Calculation” menu

[Market Monitor] Removed ED$ related tables


These show ESTR for EUR and SOFR for USD

Enhancement 2: Please note, the Forward Swap Matrix may have some codes come up as “yellow” in this case, these are no longer supported. You can clear them using the “Tools” - “Remove unsupported” function.

To help remove the unsupported tickers, click on “Tools” – “Remove Unsupported”. In the pop up, click on “Select All”. Then “Remove Selected”. This will remove all the line items.


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