top of page

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

[Bond]

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

[G7 ASW] Added SOFR/ESTR

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.


Comments


bottom of page