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[New] USD LIBOR Cessation – Jun 2023 | Weekly Release 8/13/21

Given LIBOR rates will cease to be published after June 30th, 2023, RiskVal has implemented a "LIBOR Cessation” curve construction feature, which will allow traders to more accurately price and analyze securities dependent on LIBOR. For more details, please see the document.

To enable the Libor Cessation, in the USD Libor curve, click on “Preferences” – “Libor Cessation” – “Enable”.

Once the new curve has been enabled and built, you can also set the bump of the curve on July 1st, 2023. RiskVal’s default is 10bps based on market expectations observed in the EuroDollar market.


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