As financial institutions deprecate LIBOR, dv01 has updated its cashflow engine to reflect the transition to SOFR. Effective June 20, 2023, dv01 has implemented the following changes:

  1. Cashflow Pricing: Z Spread is calculated on SOFR zero curves as provided by Intercontinental Exchange (“ICE”).
  2. LIBOR-Based Floating Cashflow Projections: For any floating loan or tranche, LIBOR is replaced by SOFR-based spread adjustments as recommended by the Alternative Reference Rates Committee (“ARRC”) and Fannie Mae.