ISDA spread adjustment - Revision history

Doug: Update for cessation of LIBOR.

2024-10-04T07:23:55Z

Update for cessation of LIBOR.

← Older revision		Revision as of 07:23, 4 October 2024
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	*[https://www.bankofengland.co.uk/news/2024/october/the-end-of-libor The end of LIBOR - Press release - Bank of England - 1 October 2024]		*[https://www.bankofengland.co.uk/news/2024/october/the-end-of-libor The end of LIBOR - Press release - Bank of England - 1 October 2024]

	[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]		*[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]

	~~[[Category:Accounting,_tax_and_regulation]]~~
	~~[[Category:Financial_products_and_markets]]~~
	~~[[Category:Identify_and_assess_risks]]~~
	~~[[Category:Investment]]~~
	~~[[Category:Long_term_funding]]~~
	~~[[Category:Manage_risks]]~~
	~~[[Category:Risk_reporting]]~~
	~~[[Category:Risk_frameworks]]~~
	~~[[Category:The_business_context]~~]

	[[Category:Accounting,_tax_and_regulation]]		[[Category:Accounting,_tax_and_regulation]]

Doug: Update for cessation of LIBOR.

2024-10-04T07:23:34Z

Update for cessation of LIBOR.

← Older revision		Revision as of 07:23, 4 October 2024
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	''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.''		''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.''

	LIBOR ceased to be calculated and published at the end of 2021, with the exception of residual synthetic rates, all of which ~~will cease~~ by the end of September 2024.		LIBOR ceased to be calculated and published at the end of 2021, with the exception of residual synthetic rates, all of which had also ceased by the end of September 2024.

	To deal with the transition away from LIBOR, relevant fallback interest rates were identified.		To deal with the transition away from LIBOR, relevant fallback interest rates were identified.


	The ISDA spread adjustment ~~relates~~ to the calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").		The ISDA spread adjustment related to the calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").


	The adjustment is added to the synthetic LIBOR rate, to reflect the additional credit risk in IBOR rates.		The adjustment was added to the synthetic LIBOR rate, to reflect the additional credit risk in IBOR rates.


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	The ISDA spread adjustment is an example of a credit adjustment spread.		The ISDA spread adjustment is an example of a credit adjustment spread.


			LIBOR ended in September 2024.


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	==~~External link~~==		==Other resources==

			*[https://www.bankofengland.co.uk/news/2024/october/the-end-of-libor The end of LIBOR - Press release - Bank of England - 1 October 2024]

	[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]		[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]

			[[Category:Accounting,_tax_and_regulation]]
			[[Category:Financial_products_and_markets]]
			[[Category:Identify_and_assess_risks]]
			[[Category:Investment]]
			[[Category:Long_term_funding]]
			[[Category:Manage_risks]]
			[[Category:Risk_reporting]]
			[[Category:Risk_frameworks]]
			[[Category:The_business_context]]

	[[Category:Accounting,_tax_and_regulation]]		[[Category:Accounting,_tax_and_regulation]]

Doug: Update.

2024-03-11T18:25:12Z

Update.

← Older revision		Revision as of 18:25, 11 March 2024
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	''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.''		''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.''

	LIBOR ~~will cease~~ to be calculated and published at the end of 2021.		LIBOR ceased to be calculated and published at the end of 2021, with the exception of residual synthetic rates, all of which will cease by the end of September 2024.

	The ISDA spread adjustment relates to the ~~proposed~~ calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").		To deal with the transition away from LIBOR, relevant fallback interest rates were identified.


			The ISDA spread adjustment relates to the calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").


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	[[Category:Accounting,_tax_and_regulation]]		[[Category:Accounting,_tax_and_regulation]]
	[[Category:~~The_business_context~~]]		[[Category:Financial_products_and_markets]]
			[[Category:Identify_and_assess_risks]]
	[[Category:Investment]]		[[Category:Investment]]
	[[Category:Long_term_funding]]		[[Category:Long_term_funding]]
	~~[[Category:Identify_and_assess_risks]]~~
	[[Category:Manage_risks]]		[[Category:Manage_risks]]
			[[Category:Risk_reporting]]
	[[Category:Risk_frameworks]]		[[Category:Risk_frameworks]]
	[[Category:~~Risk_reporting]]~~		[[Category:The_business_context]]
	~~[[Category:Financial_products_and_markets~~]]

imported>Doug Williamson: Add category.

2021-07-28T15:59:18Z

Add category.

← Older revision		Revision as of 15:59, 28 July 2021
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	[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]		[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]

			[[Category:Accounting,_tax_and_regulation]]
			[[Category:The_business_context]]
			[[Category:Investment]]
			[[Category:Long_term_funding]]
			[[Category:Identify_and_assess_risks]]
			[[Category:Manage_risks]]
			[[Category:Risk_frameworks]]
			[[Category:Risk_reporting]]
			[[Category:Financial_products_and_markets]]

imported>Doug Williamson: Add link.

2021-07-19T22:19:07Z

Add link.

← Older revision		Revision as of 22:19, 19 July 2021
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	:''ISDA - LIBOR Cessation and the Impact on Fallbacks''		:''ISDA - LIBOR Cessation and the Impact on Fallbacks''


			The ISDA spread adjustment is an example of a credit adjustment spread.


	== See also ==		== See also ==
	* [[Benchmarks Regulation]]		* [[Benchmarks Regulation]]
			* [[Credit adjustment spread]] (CAS)
	* [[Credit risk]]		* [[Credit risk]]
	* [[Fallback]]		* [[Fallback]]

imported>Doug Williamson: Expand definition.

2021-07-17T23:43:28Z

Expand definition.

← Older revision		Revision as of 23:43, 17 July 2021
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	The ISDA spread adjustment relates to the proposed calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").		The ISDA spread adjustment relates to the proposed calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").


			The adjustment is added to the synthetic LIBOR rate, to reflect the additional credit risk in IBOR rates.

imported>Doug Williamson: Mend link.

2021-07-17T23:41:46Z

Mend link.

← Older revision		Revision as of 23:41, 17 July 2021
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	==External link==		==External link==

	[isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]		[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]

imported>Doug Williamson: Created page with "''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.'' LIBOR will cease to be calculated and published at t..."

2021-07-17T23:39:58Z

Created page with "''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.'' LIBOR will cease to be calculated and published at t..."

New page

''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.''

LIBOR will cease to be calculated and published at the end of 2021.

The ISDA spread adjustment relates to the proposed calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").

:<span style="color:#4B0082">'''''ISDA spread adjustment is now fixed for EUR, GBP, CHF, USD & JPY'''''</span>

:"This spread adjustment is an important part of the overall fallback rate, and reflects a portion of the structural differences between interbank offered rates (IBORs) and the RFRs used as a basis for the fallbacks – IBORs incorporate a credit risk premium and other factors, while RFRs are risk free or nearly risk free...

:This spread has now been fixed for all euro, sterling, Swiss franc, US dollar and yen LIBOR tenors, giving firms more information about the exact fallback rate that will be used in the event they don’t complete their transition efforts before cessation or non-representativeness occurs."

:''ISDA - LIBOR Cessation and the Impact on Fallbacks''

== See also ==
* [[Benchmarks Regulation]]
* [[Credit risk]]
* [[Fallback]]
* [[Financial Conduct Authority]] (FCA)
* [[IBOR]]
* [[International Swaps and Derivatives Association]] (ISDA)
* [[Legacy]]
* [[LIBOR]]
* [[Risk-free rates]] (RFR)
* [[Risk premium]]
* [[SOFR]]
* [[SONIA]]
* [[Synthetic LIBOR]]
* [[Transition risk]]

==External link==

[isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]