Credit adjustment spread: Difference between revisions
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imported>Doug Williamson (Create page. Source - ACT Borrowers Guide - May 2021 - p27) |
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(CAS). | (CAS). | ||
LIBOR | In the context of the historic LIBOR transition, the credit adjustment spread related to the determination of an economically neutral replacement rate based on risk-free rates (RFRs). | ||
The adjustment reflected the additional credit risk in IBOR rates. | |||
The adjustment | The ISDA spread adjustment was an example of a CAS. | ||
LIBOR ended in September 2024. | |||
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* [[Benchmarks Regulation]] | * [[Benchmarks Regulation]] | ||
* [[Credit risk]] | * [[Credit risk]] | ||
* [[Credit sensitive rate]] (CSR) | |||
* [[Fallback]] | * [[Fallback]] | ||
* [[Financial Conduct Authority]] (FCA) | * [[Financial Conduct Authority]] (FCA) | ||
| Line 22: | Line 24: | ||
* [[Legacy]] | * [[Legacy]] | ||
* [[LIBOR]] | * [[LIBOR]] | ||
* [[Loan Market | * [[Loan Market Association]] (LMA) | ||
* [[Risk-free rates]] (RFR) | * [[Risk-free rates]] (RFR) | ||
* [[Risk premium]] | * [[Risk premium]] | ||
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== | ==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.treasurers.org/hub/technical/libor/borrowers_guide_to_loans_referencing_risk_free_rates Borrower’s Guide to the LMA’s recommended forms of facility agreement for loans referencing risk-free rates (RFRs)] | *[https://www.treasurers.org/hub/technical/libor/borrowers_guide_to_loans_referencing_risk_free_rates Borrower’s Guide to the LMA’s recommended forms of facility agreement for loans referencing risk-free rates (RFRs)] | ||
[[Category:Accounting,_tax_and_regulation]] | [[Category:Accounting,_tax_and_regulation]] | ||
[[Category: | [[Category:Financial_products_and_markets]] | ||
[[Category:Identify_and_assess_risks]] | |||
[[Category:Investment]] | [[Category:Investment]] | ||
[[Category:Long_term_funding]] | [[Category:Long_term_funding]] | ||
[[Category:Manage_risks]] | [[Category:Manage_risks]] | ||
[[Category:Risk_reporting]] | |||
[[Category:Risk_frameworks]] | [[Category:Risk_frameworks]] | ||
[[Category: | [[Category:The_business_context]] | ||
Latest revision as of 08:31, 5 October 2024
Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.
(CAS).
In the context of the historic LIBOR transition, the credit adjustment spread related to the determination of an economically neutral replacement rate based on risk-free rates (RFRs).
The adjustment reflected the additional credit risk in IBOR rates.
The ISDA spread adjustment was an example of a CAS.
LIBOR ended in September 2024.
See also
- Benchmarks Regulation
- Credit risk
- Credit sensitive rate (CSR)
- Fallback
- Financial Conduct Authority (FCA)
- IBOR
- ISDA spread adjustment
- Legacy
- LIBOR
- Loan Market Association (LMA)
- Risk-free rates (RFR)
- Risk premium
- SOFR
- SONIA
- Synthetic LIBOR
- Transition risk
