Credit adjustment spread

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

Other resources

• The end of LIBOR - Press release - Bank of England - 1 October 2024
• Borrower’s Guide to the LMA’s recommended forms of facility agreement for loans referencing risk-free rates (RFRs)