CAS

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

Abbreviation for Credit Adjustment Spread.

It reflects the additional credit risk in IBOR rates, compared with risk-free rates.

See also

• Credit adjustment spread
• Credit risk
• Credit sensitive rate (CSR)
• Fallback
• IBOR
• ISDA spread adjustment
• Legacy
• LIBOR
• Risk-free rates (RFR)
• Risk premium
• Synthetic LIBOR
• Transition risk