Credit adjustment spread
From ACT Wiki
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
- 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
