CBI and Credit adjustment spread: Difference between pages
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imported>Doug Williamson (Create page. Source - ACT Borrowers Guide - May 2021 - p27) |
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''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.'' | |||
(CAS). | |||
LIBOR will cease to be calculated and published at the end of 2021. | |||
The credit adjustment spread relates to the determination of an economically neutral replacement rate based on risk-free rates (RFRs). | |||
The adjustment reflects the additional credit risk in IBOR rates. | |||
The ISDA spread adjustment is an example of a CAS. | |||
== See also == | |||
* [[Benchmarks Regulation]] | |||
* [[Credit risk]] | |||
* [[Fallback]] | |||
* [[Financial Conduct Authority]] (FCA) | |||
* [[IBOR]] | |||
* [[ISDA spread adjustment]] | |||
* [[Legacy]] | |||
* [[LIBOR]] | |||
* [[Loan Market Associaton]] (LMA) | |||
* [[Risk-free rates]] (RFR) | |||
* [[Risk premium]] | |||
* [[SOFR]] | |||
* [[SONIA]] | |||
* [[Synthetic LIBOR]] | |||
* [[Transition risk]] | |||
== | ==External link== | ||
* [ | *[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:The_business_context]] | [[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]] | |||
Revision as of 22:29, 19 July 2021
Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.
(CAS).
LIBOR will cease to be calculated and published at the end of 2021.
The credit adjustment spread relates to the determination of an economically neutral replacement rate based on risk-free rates (RFRs).
The adjustment reflects the additional credit risk in IBOR rates.
The ISDA spread adjustment is an example of a CAS.
See also
- Benchmarks Regulation
- Credit risk
- Fallback
- Financial Conduct Authority (FCA)
- IBOR
- ISDA spread adjustment
- Legacy
- LIBOR
- Loan Market Associaton (LMA)
- Risk-free rates (RFR)
- Risk premium
- SOFR
- SONIA
- Synthetic LIBOR
- Transition risk
