Credit adjustment spread
Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.
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.
- Benchmarks Regulation
- Credit risk
- Financial Conduct Authority (FCA)
- ISDA spread adjustment
- Loan Market Association (LMA)
- Risk-free rates (RFR)
- Risk premium
- Synthetic LIBOR
- Transition risk