ISDA spread adjustment - Revision history

imported>Doug Williamson: Add category.

2021-07-28T15:59:18Z

Add category.

← Older revision		Revision as of 15:59, 28 July 2021
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	[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]		[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]

			[[Category:Accounting,_tax_and_regulation]]
			[[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]]

imported>Doug Williamson: Add link.

2021-07-19T22:19:07Z

Add link.

← Older revision		Revision as of 22:19, 19 July 2021
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	:''ISDA - LIBOR Cessation and the Impact on Fallbacks''		:''ISDA - LIBOR Cessation and the Impact on Fallbacks''


			The ISDA spread adjustment is an example of a credit adjustment spread.


	== See also ==		== See also ==
	* [[Benchmarks Regulation]]		* [[Benchmarks Regulation]]
			* [[Credit adjustment spread]] (CAS)
	* [[Credit risk]]		* [[Credit risk]]
	* [[Fallback]]		* [[Fallback]]

imported>Doug Williamson: Expand definition.

2021-07-17T23:43:28Z

Expand definition.

← Older revision		Revision as of 23:43, 17 July 2021
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	The ISDA spread adjustment relates to the proposed calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").		The ISDA spread adjustment relates to the proposed calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").


			The adjustment is added to the synthetic LIBOR rate, to reflect the additional credit risk in IBOR rates.

imported>Doug Williamson: Mend link.

2021-07-17T23:41:46Z

Mend link.

← Older revision		Revision as of 23:41, 17 July 2021
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	==External link==		==External link==

	[isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]		[https://www.isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]

imported>Doug Williamson: Created page with "''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.'' LIBOR will cease to be calculated and published at t..."

2021-07-17T23:39:58Z

Created page with "''Interest rates - reference rates - LIBOR transition - Financial Conduct Authority - fallback - pricing - credit risk.'' LIBOR will cease to be calculated and published at t..."

New page

''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 ISDA spread adjustment relates to the proposed calculation of a relevant fallback interest rate on a synthetic basis ("synthetic LIBOR").

:<span style="color:#4B0082">'''''ISDA spread adjustment is now fixed for EUR, GBP, CHF, USD & JPY'''''</span>

:"This spread adjustment is an important part of the overall fallback rate, and reflects a portion of the structural differences between interbank offered rates (IBORs) and the RFRs used as a basis for the fallbacks – IBORs incorporate a credit risk premium and other factors, while RFRs are risk free or nearly risk free...

:This spread has now been fixed for all euro, sterling, Swiss franc, US dollar and yen LIBOR tenors, giving firms more information about the exact fallback rate that will be used in the event they don’t complete their transition efforts before cessation or non-representativeness occurs."

:''ISDA - LIBOR Cessation and the Impact on Fallbacks''

== See also ==
* [[Benchmarks Regulation]]
* [[Credit risk]]
* [[Fallback]]
* [[Financial Conduct Authority]] (FCA)
* [[IBOR]]
* [[International Swaps and Derivatives Association]] (ISDA)
* [[Legacy]]
* [[LIBOR]]
* [[Risk-free rates]] (RFR)
* [[Risk premium]]
* [[SOFR]]
* [[SONIA]]
* [[Synthetic LIBOR]]
* [[Transition risk]]

==External link==

[isda.org/2021/03/05/libor-cessation-and-the-impact-on-fallbacks/ ISDA - LIBOR Cessation and the Impact on Fallbacks]