What's lost in transition from LIBOR to new benchmark

May 14, 2018 Chatham Financial

 

 


The International Swaps and Derivatives Association is developing a methodology that would essentially add a credit-risk spread premium to a SOFR-derived rate to make it work more effectively as a fallback standard for legacy Libor products. There appears to be broad support for these efforts. Advisory firm Chatham Financial managing director Todd Cuppia said the consensus is that the new SOFR-derived index “is going to be the one that wins the day” as the expected fallback language that most investors and issuers will agree to.

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