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LIBOR: The Final Countdown
[…] being met behind the scenes. First, unlike the UK, the ARRC recommended a Term SOFR rate. This short-circuited a battle over whether a credit…
CSR Fallback Language Market Advisory
Blackline-of-LSTA-Market-Advisory-CSR-Fallback-Language-Rider-Dec-17-2021.pdf LSTA-Market-Advisory-CSR-Fallback-Language-Rider-Dec-17-2021.pdf
LIBOR: Christmas Comes Early With One Cost of Carry (CALC)
[…] last version of the LSTA trading documents, published on September 13th, utilizes multiple cost of carry calculations to support the trading of LIBOR-referenced loans,…
SOFR & Sensitivity
With less than two months before LIBOR’s death, what is the loan market doing? LSTA’s Meredith Coffey discusses a flurry SOFR-sightings and CSR polishing.
SOFR: Gradually, Then Suddenly
[…] efforts will initially focus on non-SOFR rates.” If the gentle reader wonders how the OCC will focus on non-SOFR rates – e.g, credit sensitive…
Post-LIBOR Spotting
[…] rates. To that end, on Monday, the LSTA posted a video by SOFR Academy focusing on the “Across the Curve Credit Spread Index (AXI)”,…
What’s Cost of Carry in Multirate World?
By Ellen Hefferan. The multirate loan world is coming – lenders can expect to see LIBOR, SOFR and CSR rates coexisting.
Credit Sensitive Rates – AXI
This video by SOFR Academy focuses on the “Across the Curve Credit Spread Index (AXI)”, a robustly defined credit spread add-on to SOFR. This is…
LIBOR Transition: Debating the “Multi-Rate” Future
By Meredith Coffey. The rates world has been abuzz about, well, a future “multi-rate” world whereby risk-free rates (“RFRs”, like SOFR) may coexist with credit…
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