Fixed Rate Benchmark for SF Market
New Market Survey to Finalize Market Consensus: I-Curve, J-Curve, Z-Curve and/or SOFR Swap Curve
We Need Your Final Input.
As part of SFA’s ongoing market consensus-building efforts to identify the market’s selected benchmark convention for pricing & quoting fixed-rate ABS, we are releasing a new & final short survey and supporting discussion materials to assess the current market preference amongst the alternative benchmark curves that have been raised and discussed in SFA’s series of market forums:
- I-curve (On-the-Run Treasuries)
- J-curve (Off-the-Run Treasuries)
- Z-curve (T-Bills)
- P-curves (SOFR swap)
This new survey comes on the heels of a series of SFA & market discussions and surveys in an effort to achieve a market consensus on a new benchmark, interpolation calculation methodology, and date of transition as the market moves away from the LIBOR swap curve.
If you have any questions or would like to submit comments on the survey or strawman directly, please contact Kristi Leo, Elen Callahan or Alyssa Acevedo.