Read the latest articles and press releases about securitization and structured finance.

Industry News

New Headwinds for Regional Banks—Term SOFR Spreads Price-In Counterparty Risk

U.S. regional banks, already under pressure from recent rate hikes, are watching the cost of hedging their loan books increase significantly. As LIBOR’s cessation date of June 30 approaches, and more regional banks move their loans to Term SOFR, dealers are quoting bid/offer spreads as wide as 10 basis points, up from less than 1bp.

Industry News

AARC Releases Update of Term SOFR Scope of Use Recommendations

On April 21, the Alternative Reference Rates Committee (ARRC) released an update of its best practice recommendations on the scope of use of Term SOFR. The latest publication provides market participants with additional guidance for hedging Term SOFR risk and is an update of its July 2021 recommendations.

Industry News

U.K. Regulator Authorizes Publication of Synthetic USD LIBOR

On April 3, the Financial Conduct Authority (FCA) announced that synthetic versions of the 1-month, 3-month and 6-month U.S. dollar LIBOR rates would continue to be published until September 2024, extending the original June 30, 2023 cessation date. The latest decision is intended to give market participants additional time to transition away from LIBOR to alternative benchmark rates. The regulator’s decision, which follows its November 2022 Consultation, is the latest sign of how challenging the transition process has proven to be for some. This has been particularly true in the leveraged loan market where market participants disagree on the “appropriate terms of switching.”

Industry News

DTCC Launches New LIBOR Benchmark Replacement Index

On March 13, the Depository Trust & Clearing Corporation (DTCC) announced its centralized solution, the LIBOR Benchmark Index, has been added to its Legal Notice System (LENS) to aid the transition from LIBOR benchmark rates to Secured Overnight Financing Rate Data (SOFR) as well as other new reference rates.

Press Releases

Structured Finance Association Supports the Fed LIBOR Proposal with Some Remaining Clarifications Needed

SFA submitted a letter to the Board of Governors of the Federal Reserve System (Fed) in response to the Fed’s proposed regulation to implement the Adjustable Interest Rate (LIBOR) Act. SFA applauds the Fed’s comprehensive proposal and is strongly supportive of the proposal, with a few imperative remaining clarifications that should be addressed so that consumer and investor contracts transition as seamlessly as Congress intended.

Industry News

ARRC Releases Survey Seeking Information from Lenders and Borrowers on Remediation of USD LIBOR Loans

On August 9, the Alternative Reference Rates Committee (ARRC) released a survey seeking information from lenders and borrowers on plans to remediate USD LIBOR loans.

SFA News

SFA Releases Market Consensus Industry Guide on a Benchmark for Quoting and Pricing Fixed Rate ABS

SFA, in collaboration with its members and market participants, released a Consensus-Built Industry Guide as the market transitions away from the use of the LIBOR swap curve in pricing and quoting fixed-rate structured finance bonds.

SFA News

Benchmark Conventions for Fixed Rate ABS: Consensus-Built Industry Guide

SFA’s Consensus-Built Industry Guide explains the agreed-upon replacement benchmark, associated conventions, and timing as the market transitions away from the use of the LIBOR swap curve in pricing and quoting structured finance bonds.

SFA News

SFA Survey Finds a Supermajority of Investors Prefer to Use the I-Curve as Fixed Rate Benchmark

SFA’s survey of market investors, issuers and broker-dealers found that investors, traders and syndicate desks overwhelmingly prefer to use the I-curve to price and quote bonds across all structured finance asset classes. On the other hand, the relatively limited number of issuers and bankers who responded to the survey were more evenly split on their preference between a Treasury-based curve and the SOFR swap curve.

SFA News

SFA Applauds Signing of LIBOR Legislation in ‘Omnibus’ Spending Bill

On March 15, President Joe Biden signed the Consolidated Appropriations Act, 2022 – also known as the “omnibus” government funding bill – into law. The bill included the Adjustable Interest Rate (LIBOR) Act, a bipartisan bill that eases the transition away from LIBOR and received overwhelming bicameral support.

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