Benchmark for Quoting and Pricing Fixed Rate Structured Finance Bonds – Market Consensus Reached; Industry Guide Released

The Structured Finance Association, in collaboration with our members and market participants, is releasing our Consensus-Built Industry Guide as the market transitions away from the use of the LIBOR swap curve in pricing and quoting structured finance bonds.

The guide explains the market consensus path forward including:

• Replacement Benchmark: I-Curve for pricing and quoting all fixed rate structured finance products where the LIBOR swap curve has historically been used (for all primary and secondary market trades)
• Transition Date: Monday, April 11, 2022
• Replacement Benchmark Convention: Based upon the BBG GC I25 screen as detailed in the interpolation guide

SFA would like to thank all of our members and those in the market that participated in our consensus-building effort. For any questions, please contact Kristi Leo, Elen Callahan, or Alyssa Acevedo.