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. The guide highlights a path forward for a replacement benchmark using the I-curve with a market transition date of April 11, and a Bloomberg interpolation guide for calculating the interpolated benchmark against the I-curve. Read more.