US perspectives on credit spread adjustments

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LIBOR Transition Series ISDA consultation – US perspectives on credit spread adjustments

This article focuses on the three ISDA-provided alternatives for developing a credit spread adjustment to account for the bank credit risk premium in various IBORs, which is absent in the alternative RFRs as they are generally risk-free or nearly risk-free.

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Dan Ryan

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Adam Gilbert

Partner, PwC United States

Tel: +1 (646) 471 5086

Frank Serravalli

US Financial Markets Practice Leader, Partner, PwC United States

Justin Keane

Principal, Financial Markets, PwC United States

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