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September 01, 2020 1:20pm
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KBRA Releases Research – Structured Credit: Under the SOFR Cushion

KBRA releases a brief slide presentation summarizing our recent conversations with market participants regarding the transition from the London Interbank Offered Rate (LIBOR) to the Secured Overnight Finance Rate (SOFR).

In speaking with several collateral managers and arranging banks, KBRA has observed several themes emerge as these participants think about new and outstanding collateralized loan obligations (CLO) and other structured credit transactions in 2022. Key discussion points highlighted in the slide presentation include portfolio transitions, benchmark replacement events, basis risk, credit spread adjustments, and loan floors.

Click here to view the slide presentation.

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About KBRA

KBRA is a full-service credit rating agency registered in the U.S., the EU, and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.

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