Updates to LIBOR Replacement: Watchlist
In August, the market made new strides in accepting alternative rates to LIBOR and particularly for SOFR in the US:
- There were three significant debt-issuances based on SOFR, first from Fannie Mae, followed by the World Bank and then Credit Suisse.
- These debt issuances were followed by the clearing of the first-ever SOFR based swaps.
- Both the ICE and CME announced new futures would be trading in October. The ICE will add 1M and 3M SOFR futures and the CME, already trading SOFR futures, will begin trading 3M and BoE MPC contracts for SONIA.
We've updated our handy watchlist with all the latest: WATCHLIST: Replacing LIBOR.
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Principia Partners LLC (Principia) provides solutions for derivative and structured finance operations. Global financial institutions and independent asset managers have used the award-winning Principia Structured Finance Platform since 1995 to unify investment analysis, portfolio management, risk surveillance, accounting and operational control across the breadth of structured credit assets, fixed income investments and complex derivatives. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.
Principia is based in New York, with an office in London and a technology center in King of Prussia, Pennsylvania.