Oct-18 LIBOR Replacement: Watchlist
In October, the US LIBOR alternative rate took an important step:
- The FASB has officially accepted SOFR as an eligible rate for hedge accounting.
Additionally, in the past month:
- Over $200M in OTC SOFR swaps were cleared on CME in the 1st week of October alone.
- The ARRC held webinars and presentations regarding fallback contract language for Floating Rate Notes and Syndicated Business Loans.
- Interesting "compression" ideas emerged for LIBOR transitions and have been proposed to various industry groups.
We've updated our handy watchlist with all the latest: WATCHLIST: Replacing LIBOR.
About Principia Partners
Principia Partners LLC provides solutions for derivative and fixed income operations. Global financial institutions and independent asset managers have used the award-winning Principia Analytic System since 1995 to unify valuations, portfolio management, risk surveillance, hedge accounting and operational control across the breadth of fixed income and derivative products. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.