Updates to LIBOR Replacement: Watchlist
As 2018 draws to a close, we see that Alternative Reference Rates are continuing to gain traction while IBOR fallbacks begin to develop:
- ISDA announced its proposed methodology for fallbacks for derivatives contracts that reference certain interbank offer rates (IBORs).
- SOFR-based debt issuance is now over $26 billion and the most recent issuance extends into 2021. See CME SOFR page for details or check out our market update summary here.
- 2W, 2M and 9M tenors of EURIBOR have ceased to be published by the EMMI due to low levels of trading activity for these terms.
We've updated our handy watchlist with all the latest: WATCHLIST: Replacing LIBOR.
About Principia Partners
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.