Principia Now Offering a Comprehensive Solution for SOFR Derivatives
New York, NY – March 25, 2019 - Principia Partners LLC, an industry-leading provider of derivatives portfolio management solutions, today announced the full integration of SOFR into their platform, Principia SFP, and the online derivatives valuation service powered by it, pasVal.
“We are proud to be well ahead of the market in offering a complete, easy-to-use SOFR solution via the Principia platform and our online valuation service, pasVal. Our clients are eager to embrace this alternative reference rate and we’ve delivered them everything they need to do so,” said Theresa Adams, Principia’s President & CEO.
As part of their solution, Principia now supports the full spectrum of structuring complexity and differing market conventions developing between the SOFR debt and SOFR swap markets. This includes supporting standard valuations, hedge effectiveness testing and SOFR curve construction, but also addresses market nuances such as whether you use a prior or subsequent reset for accruals on non-business days, or if you can exclude spreads from compounding calculations, as well as how you manage the accrual calculations at the end of the period when SOFR won’t be published until the following business day.
“Many of our clients are issuing both SOFR debt and gearing up to hedge with SOFR swaps as opposed to LIBOR. While market conventions around SOFR are not fully set, over the course of the transition they will need to be able to capture all the variations that come about. We’re proud that they have confidence in Principia to handle the complicated transition to SOFR. Having a system that clearly demonstrates it can handle the hidden valuation and hedge accounting complexities means clients can focus on identifying risk and seizing the opportunities that are created during this significant market transition rather than just struggling through it,” commented Dr. Douglas Long, EVP of Product Strategy.
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.