May-19 LIBOR Replacement: Watchlist
One year after SOFR was first published, the market has made some real strides:
- By the end of April, SOFR swaps had a traded notional of over $34 billion, $4.7 of which was basis swaps according to ISDA's analysis.
- SOFR-based issuance has increased to over $81B from 22 different institutions and the tenors are starting to extend to 2 and 3 years.
- The ARRC has released recommended fallback language for Floating Rate Notes and Syndicated Loans.
- ICE Benchmark Administration (IBA) announced that it has successfully transitioned all LIBOR Panel Banks to the Waterfall Methodology.
- The IBA also published updates to its paper regarding a preliminary methodology for its new potential alternative to LIBOR: the USD ICE Bank Yield Index.
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.