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 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.