
Articles
The following is a collection of market research articles and contributed editorial features by Principia which can be linked to below:
Oct-21 | OCC Releases Self-Assessment Tool for Banks: LIBOR Transition
The OCC has updated their Self-Assessment Tool for Banks regarding the LIBOR Transition, to help them evaluate their preparedness for the cession of LIBOR. |
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Oct-21 | CFTC Selects November 8 for SOFR First for Non-Linear Derivatives
The Interest Rate Benchmark Reform Subcommittee of the CFTC has voted to select November 8th, 2021 for switching interdealer trading conventions from LIBOR to SOFR for USD non-linear derivatives. | ![]() |
Jun-21 | SOFR First Initiative
The CFTC has officially recommended that interdealer trading conventions should switch to SOFR from July 26, 2021 for linear swaps. |
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Apr-20 | ISDA's Updates for Interest Rate Derivative Trading Activity Q1 2020
ISDA has published it's Q1 2020 review of trading activity for interest rate derivatives. While both IRD traded notional and trade count increased, US dollar-denominated IRS (fixed for floating) decreased by over 5%. See review for more details. |
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Mar-21 | IBOR Fallback Rule Book and FAQs
In addition to the IBOR Fallback Rate Adjustments Rule Book, published by ISDA and Bloomberg, Bloomberg has recently published a handy set of frequently asked questions on the topic. |
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Mar-20 | NY Fed Publishes SOFR Averages and SOFR Index
The Federal Reserve Bank of New York has begun publication of three daily compounded averages of SOFR (for 30-, 90-, and 180- days) as well as a daily SOFR index to aid those calculating compounded averages over custom time periods. The SOFR Averages and Index data are published here and the calculation methodology details are available here. They will additionally be updating the indicative historical rates for the SOFR Averages and Index to cover the period between October 2019, when they were initially released, through February 2020. |
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Mar-20 | Update: SOFR Market Adoption
SOFR basis swaps have begun to overtake SOFR OIS swaps but this seems to be due to traded notional, not trade count. In addition to SOFR futures options now trading on the CME, the first two SOFR Swaptions have also traded. |
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Feb-20 | NY Fed to Publish SOFR Averages and SOFR Index
The Federal Reserve Bank of New York announced a proposal to publish three daily compounded averages of SOFR (for 30-, 90-, and 180- days) as well as a daily SOFR index, starting March 2, 2020, to aid those calculating compounded averages over custom time periods. |
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Jan-20 | ISDA's Interest Rate Benchmark Review for Q4 and Full Year 2019
Key SOFR-related highlights from ISDA’s Interest Rate Benchmarks Review for 2019 include over 392 billion in traded notional for SOFR swaps and over 193 billion for SOFR basis swaps. SOFR futures saw a jump in open interest at the end of the year to 2.1 trillion from just .3 trillion at the beginning of the year” |
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Nov-19 | ISDA's Key Trends OTC Derivatives Markets for First Half 2019
ISDA recently published its review of OTC Derivatives Market Trends between 2019, 2018 and the previous 5 years. On the whole, US dollar-denominated trading has increased particularly in the shorter-term contracts,. And there was also “a noticeable boost in the share of cleared IRD contracts, as demonstrated by higher IRD notional outstanding with central counterparties (CCPs).” |
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Dec-19 | Coming Soon: SOFR Discounting on Interest Rate Swaps
At the close of business on Friday, October 16, 2020, both the CME and LCH are planning to perform a coordinated single-day transition from discounting all cleared USD interest rate swap products with the EFFR to SOFR. This “big-bang” switch is intended to reduce risks and add momentum to the overall market transition away from LIBOR to SOFR. |
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Oct-19 | ISDA's Updates for Interest Rate Derivative Trading Activity Q3 2019
ISDA has published it's Q3 2019 review of trading activity for interest rate derivatives. Both IRD traded notional and trade count rose by 28.2% and 33.7% respectively. See review for more details. |
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Oct-19 | FHFA Instructs FHLBanks to Begin Transitioning Away from LIBOR
As of March 31, 2020, the FHLBanks should no longer enter into LIBOR-based transactions with maturities past December 31, 2021. |
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Sep-19 | Update: SOFR Market Adoption
SOFR-based OIS trading continued strong growth in the third quarter and SOFR basis swaps began to keep pace. |
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Jun-19 | Update: SOFR Market Adoption
SOFR-based OIS trading took off at the end of the second quarter and looks likely to continue growth in the third quarter. |
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May-19 | FASB ASU 2017-12 Deadline Draws Near
As of December 15, 2018, public companies have been required to implement updates FASB ASU 2017-12 amendment to Topic 815 to their derivatives hedge accounting. |
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May-19 | ISDA's Updates for Interest Rate Derivative Trading Activity Q1 2019
ISDA has published it's Q1 2019 review of trading activity for interest rate derivatives. Both traded notional and trade count rose by 5% and 3.3% respectively. See review for more details. |
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Mar-19 | Principia Now Offering a Comprehensive Solution for SOFR Derivatives Principia has announced the full integration of SOFR into their platform, Principia SFP, and the online derivatives valuation service powered by it, pasVal. |
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Mar-19 | Update: SOFR Market Adoption
SOFR issuances, futures, and swaps took off in the new year. |
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Jan-19 | ISDA's Updates for Interest Rate Derivative Trading Activity Q4 2018
ISDA has published it's Q4 review of trading activity for interest rate derivatives. Both traded notional and trade count rose by 21.9% and 13.5% respectively. See review for more details. |
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Nov-18 | ISDA's Updates for Interest Rate Derivative Trading Activity Q3 2018 ISDA has published it's Q3 review of trading activity for interest rate derivatives. IRD traded notional and trade count has risen by 14.5% and 7.8% respectively. See review for more details. |
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Oct-18 | FASB Issues Accounting Standards Update for New Benchmark
On October 25, 2018 FASB issued an Accounting Standards Update "that expanded the list of U.S. benchmark interest rates permitted in the application of hedge accounting." This update permits the new secured overnight rate, SOFR, to be an allowed benchmark interest rate for hedge accounting (ASC 815). |
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Feb-18 | FASB Proposes Accounting Standards Update for New Benchmark
On February 20, 2018 FASB proposed an Accounting Standards Update "that would expand the list of U.S. benchmark interest rates permitted in the application of hedge accounting." This update would allow the new secured overnight rate, SOFR, to be an allowed benchmark interest rate for hedge accounting (ASC 815). |
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Aug-17 | FASB Simplifies Derivatives Hedge Accounting
FASB has announced targeted improvements to hedge accounting requirements for derivatives that will make it easier for many institutions to manage interest rate swaps and improve their risk profiles. They will no longer be required to separately measure and report on effectiveness, changes in hedging item valuations will be shown along with the earnings effect of the hedged item, and it’s easier to use qualitative assessments once an initial quantitative test has passed. |
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Sep-13 | Model integration issues persist
Article covering the results from the Principia Cashflow and Waterfall Model Survey, highlighting the model integration issues faced by investors. |
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Jan-13 | Trends in the use of loan level and collateral performance data
Principia's study on the use of ABS, MBS and CDO loan level and collateral performance data covered by Securitization Intelligence at ASF 2013. |
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Jun-12 | More than just the Data
Full results and analysis of Principia's ABS Pricing Survey covered in the Global ABS daily magazine. |
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May-12 | Dealing with Data
Prytania Investment Advisors and Principia provide a detailed analysis of the systems considerations for ABS, MBS and structured credit investors. |
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Feb-12 | The ASF and the Future of RMBS
Euroweek covered some of the main points from the EBA announcement of clarifications surrounding the implementation of the EU CRD article 122a. Principia was invited to comment. |
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Jun-11 | Article 122a Implementation: Due Diligence DIY
This article examines the practicalities of performing one's own assessments across the structured finance business to address Article 122a investor due diligence and reporting requirements. |
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Jun-11 | Article 122a Implementation: Seeing the Wood and the Trees
Douglas Long, evp business strategy, discusses how addressing today's investor due diligence requirements demands operational control to perform the necessary work across the credit investment business. |
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Mar-11 | Structured Finance Perspectives: Due Diligence and Investor Best Practices
Read the full results of Principia's new 2011 Survey from the ASF conference, as covered in HousingWire, Total Securitization, Structured Credit Investor and a number of other trade publications. |
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Jan-11 | American Securitization Journal: Buyside Wakes Up
Investor interest in ABS is back, according to a |
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Jan-11 | Reducing Reliance on Credit Ratings
This contribution to HousingWire explores the US approach to reducing investor's reliance on credit ratings in the due diligence process and considerations for alternatives to credit ratings being considered. |
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Jan-11 | The Future of Structured Finance Regulation
As part of the ECB’s newly tightened eligibility criteria for repo’ed securitisations, issuers |
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Nov-10 | Principia Wins Technology Innovation Award for Third Year
Principia receives Credit magazine's Technology Innovation Award for the third consecutive year. |
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Jun-10 | No one Said Re-Creating Standards Would be Easy
The industry is connecting some of the dots between what has been done already and what still needs to be done for a sustainable investor base to return in earnest. |
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Mar-10 | Measuring the Impact of Regulation
Housing Wire covers an opinion piece by Douglas Long examining the need for a coordinated regulatory response to restabilize securitization. |
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Mar-10 | Solid Operations
Structured Credit Investor profiles Principia in this in depth interview covering the operational challenges facing investors today. |
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Nov-09 | Principia Wins Technology Innovation Award
Principia receives Credit magazine's Technology Innovation Award for the second year running in recognition of product developments in 2009. |
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Oct-09 | Technology Commitment
Asset managers with a long-term commitment to structured finance investments are coming under increased pressure to respond to recent regulatory directives relating to infrastructure. |
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Apr-09 | One View on Transparency
The interpretation of transparency takes on a different meaning depending on your perspective or involvement in the day to day management of structured finance operations. Too much information, in many different formats, has made it a challenge at the portfolio management level to interpret collateral information from multiple sources in standardized ways. |
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Mar-09 | ASF 2009 Highlights Challenges for Securitisation Markets Principia's EVP Sales Mark Kahn gives an exclusive 'man on the ground' account of keynote sessions and developments of the 2009 ASF Conference in Las Vegas. |
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Feb-09 | Industry Needs To Prepare For Tomorrow
"Governments, policymakers and industry working groups are understandably eager to redesign and reregulate the global financial system. There is an opportunity to take a proactive lead from recommendations that have already been made and prepare for the market of the future." |
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Dec-08 | The Big Interview
“The barrier to entry
for people who need to manage these products has changed
across the board. The move to on-balance sheet management
has broadened our market considerably: credit investment
desks within bank treasuries, opportunistic distressed
debt funds and insurance companies with investment portfolios
they need to manage. Before they either relied on internal
development - databases they built themselves - or their
existing treasury systems. The market needs what we've
been providing for years.” |
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Nov-08 | Preparing to Pounce
Principia is one vendor that has updated its offering in an attempt to address such demands, by introducing Principia SFP V6. The offering is expected to be implemented by a range of organisations - managers within bank treasuries, off-balance sheet operations and investment funds, and especially those that have to quickly adapt themselves to the new environment. |
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Nov-08 | Principia
Wins Technology Innovation Award
“Principia’s operational processing platform
is designed for structured finance institutions who are
required to have on-demand sophisticated portfolio management
and portfolio risk reporting for their structured credit
investments..." | ![]() |
Aug-08 | Seeking
Sophistication “But
investors will not be given mandates to invest in
this area unless they have the appropriate controls
and sophisticated risk management techniques in place.“ |
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Jun-08 | Inside
Guide: Credit Derivative Product Companies
“Effective capture and storage of data in
such a way that it can be used to ensure
compliance with trading limits and operational
guidelines is at the heart of a CDPC’s
operational requirements.“ |
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May-08 | Back to Basics: Asset Portfolio Management “The only way to manage this change effectively and make the
most out of new opportunities will be to have a strong and flexible
operational infrastructure securely in place. “ |
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Feb-08 | A
Transparent Approach To Structured Finance “ ... moving the market towards increased risk management and surveillance of structured finance portfolios, whether on or off balance sheet.” |
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Jan-08 | Transparency
In Sight (pdf) "... will push more players to make a firmer commitment to improving systems, compliance, standardisation and increasing the level of detail provided to the investor base." |
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