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.

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.

The CFTC has officially recommended that interdealer trading conventions should switch to SOFR from July 26, 2021 for linear swaps.

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.

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.

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.

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.

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.

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”

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).”

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.

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.

As of March 31, 2020, the FHLBanks should no longer enter into LIBOR-based transactions with maturities past December 31, 2021.

SOFR-based OIS trading continued strong growth in the third quarter and SOFR basis swaps began to keep pace.

SOFR-based OIS trading took off at the end of the second quarter and looks likely to continue growth in the third quarter.

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.

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.

Principia has announced the full integration of SOFR into their platform, Principia SFP, and the online derivatives valuation service powered by it, pasVal.

SOFR issuances, futures, and swaps took off in the new year.

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.

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.

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).

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).

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.

Article covering the results from the Principia Cashflow and Waterfall Model Survey, highlighting the model integration issues faced by investors.

Principia's study on the use of ABS, MBS and CDO loan level and collateral performance data covered by Securitization Intelligence at ASF 2013.

Full results and analysis of Principia's ABS Pricing Survey covered in the Global ABS daily magazine.

Prytania Investment Advisors and Principia provide a detailed analysis of the systems considerations for ABS, MBS and structured credit investors.

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.

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.

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.

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.

Investor interest in ABS is back, according to a
survey conducted by Principia Partners. But in an industry known by outsiders more for its hubris
than its humility, many bondholders admit that
they are now ill-equipped to invest in securitized
products. In the post-crisis world of intensive
regulation they will have to raise their game.

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.

As part of the ECB’s newly tightened eligibility criteria for repo’ed securitisations, issuers
must provide additional loan-level data and, controversially, disclose cashflow models.
Principia Partners looks at the likely impact of the new measures and the role central banks can play in aiding investor due diligence.

Principia receives Credit magazine's Technology Innovation Award for the third consecutive year.

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.

Housing Wire covers an opinion piece by Douglas Long examining the need for a coordinated regulatory response to restabilize securitization.

Structured Credit Investor profiles Principia in this in depth interview covering the operational challenges facing investors today.

Principia receives Credit magazine's Technology Innovation Award for the second year running in recognition of product developments in 2009.

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.

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.

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.

"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."

“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.”

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.

“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..."

“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.“

“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.“

“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. “