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.
About Epsilon Technologies Group
Epsilon is a vibrant capital markets technology solutions and services firm serving small and medium-sized financial institutions such as regional banks, Government-Sponsored Enterprises, and Federal Home Loan Banks. The Group’s deep expertise embraces every aspect of software development, products, data, technologies, and consulting. Epsilon offers ETS and Principia Analytic System as licensed products, and various innovative bespoke solutions across a broad set of capital markets domains. Epsilon also offers a full range of consulting services, including implementation, advisory, analytics, risk management, accounting, and data modeling.
