Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

Create a vendor selection project & run comparison reports
Click to express your interest in this report
Indication of coverage against your requirements
A subscription is required to activate this feature. Contact us for more info.
Celent have reviewed this profile and believe it to be accurate.
21 November 2019
United States

Join Liang Wu as he shows you how you can use Numerix and Python to deal with this historic shift in benchmarks by LCH and CME. He covers:

  • SOFR curve construction – brief review
  • The impact of switching from OIS to SOFR discounting
    • P&L impact analysis
    • Clearing house compensation – cash and risk exchange
    • Implications for curve construction
  • Key Takeaways

Event details

Capital Markets, Corporate Banking, Life & Health Insurance, Property & Casualty Insurance, Retail Banking, Wealth Management
Geographic Focus
Asia-Pacific, EMEA, LATAM, North America