Preparing for the Switch 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.
30 October 2019
Ping Sun, SVP of Financial Engineering for Numerix explored the many facets of discounting risk as exchanges switch from OIS to SOFR discounting.
Key topics discussed included:
- An update on the status of SOFR and upcoming milestones
- SOFR discounting & financial instruments: from linear products to exotics
- An analysis of SOFR discounting risk of cleared swaps and the proposed compensations by the exchanges
- Market impact of SOFR discounting and what comes next
Corporate Banking, Retail Banking
Asia-Pacific, EMEA, LATAM, North America