Preparing for the Switch to SOFR Discounting

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30 October 2019
United States

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

Event details

Corporate Banking, Retail Banking
Geographic Focus
Asia-Pacific, EMEA, LATAM, North America