Preparing for the Switch to SOFR Discounting
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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
Industry or Business Focus
Banking, Corporate Banking, Retail Banking
Asia-Pacific, EMEA, LATAM, North America