Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting
Create a vendor selection project
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.
We are waiting for the vendor to publish their solution profile. Contact us or request the RFX.
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
Capital Markets, Corporate Banking, Life Insurance, Property & Casualty Insurance, Retail Banking, Wealth Management
Asia-Pacific, EMEA, LATAM, North America