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Preparing for the Switch to SOFR Discounting

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2019/10/30
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

イベント details

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