JOIN NUMERIX FOR AN ON-DEMAND WEBINAR
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Why Attend?
Learn about the latest challenges in the closing stages of the Libor transition, from term SOFR derivatives to volatility modelling and non-linear markets. |
The next three months will determine how rates markets cope with the death of Libor.
While take-up of the secured overnight financing rate (SOFR) has been progressing, a number of pain points remain. Narrow availability of term SOFR derivatives has raised the cost of hedging for many borrowers, and attempts to reverse an interdealer trading ban on the instruments have so far proved fruitless. Non-linear markets have lagged vanilla counterparts in their preparation as traders grapple with new volatility curves. Participants also have their work cut out for them as they prepare for trillions of dollars of legacy instruments to re-hitch to the risk-free rate via central counterparty conversions and bilateral fallbacks.
On March 28th 2023, a panel of industry experts discussed the following topics:
*NOTE: Since the webinar took place, the ARRC has relaxed limits on trading term SOFR derivatives.
Moving Beyond LIBOR with Numerix Multi-Curve Framework
The LIBOR Transition: Fallback Curve Analysis
The LIBOR Transition: Impact of SOFR Switch on Swaptions