SOFR Status Check - Understanding the New U.S. LIBOR Alternative Rate

Next in our three-part webinar series examining the LIBOR transition, on Wednesday, December 12th at 10 AM EST, Dr. Ping Sun, PhD Senior Vice President, Financial Engineering at Numerix examined the Secured Overnight Financing Rate or SOFR, the new U.S. LIBOR alternative benchmark.

SOFR, being selected as the new U.S. alternative reference rate, has fundamental impacts on the financial markets. Unlike some other major currencies, the SOFR is very different from the existing LIBOR rate or Fed Funds rate. In order for SOFR to be referenced at the level of LIBOR, a liquid SOFR based derivative market will need to be fully developed in the next three years before LIBOR terminates. While the clearing houses, exchanges, and data vendors are getting ready, the liquidity has yet to build up.

In this webinar Dr. Sun offered a brief update on alternative reference rates and a history of the transition to SOFR. He examined SOFR composition and liquidity, the SOFR derivative market (both OTC and Exchange based SOFR derivatives) and finally the fundamentals behind constructing the SOFR curve.

In this webinar presentation Dr. Sun covered:

  • Brief Update on Alternative Reference Rates
  • History of Secured Overnight Financing Rate
  • SOFR Derivatives – SOFR vs. LIBOR & OIS
  • SOFR Curve
  • Growing SOFR Market and its Impact on Curves

 

Featured Speaker:

Ping Sun, PhD Senior Vice President, Financial Engineering, Numerix
Dr. Sun, PhD is Senior Vice President, Financial Engineering at Numerix. He is also product manager of the Numerix CrossAsset analytics platform. During his career at Numerix, Dr. Sun’s work has appeared in number of publications and academic journals, and he has been showcased as a lecturer at a range of academic events and industry conferences. Dr. Sun served as a consultant to Lehman Brothers as a FX / EQ Desk Quant, and his is extensive experience includes working to develop the Numerix cross-currency Economic Scenario Generator. He earned a Doctorate Degree in Physics from City College of New York, and a Master’s Degree and Undergraduate Degree in Physics from Fudan University in Shanghai, China.

 

JamesJockleModerator: James Jockle, Chief Marketing Officer, Numerix
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing. Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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on-demand webinar

Preparing for a World Without LIBOR