analyst report

LIBOR Risk Q1 2020

Risk Magazine Quarterly Report

New Libor Risk Report

This first quarter edition of a new Libor Risk report addresses a number of the hot button issues and challenges that are defining the dynamics of the LIBOR transition. A series of articles and commentaries from some of the industry's leading LIBOR experts cover a range of topics, including the costs of the transition, LIBOR fallbacks, adoption of alternative risk-free rates, IASB guidance on hedge accounting, and more.

Among the report’s key highlights is a feature article contributed by Numerix’s Ping Sun, in which he discusses the differences between OIS and SOFR curves, the elements of SOFR discounting risk and the impact of SOFR discounting on future cash flows.

The report includes the following articles:

  • SOFR discounting – Analyzing the market impact
  • Managing the cost of transition and the risk of delay
  • Alternative risk-free rates: BoE’s new Sonia index gets a thumbs-up from issuers
  • Swaps fallbacks: Sign up to fallback protocol or face ‘serious questions’, FCA warns
  • Synthetic Libor’s legal obstacles
  • Libor fallbacks: The price of signing the fallback protocol
  • Hedge accounting: The price is... wrong
  • Secrets and Libor fallbacks
  • Judgement day looms for dealers in swap shift to Sonia


Awareness of the effects of the switch from OIS to SOFR discounting will be central to understanding its significance for trading and risk management going forward.

Ping Sun, Numerix

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