Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

Liang Wu, Manager, Executive Director of Financial Engineering & Head of CrossAsset Product Management, Numerix
Why Attend?
Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.

Liang Wu, Executive Director of Financial Engineering & Head of CrossAsset Product Management, Numerix

In October 2020, both LCH and CME will be switching their Price Alignment Interest (PAI) and discounting rates for USD OTC cleared swaps from OIS (daily effective Fed Funds rate, or EFFR) to SOFR. This shift should help support widespread adoption of SOFR as an interest rate benchmark and it should have a strong positive impact on the liquidity of SOFR-based products.

However, do you know the direct impact of the OIS/SOFR shift on your own firm? Are you prepared? How will the discounting change affect the P&L and risk of your USD swap portfolio? What kind of cash compensation and discounting risk exchange (i.e. EFFR/SOFR basis swap exchange) should you expect from the clearing houses?

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


Featured Speakers:

Liang Wu, Vice President of Financial Engineering & Head of CrossAsset Product Management, NumerixLiang Wu, Executive Director of Financial Engineering & Head of CrossAsset Product Management, Numerix
Liang Wu is the Executive Director of Financial Engineering and heads up CrossAsset Product Management at Numerix. Mr. Wu has previously served as Director of Financial Engineering in the Client Solution Group at Numerix. Before joining Numerix in 2015, he worked at CME Group and HSBC in Pricing and Valuation, and Model Review roles. He holds an MSc degree in Financial Engineering from Columbia University, an MSc degree in Space Physics from Rice University and a BSc degree in Geophysics from University of Science and Technology of China.

GregMurrayModerator: Greg Murray, Vice President, Product & Field Marketing, Numerix
Greg Murray oversees product and field marketing initiatives at Numerix, focusing on go-to-market strategies and marketing of Numerix’s derivative pricing and risk analytics. Prior to his current role, Mr. Murray worked in derivative analytics sales roles at Numerix and at other software firms. He also held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.



If you experience any difficulties viewing or completing this form, please contact us for help.

on-demand webinar

On-Demand Solutions Webinar | Using Numerix & Python to Construct Alternative Reference Rate Curves