SOFR Discounting Transition: Multi-Curve and Quantitative Perspective

Market Infrastructure Analysis, muRisQ Advisory, October 2019

8 Pages Posted: 11 Nov 2019

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Date Written: October 28, 2019

Abstract

CCPs are planning a big bang approach for the change of PAI from EFFR to SOFR. This note describes the planned compensation mechanism from a quantitative perspective. The note also contain my reasoning on why this approach does not appear the best to achieve the transition and the valuation issues it represents.

Keywords: CCP, Price Alignment Interest, Interest Rate Modelling, Value Transfer

JEL Classification: G13, G15, G23, K12

Suggested Citation

Henrard, Marc P. A., SOFR Discounting Transition: Multi-Curve and Quantitative Perspective (October 28, 2019). Market Infrastructure Analysis, muRisQ Advisory, October 2019. Available at SSRN: https://ssrn.com/abstract=3478769 or http://dx.doi.org/10.2139/ssrn.3478769

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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OpenGamma ( email )

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University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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