SOFR Discounting Transition: Multi-Curve and Quantitative Perspective
Market Infrastructure Analysis, muRisQ Advisory, October 2019
8 Pages Posted: 11 Nov 2019
Date Written: October 28, 2019
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: Suggested Citation