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Managing the ‘Big Bang’ of the SOFR Transition
Last weekend, the clearing houses changed their pricing methodology on $80 trillion in Libor interest-rate swaps by switching to a new benchmark rate, known as the secured overnight financing rate, or SOFR, for the purpose of discounting the cashflows. Previously the Fed Funds rate was used for discounting. The switch, which was referred to in a recent Bloomberg article as a “big bang” is
SOFR
Firms_Ready
Are Firms Ready for the Transition to SOFR Discounting?
The way forward for the cessation of the Libor benchmark rate continues to take shape. One change presently planned for October 2020 is the switch from Fed Funds to SOFR discounting. Undoubtedly, moving to SOFR will create challenges for affected firms, as their systems and processes may not be ready for this massive shift. To assess just how prepared financial institutions are to meet the demands
May 21, 2020
Blog
Women in Finance
Now accepting applications: FINCAD’S 2020 Women in Finance Scholarship
We are very pleased to announce that the 2020 Women in Finance Scholarship is now open and accepting applications! For those unfamiliar, the scholarship is aimed at supporting exceptional women in the field of finance, particularly those pursuing careers in financial asset management, market risk management and derivatives finance within the capital markets.
May 15, 2020
Blog
Negative Oil Futures: A Sign Of Things To Come?
Negative Oil Futures: A Sign Of Things To Come?
Preparing your option pricing and risk models for negative commodity futures prices This week began with a shocking decline in the May WTI oil futures contract price. In an unexpected sequence of events, combining the low demand for oil, a definitive lack of storage options, and a rush of traders exiting positions before delivery obligations were to occur, the perfect storm was created. The WTI
April 24, 2020
Blog
COVID-19 and the Markets: A Closer Look at Implied Variance Over the Past 60 Days
COVID-19 and the Markets: A Closer Look at Implied Variance Over the Past 60 Days
Market turbulence in the last two months has left many wondering, "What's next?" We've seen indicators of the economy trending poorly, such as high unemployment, continued infection rates, and potential supply chain disruption. Meanwhile the markets themselves have remarkably bounced back to modest declines over the last three weeks. To better understand the markets in uncertain times, it is
April 22, 2020
Blog
Optimizing Technology for Liability-Driven Investing
Optimizing Technology for Liability-Driven Investing
Plummeting interest rates spurred by the COVID crisis are making liability-driven investing (LDI) more challenging than ever. Though firms are seeing reduced returns, they must still try to find ways of ensuring they have sufficient assets to cover their liabilities. To ease some of the complexity, it’s vital to have LDI technology in place with flexibility to properly match investment and risk
April 8, 2020
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