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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
Are crypto assets a game changer for investors?
As recent as last year, crypto was not taken as seriously as it is today. But now, cryptocurrencies are increasingly growing in popularity as viable investment assets. The reality is that institutions cannot afford to ignore crypto in our current marketplace. Evidence of crypto’s growth can be seen in the expansion of this nascent asset class. One of the most current developments has been the
October 8, 2019
Blog
Exploring the Challenges of the €STR, SOFR and SONIA Transition
FINCAD recently held a Libor breakfast briefing at the De Nieuwe Poort restaurant in beautiful Amsterdam. The event titled, “Practical Solutions for the €STR, SOFR and SONIA Transition,” was put on in collaboration with organizations, Cardano and TopQuants. I was pleased to learn that the attendees found the presentations informative and the speakers highly knowledgeable on this pressing topic
October 1, 2019
Blog
FINCAD Raises Over $14,500 for Children with Diverse Abilities
On September 16, the sun came out just in time for 12 FINCAD employees to rappel down our 25-story office building in Surrey. We are so honored to have been able to participate in Easter Seal’s 2019 Drop Zone fundraising event—and even more excited that we exceeded our fundraising goal! With the generous support and donations of my fellow Fincadians and other donors, we were able to raise more
September 25, 2019
Blog
FINCAD and PRMIA to Hold Libor Event in London
Benchmark reform may be the biggest delta to impact the financial markets since the 2008 financial crisis. Libor, the most widely used interest rate benchmark, is referenced by more than $200 trillion in financial products across the globe. Indeed the anticipated phase out of Libor by 2021 is creating a great deal of uncertainty for affected firms. As such, FINCAD and PRMIA will come together to
September 17, 2019
Blog
FINCAD to Launch Complimentary Workshop Series
Would you like to expand your knowledge of key topics in derivatives finance—all in an informal and interactive setting? Then you might want to check out one (or all) of FINCAD’s upcoming workshops. In the coming months, we will be holding a series of complimentary workshops, where we will explore: Python use and best practices, the impact of the end of Libor and how to cope, cashflow, LDI and ALM
September 6, 2019
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