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CFA NY Panel Discusses Modeling Implications for Libor Cessation
I recently had the opportunity to participate in a panel for CFA Society NY, as part of their Libor Transition Series. Conversation centered on “Modeling Implications for Replacement Rates for Libor.” I was in good company with host, Peter Went, PhD, lecturer at Columbia University, Fabio Mercurio, Global Head of Quantitative Analytics at Bloomberg, and Agha Mirza, Managing Director and Global
CFA_Libor_Panel
FINCAD Workshops Cover Curves, Valuation and the End of Libor
FINCAD Workshops Cover Curves, Valuation and the End of Libor
Libor discontinuation is an issue that continues to be top of mind for investors. Quickly approaching, the 2021 Libor phaseout will require a transition to alternative benchmarks, such as SONIA, €STER and SOFR. However, despite this being a huge deal, much of the industry remains unprepared to meet the change. To help our peers get a better handle on the transition, FINCAD recently held an
January 28, 2020
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Why OTC Collateral Needs to Adjust for SOFR Discounting in 2020
Why OTC Collateral Needs to Adjust for SOFR Discounting in 2020
Some big changes are on the horizon for 2020. CME and LCH have both announced plans to change the USD discount rate by shifting their price alignment interest (PAI) to SOFR in October. Unfortunately, many remain unaware that this transition will have immediate impact on the value of OTC Libor swaps. So, what will the CME/LCH changes mean for those affected? For any open positions on CME or LCH
January 7, 2020
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Celebrating a Season of Giving
Well, here we are! 2019 is drawing to a close and the offices at FINCAD are abuzz with holiday cheer. Many of us are getting ready to sign off for Christmas break and enjoy some quality time with our families and friends. With this being a season of giving, I’d like to talk about why I am proud to work for a company that values giving back. Our culture at FINCAD is one that embraces opportunities
December 18, 2019
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Industry Events take on the Technology Impact of the Libor Replacement
As the 2021 deadline approaches, the financial sector is abuzz with preparing for the end of Libor. Certainly, there are a myriad of business, operational and IT considerations that firms must tackle in order to ready themselves for the transition to new risk-free rates (RFR’s). Recently I had the pleasure of participating on the panels for two London-based events focused on Libor replacement. The
December 11, 2019
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Is MBS Investing Picking up Steam?
Is MBS Investing Picking up Steam?
Mortgage-backed securities (MBS) are increasingly falling into favor with today’s investors. The appeal with this structured credit product is that it offers a potentially better payoff than vanilla instruments. However, the flip side is there may be greater risk involved. Thus, in terms of investing, one needs to evaluate the risk/reward profile and determine if MBS is a good fit for their firm’s
November 21, 2019
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