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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
Why the Time to Begin Preparing for the Libor Phaseout—is Now
Libor, the widely used inter-bank lending rate, is on track to be phased out by the year 2021. With approximately $350 trillion dollars of derivatives and other products linked to Libor, the discontinuation of this key benchmark rate is expected to create significant legal, operational, valuation and risk challenges for effected firms. We’ve now come to a point where financial oversight bodies in
July 9, 2019
FINCAD at Insurance Asset Risk EMEA 2019
Last week we were delighted to attend Insurance Asset Risk EMEA 2019. Our thanks and congratulations to Oli Henry and everyone at IAR for putting on such an engaging and ultimately successful event. There was no shortage of exciting talking points on the day. The panel sessions and presentations addressed a multitude of highly topical themes facing the insurance industry including; the perils of
June 20, 2019
FINCAD Employees to Rappel Off 25-floor Building for Charity
On the 16th of September, 15 FINCAD employees will rappel off the 25-story Central City Tower in Surrey, B.C.—and it’s not just because we are a rowdy bunch with an affinity for extreme thrills. It’s actually for a much bigger and better cause. We at FINCAD are honored to be participating in Easter Seals’ Drop Zone 2019 fundraising event. This incredible charity helps to raise much needed funds to
June 17, 2019
Revisiting FINCAD’s Early 2019 Technical Assessment for the End of Libor
Q&A Session with FINCAD’s Jonathan Rosen, PhD In January, Jonathan Rosen, PhD, published a technical paper: How the End of Libor will Impact Delta-1 Rates. Indeed, Libor is on track to be phased out by 2021 and this is creating challenges for a good many financial institutions. However, current events surrounding Libor are quickly changing, so we thought it prudent to touch base with Jonathan
June 4, 2019
FINCAD to Co-Sponsor Insurance Asset Risk EMEA Conference
There’s no doubt that the insurance industry has faced challenging paradigm shifts in recent years. For one, Solvency II has fundamentally changed the way insurance balance sheet management is undertaken. Today regulatory capital optimization is just as important as generating returns for shareholders. What’s more, portfolio managers are now under more pressure than ever to hunt yield across an
May 29, 2019