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kfcnhl
Topic Author
Posts: 71
Joined: July 28th, 2009, 3:56 pm

SOFR discounting

November 30th, 2018, 12:59 pm

Feels like a silly question:

The LCH cleared swaps market is discounted by OIS curve based on daily FF.
This is because of the collateral can be invested at the FF rate.
Why wouldn't it be discounted at SOFR(assuming such curve exist)?
Isn't it closer to the risk free rate?

Many Thanks,
Fish
 
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DavidJN
Posts: 1733
Joined: July 14th, 2002, 3:00 am

Re: SOFR discounting

February 21st, 2019, 2:14 am

I recommend you read this:
https://www.newyorkfed.org/medialibrary ... RC-faq.pdf
The ARRC is the  Alternative Reference Rates Committee.
 
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wickedwit
Posts: 40
Joined: August 6th, 2011, 3:48 pm

Re: SOFR discounting

August 4th, 2019, 6:12 pm

Actually an interesting point if they might switch to sofr discounting although i haven't seen anything about it.
 
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RiskUser
Posts: 303
Joined: July 19th, 2006, 4:30 pm

Re: SOFR discounting

October 7th, 2019, 7:57 am

LCH are moving to SOFR discounting in 2020:

https://www.risk.net/derivatives/686856 ... ing-switch
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