Coming Soon: SOFR Discounting on Interest Rate Swaps

At the close of business on Friday, October 16, 2020, both the CME and LCH are planning to perform a coordinated single-day transition from discounting all cleared USD interest rate swap products with the EFFR to SOFR. This “big-bang” switch is intended to reduce risks and add momentum to the overall market transition away from LIBOR to SOFR.

The valuation differences that will occur from the change in discounting curves are being addressed by both groups via cash adjustments and compensating swaps.

Read the CME Summary Plan here.
Read the LCH Summary Plan here.

pasVal is more than ready for this change and can help you prepare by valuing your portfolio or sub-portfolio using both discounting methods and reporting on the differences.

About Epsilon Technologies Group

Epsilon is a vibrant capital markets technology solutions and services firm serving small and medium-sized financial institutions such as regional banks, Government-Sponsored Enterprises, and Federal Home Loan Banks. The Group’s deep expertise embraces every aspect of software development, products, data, technologies, and consulting. Epsilon offers ETS and Principia Analytic System as licensed products, and various innovative bespoke solutions across a broad set of capital markets domains. Epsilon also offers a full range of consulting services, including implementation, advisory, analytics, risk management, accounting, and data modeling.