https://www.cmegroup.com/content/dam/cmegroup/images/common/default/article-brightcove-1440x500.jpg
€STR and SOFR Discounting Transitions for Cleared Swaps
As the €STR and SOFR discounting transitions approach, we’ve created three quick educational videos to answer common questions and discuss how CME Group can help you smoothly navigate these events:
- Introduction and Overview: Explore the increasing market adoption of SOFR and review important points about the upcoming €STR & SOFR discounting transitions.
- Operational Processes and Testing: Break down the specifics behind the transition, get guidance on developing a strategy for handling cash adjustments and basis swaps, and explore how to prepare for the transition.
- SOFR Auction Process: Review the re-hedging exercise and get a technical walkthrough of the auction process, including CME Group’s approach and safeguards.
Download the full operational deck for the SOFR & €STR discounting transition.
accountID
49919183001
videoID
6160112430001
playlistID
playlistLocation
R
aspectRatio
16:9
cc
language
Video topics include:
- Growth of the SOFR market, as demonstrated by record issuance and use of CME Group cleared derivative products
- How the industry, with Alternative Reference Rate Committee (ARRC) guidance, is working to develop a liquid SOFR market by end of 2021
- To facilitate a smooth transition to €STR and SOFR, how euro and US dollar interest rate swap products will undergo a price alignment and discounting transition in 2020
accountID
49919183001
videoID
6160113778001
playlistID
playlistLocation
R
aspectRatio
16:9
cc
language
Video topics include:
- An in-depth look at the cash adjustment and how to reconcile amid the change in discounting rate
- How to develop a strategy to maintain original discounting risk exposure for handling basis swaps for the SOFR transition
- Preparing for the transition, from understanding the discounting risk to engaging with FCMs to ensuring all elections and operational setups are in place
accountID
49919183001
videoID
6160114891001
playlistID
playlistLocation
R
aspectRatio
16:9
cc
language
Video topics include:
- Why CME Group will restore market participants back to their approximate EFFR discounting exposures for the SOFR discounting transition
- Choosing whether to hold the basis swaps to incrementally gain exposure to SOFR or to unwind them to immediately transition their discounting risk from EFFR to SOFR
- Exploring CME Group-enacted safeguards, including a maximum loss limit, to protect market participants and ensure the integrity of the auction process