Until SOFR Switch
This document outlines the procedure that the Alternate Reference Rates Committee (ARRC) has recommended and the technical steps that will be taken by the clearing houses CME Clearing and LCH as part of the transition to using the SOFR discounting curve. It also presents solutions that RiskVal believes will help clients in this shift away from LIBOR in line with these proposed changes.
On Close of Business July 24th 2020, CME will transition all cleared EUR interest rate swap products (IRS, OIS, FRAs, Basis, ZCS) to using the ESTR discounting curve. The document outlines RVFI's ESTR enhancement in handling and managing this transition.