As the USD swap market is transitioning from OIS to SOFR discounting on October 16th, 2020 after close of business, RiskVal’s USD Libor curve construction will switch to use SOFR as the default discount method. This applies to all cleared USD IRS products (IRS, OIS, FRAs, Basis Swap, Zero Coupon Swaps)
SOFR Discounting Curve
Selecting the SOFR Curve as the default discounting curve for USD
To set the SOFR discounting on the Libor Curve, click on “Preference” – “Discount Method” – “SOFR Discounting”. After this method is selected, remember to click on “Save Config” to keep the change.
Changes in RVFI
All USD LIBOR swaps will now be discounted according to the SOFR curve.
Trade Blotter: We can see the difference in NPV of a swap in Trade Blotter between using the OIS vs SOFR discounting curves as seen below
PV01 for a swap using the SOFR discounting Libor curve is 99,635, while the PV01 of an OIS discounting Libor curve is 99,383
USD Bond: Changing the discounting curve also changes the asset swap levels in USD Bond. Below you can see the different ASW levels using OIS discounting vs SOFR discounting.
