Fed funds-linked swaps outstrip Libor for first time

Banks point to money market reform, Libor changes and Fed expectations as catalyst

dollar funding chart
Volumes of swaps referencing US dollar Libor fell behind those linked to the OIS rate in February

US dollar interest rate swaps that reference the overnight indexed swap (OIS) rate catapulted ahead of equivalent derivatives linked to Libor for the first time in February, according to data from Clarus Financial Technology.

Banks say the sudden spike in volume in OIS swaps is due to a combination of money market fund (MMF) reform dating back to October last year, concerns about the future of the Libor benchmark, and expectations of further interest rate hikes from the Federal Reserve.


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