Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
A senior Pimco official has criticised LCH’s decision to stick with Fed funds as the discount and margin interest rate for secured overnight financing rate (SOFR) swaps in the short term, claiming it will create a “bastard contract” that will generate more problems for legacy products.
Speaking at a Market Risk Advisory Committee meeting at the Commodity Futures Trading Commission on June 12
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Weekend staffing looms as 24/7 trading hurdle
Out-of-hours coverage was “not an easy task” for CME’s continuous crypto launch
Europe ‘lagging behind’ US in crypto markets
Mica made Europe first mover, but rapid US adoption leaves the region trailing, market participants say
EU lags UK on commodity position limits – RWE
German energy firm urges EU to follow UK in handing position limit powers to trading venues
Will Kalshi and Polymarket win over prop shops? Don’t bet on it.
A few market-makers – Jump Trading and Susquehanna among them – are dabbling in prediction markets but most are holding off due to patchy liquidity and legal uncertainty
Euronext, LCH back Esma as exchange super-regulator
National oversight hurts Europe, exchange officials say – but some are not ready to accept a single watchdog
FactSet’s Portware expands to tackle complex FX
EMS vendor eyes automation for high-touch FX trades while adding connectivity to new venues
Treasury basis trade loses its allure as returns shrink
Tight spreads and rising funding costs are pushing the cash-futures basis trade out of favour
How vol eruption blew up Goldman’s rates book
Dealers were short payer skew from corporate and hedge fund flows. Then came the Iran war.
