Pimco criticises LCH over SOFR plan

Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately

William de Leon of Pimco
William De Leon, Pimco: “Important that LCH uses SOFR and not Fed funds”

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, William De Leon, global head of portfolio risk management at Pimco, urged LCH to follow the same model

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here