How hedge funds lost big on US dollar Libor delay
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses
A popular hedge fund bet on the US dollar Libor transition remaining on schedule came apart last week after Ice Benchmark Administration all but confirmed a delay until mid-2023.
The head of US rates at one large bank estimates several fixed income hedge funds and some dealers lost “anywhere from $500 million to $2 billion” on basis trades designed to profit from spreads widening ahead of US
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