Funds steering clear of bets on Libor timeline after losses

Despite FCA assurances, most actively traded swap bases have not yet widened back to November levels

US-dollar-swap-spreads

Many investors are staying away from previously popular trades related to the demise of US dollar Libor, after hedge funds and banks suffered heavy losses on the bets late last year.

The trades revolve around expectations of when the UK’s Financial Conduct Authority will announce when various Libor settings will be terminated. The date of this announcement will affect the so-called fallback spread, which legacy contracts need in order to switch from Libor to a replacement benchmark – the

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

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: