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

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