Mutual funds slow to adopt SOFR
Regulatory filings show just 55 trades linked to the rate in the year to September 2020
US mutual funds only traded 55 interest rate swaps linked to the secured overnight financing rate (SOFR) in the year through September 2020, according to a Risk.net analysis of more than 44,000 filings, with fixed income giants such as BlackRock and Pimco recording none at all.
The study is based on individual fund filings to the US Securities and Exchange Commission (SEC) reflecting positions between the fourth quarter of 2019 and the third quarter of last year. It identified more than 700 sub
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.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Derivatives
CDS auction-rigging lawsuit set to proceed
US judge clears way for case in which pension funds allege dealers manipulated CDS settlements
Barclays retools inflation desk with two senior hires
UK bank raids Deutsche Bank and JP Morgan for new regional heads
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
GFXC fosters global awareness of T+1 impact on FX
Risk Live: Many non-US firms yet to realise FX implications of the country’s shift to shorter settlement times
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
One strike and they’re out: traders threaten liquidity stoppage
PTFs vow to withdraw from Treasuries market in protest at SEC registration plans
Collateral markets in need of rewiring
New data suggests a tech upgrade is needed to avoid a large central bank footprint in markets
