Mutual funds slow to adopt SOFR

Slow take-up by mutual funds — Risk.net montage

Ben St. Clair
08 Feb 2021

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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

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