US funds edge towards SOFR adoption

Counterparty Radar: A fifth of swap notional held in Q4 references the RFR but funds still lean on USD Libor

US-mutual-funds

Pimco led US mutual funds in the industry’s increasing adoption of swaps referencing the US secured overnight financing rate at the end of last year, but funds continued to show large exposures to the outgoing US dollar Libor benchmark, according to an analysis of filings made to the Securities and Exchange Commission (SEC).

Most Libor settings ceased publication at the end of 2021, with the US dollar version awarded a reprieve until mid-2023 to give the market time to transition off the rate

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