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
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
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
Nasdaq revs up listed equity swaps; LSEG stuck in neutral
Trading opens for custom basket forwards, as LSEG shelves Turquoise and LCH tie-up
How repo roll risk could spoil US Treasury basis trade
Financing worries emerge as popular trade becomes increasingly reliant on overnight repo
BGC’s Eurex swap curve: basis killer?
Outright curve aims to stamp out LCH-plus-basis pricing for Eurex swaps – but price gap may persist, dealers say
HKEX and LCH look to expand eligible collateral
Chinese government bonds in the frame as clearing houses seek to boost non-cash margin options
StanChart sees big uptick in FX options positions
Counterparty Radar: UK bank benefits from MSIM trades as market for US mutual funds expands in Q2
Flow Traders bullish about threat from big banks
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit
Crypto ECNs aim to offer alternative to Clobs
CrossX and Cypator bring ECN-style trading and settlement to crypto, but rivals claim infrastructure isn’t ready
Market eyes emerging market CDS index expansion
Participants hope changes will help transform single-name volumes into greater index activity
