Why a US fund manager added $4.8bn of Libor swaptions in Q1

Columbia Threadneedle’s eyebrow-raising trades were part of an effort to clean up legacy hedges


Call it subtraction by addition.

Columbia Threadneedle Investments added $4.8 billion of new US dollar Libor swaptions in the first quarter of 2022 despite a regulatory crackdown on fresh trades referencing the outgoing benchmark. The firm accounted for 42% of all new Libor swaption trades reported by US mutual funds in the first three months of the year, according to data from Risk.net’s Counterparty Radar service.

That may seem like a questionable move at first glance, but the trades were

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