Term SOFR derivatives creep into US fund holdings

Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading


Several US managers have dipped their toes in the market for swaps referencing the term version of the secured overnight financing rate (SOFR), in early signs that the benchmark may gain a foothold outside the loan market, where US dollar Libor’s cessation has prompted borrowers to embrace the forward-looking rate.

Third-quarter term SOFR swap positions totalled roughly $4 billion notional, mainly from holdings by life insurer Global Atlantic. Funds managed by Invesco and Axonic Capital also

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