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
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.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
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. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
ARRC replacement aims to dodge rates ruckus
Fed’s new reference rate committee wants to avoid reigniting battles about term and credit-sensitive rates
Forward thinking: Banks adapt P&L mark-out tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
MTS hopes BondVision revamp will double rates market share
Proni says dealer oversight on fees and data, and new order tech key to D2C push; swaps a possibility
CDS market revamp aims to fix the (de)faults
Proposed makeover for determinations committees tackles concerns over conflicts of interest
BNPP overtakes Barclays in Ucits single-name CDSs
Counterparty Radar: Europe’s retail funds shed notional but used wider range of underlyings, new data shows
Inside Nomura’s European equities rebuild
Talking Heads: Global chief Simon Yates also addresses US crowding and Japan’s prospects post-carry trade
Simm casts off Covid pain for $40 billion IM reprieve
Recalibration cuts risk weights in equity and commodities, but some credit exposures double on ABX halt
BNP Paribas’ FX forwards notional jumps 75% in Q2
Counterparty Radar: French bank’s increased trading with Pimco lifts it into top spot
