This article is part of a Risk.net series on the practical aspects of Libor transition. Find the rest of the coverage here.
Liability-driven investment (LDI) funds are known as some of the biggest and most sophisticated counterparties in the sterling swap market.
Even so, senior bankers raise their eyebrows in surprise when told that one fund has already managed to move nearly all of its swap exposure off sterling Libor and onto its replacement, Sonia.
The firm, BMO Global Asset Management,
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