Swaps basis leaps as LDI funds prep for Libor’s death

Gap between 30-year Libor and Sonia swaps surges 36% in three weeks

Libor-Sonia-spread-widens
“With Libor reform coming up, more and more people want to trade against Sonia” – rates trading head
Infopro Digital montage

The basis between 30-year Sonia- and Libor-linked interest rate swaps has jumped by more than a third in recent weeks, setting an all-time record, as pension funds try to proof their portfolios against the death of Libor. Funds are simultaneously closing out Libor swaps and replacing them with new Sonia positions.

“It’s moved almost 10 basis points in two weeks. Considering it can spend a whole year within a 5bp range, that gives you a sense of how much this thing has moved,” says a portfolio m

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: