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
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