Basis swaps spike amid US rates chatter

Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift

Federal-Reserve-uncertainty

Traded volumes of US dollar basis swaps surged to nine-month highs in July as firms reacted to rising uncertainty in the rates market, with one dealer said to have traded upwards of $30 billion in swaps alone.

Strategists point to recent statements from officials at the US Federal Reserve and news of a debt ceiling compromise as contributing factors to the widening basis between Libor and overnight index swap rates, which led to a subsequent surge in swap trading, but disagree on their relative

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

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 individual account here