Basis swaps surge amid US repo market concerns

Fed funds-versus-SOFR swap volumes nearly triple as declining Fed reserves impact funding rates

US-swaps-basis-spike
Risk.net montage

Traders have piled into basis swaps crossing secured and unsecured overnight US dollar rates in recent weeks, as anticipated and existing funding pressures hit repo markets.

Weekly volumes of federal funds-versus-secured overnight financing rate (SOFR) swaps nearly tripled between the last week of August and early-October, as the Federal Reserve continued to drain reserves from the US banking system through quantitative tightening. This pushes banks to use the repo market as a way of securing

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

Most read articles loading...

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