Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Interest rates traders turned to a familiar – and soon to be taboo – trade in record numbers last week, as speculation grew over the direction of US monetary policy.
Basis swaps referencing three-month and one-month US dollar Libor – known as the 3s1s or 1s3s – saw weekly trading activity reach $140 billion in notional volumes for the week ending November 7, the largest weekly total since mid-2019, according to figures from the Depository Trust & Clearing Corporation’s (DTCC) swap data
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