Update on my Basis position

A quick update on my basis position. I took a position on a basis swap where I pay LIBOR-1M v receive SONIA + spread on a 30-year tenor for a notional of 1m. The spread is at 13.45 bps.

First an update on the different spreads (as of Friday 14 December), with in order, the figure before the announcement, the analysis prediction, the figure on the date I took the position and the figure today

Name Announcement Prediction Position Today
Libor 3M - SONIA 22.50 9 to 18 19.65 19.35
Libor 6M - Libor 3M 5.90 8 to 16 7.60 8.00
Libor 6M - Libor 1M 12.20 14 to 25 13.80 14.20

In all cases the spreads continue in the direction predicted by the analysis.

For my position, there is not a very large movement yet. From 13.45 to 13.15, only 0.3 basis points gained. This is on top of the 2.75 bps that would have been the profit if I had open the position on the day before the announcement. I'm still making a little bit of carry. I will report the exact carry after the first month of the position, when the first coupon is paid.

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