Basis swap squeezes dollar

A tighter euro/dollar basis swap this week made many issuers’ dollar levels less attractive at the short end of the curve, and investors picked up commercial paper from sovereign, supranational and agency names at the long end.

  • 25 Mar 2011

The euro/dollar basis swap compressed this week. It was at minus 26bp in the three month on Thursday afternoon, having been in the minus mid-30s area last week. This tightening meant many euro-funding SSA borrowers swapped into dollars at unattractive levels, especially at the short end.

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All International Bonds

Rank Lead Manager Amount $m No of issues Share %
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1 Citi 358,291.38 1348 9.06%
2 JPMorgan 320,704.66 1461 8.11%
3 Bank of America Merrill Lynch 318,128.31 1104 8.04%
4 Goldman Sachs 236,643.87 789 5.98%
5 Barclays 231,197.41 895 5.84%

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1 HSBC 35,007.57 165 6.53%
2 Deutsche Bank 34,880.53 120 6.51%
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4 BNP Paribas 27,920.60 169 5.21%
5 SG Corporate & Investment Banking 24,398.89 138 4.55%

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Rank Lead Manager Amount $m No of issues Share %
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1 JPMorgan 19,745.92 80 8.85%
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3 Citi 15,972.34 95 7.16%
4 UBS 15,487.17 60 6.94%
5 Goldman Sachs 14,053.61 76 6.30%