Basis swap gives opportunities, but investors full on big names
A widening of the euro/dollar basis swap over the past week led to an increase in dollar flows in European commercial paper, but bankers believe that investor limits prevented some regular SSA borrowers taking advantage of the arbitrage.
"The big news over the last week has been swap dislocation in euro/dollars," said one CP dealer in London. "Euribor flat was yielding plus 35 in dollars at three months at one stage, so euro-targeted issuers have been coming out a lot cheaper than usual."
However, the two borrowers
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