Swaps liquidity collapse adds to SSA burden

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By Lewis McLellan, Ross Lancaster
19 Mar 2020

Wild swings in the euro/dollar basis swap, and an unreliable interest rate swap complicated bond execution in the SSA market this week. While some liquidity has returned in rates, cross currency swaps are still behaving very strangely.

The cross-currency basis swap moved sharply more negative on Tuesday morning, as swap dealers and holders of dollars looked to hoard the currency. 

“I would tie the move to an increased use of the discount window by US banks themselves,” said Chris Barnes of Clarus Financial Technology. “The ...

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