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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