Currency basis swaps are all the rage again. SocGen has even referred to the basis swap market as a key means for managing “access to short-term USD liquidity” in its “hard facts” release.

Of course, with everyone swapping cheap euros (obtained probably from the ECB) for US dollars in the currency swap market, rates are starting to reflect the one-sided demand.

The latest three-month EURUSD currency swap rate was being quoted at about 123 basis points according to Icap (via Reuters) — worryingly within Lehman territory:

Related links:
FX swap lines to the rescue? - FT Alphaville
Basis swaps and beer – FT Alphaville

This entry was posted by Izabella Kaminska on Monday, September 12th, 2011 at 13:36 and is filed under Capital markets. Tagged with basis swap, Dollar, euro. Edit this entry.