The three-month cross currency basis swap is grinding wider and has touched -30 bps on Fri from -28.5 bps on Thurs. "There's a general risk-off mood and there is also poor liquidity at the end of the year," says Valery Gombert at Natixis. "We are still in the wide range of -15 to -40 bps and that will not change this year." In early 2013, the swap could tighten to -10 bps, Gombert estimates, because with the expiry of the guarantee on deposits over $250,000, "the cash dollar rate will decrease." There is no momentum for much further widening or tightening this year.
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