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26

Dollar Funding Demand Widens Basis Swap Spreads Versus Yen, Euro

By Tony Seruga

The cost to procure dollars surged to levels unseen since 2011 for Japanese borrowers and climbed to a seven-month high for Europeans after the U.K.’s decision to leave the European Union sparked global demand for the greenback.

Cross-currency basis swap spreads showed the cost to borrow dollars in exchange for yen reached 68 basis points on Friday, its highest since November 2011, while the premium against the euro reached 48 basis points, the most since December…

Dollar Funding Demand Widens Basis Swap Spreads Versus Yen, Euro

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