LONDON, March 9 (Reuters) - Spreads in euro-dollar cross
currency basis swaps for three-month maturities, a gauge of
demand for U.S. dollars via money markets, widened to their
highest in five months on Monday as a collapse in oil prices
reverberated through wider markets.
Spreads on three-month swaps EURCBS3M=ICAP widened to 26
basis points (bps), its widest since early October 2019, and
were approaching a 2019 high of 32 bps. Yet they were still some
distance from the eurozone crisis peaks of more than 150 bps in
2011/2012.
While the immediate cause behind the spread widening was
unclear, traders said the rising costs of paying for U.S. dollar
for a European bank wasn't indicative of a lurking funding
crisis in money markets yet.
The widening in spreads comes at a time when the Federal
Reserve Bank of New York on Monday said it had increased its
daily cash injections to the banking system to ensure an ample
supply of bank reserves.