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Repo Squeeze Threatens to Spill Over Into Funding Markets

  • Cross-currency basis, FX forwards, eurodollar futures shift
  • Sale of $78 billion in Treasuries led to sudden cash squeeze
Updated on

What started out as a funding shortage in a key U.S. money market is now making it more costly to get hold of dollars globally.

A sudden surge in the overnight rate on Treasury repurchase agreements that began on Monday continued Tuesday -- with the rate opening at 7%, according to ICAP.