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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

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September 17, 2019, 10:19 AM UTCUpdated onSeptember 17, 2019, 12:24 PM UTC

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.