Funding markets into year-end
December has been a bumpy month for funding markets. The notion that funding a portfolio of assets can be more expensive during special calendar periods (quarter ends, year-end etc.) is no surprise, especially after last year’s unprecedented squeeze. However, this year’s story is different, chiefly because of three factors:
- Relatively large and unexpected Euro OverNight Index Average (Eonia) volatility
- Relatively large and unexpected US dollar off-shore funding volatility
- Funding pressure has been short-lived and under control for now but the situation remains particularly fluid on cross-currency markets.
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