Hidden price pressures grow in euro swap market

Users of euro interest rate swaps should expect bid/offer spreads to widen, dealers are warning – a consequence of shrinking liquidity in the markets banks use to hedge, such as the Bund future. Fierce competition and a drive to internalise more flow has shielded clients so far


Clients appear to be getting an increasingly good deal in the euro interest rate swap market, as liquidity drains from the products traditionally used by dealers to hedge themselves – a phenomenon that is driving up risk and cost for the sell side, but has so far hardly touched the bid/offer spreads charged to customers.

The question is how long it will last. Capital pressures were already making it harder for banks to run large swap books before the market for Bund futures – the initial hedge

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here