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NEW YORK (Reuters) – A measure of stress in U.S. dollar funding is expected to intensify into the end of first quarter due to a rising supply of Treasury bills and maturing short-term bank debt, Bank of America Merrill Lynch analysts said on Tuesday.
The spread on the three-month London interbank offered rate (LIBOR) and three-month overnight indexed swap rate may widen to 50 basis points before gradually easing in the second quarter. On Tuesday, the spread reached 48.45 basis points, the widest since January 2012, the analysts wrote in a research note.
Reporting by Richard Leong