Swap rates fall on repo liquidity plan

Swap rates have fallen following the Bank of England’s 14 June announcement that it would activate a special liquidity scheme for UK banks.

The new Extended Collateral Term Repo Facility (ECTR) is intended to boost lending and is similar to the recent LTRO scheme put in place by the European Central Bank.

JC Rathbone Associates said  the two-year swap rate fell from 0.92% to 0.69% and the five-year swap from 1.19% to just below 1%.