fx- / xccy swap and fra/ois markets an update · 2 v daily eas2 jan bs vs 3") zy) basis may...
TRANSCRIPT
Deutsche Bank 1
FX- / XCCY Swap and FRA/OIS Markets An Update ECB MMCG – September, 24 2019 Juergen Sklarczyk
Deutsche Bank
EUR-USD FX- / XCCY Swap Basis (3M to 10Y) Basis across tenors has trended to more expensive levels in 2019
2
Sep 2018 to Sep 2019
Deutsche Bank
3M USD FX Basis against major currencies Similar trend across currencies
3
Sep 2018 to Sep 2019
Deutsche Bank
USD FRA/OIS Basis (3M to 30Y) We have seen a widening due to different reasons
4
Sep 2018 to Sep 2019
Deutsche Bank
EUR FRA/OIS Basis (3M to 30Y) Recent widening have recently retreated somewhat
5
Sep 2018 to Sep 2019
Deutsche Bank
Appendix
6
Deutsche Bank
EUR-USD FX- / XCCY Swap Basis (3M to 10Y) Basis across tenors has trended to more expensive levels in 2019
7
Sep 2017 to Sep 2019
Deutsche Bank
3M USD FX Basis against major currencies Similar trend across currencies
8
Sep 2017 to Sep 2019
Deutsche Bank
USD FRA/OIS Basis (3M to 30Y) We have seen a widening due to different reasons
9
Sep 2017 to Sep 2019
Deutsche Bank
EUR FRA/OIS Basis (3M to 30Y) Recent widening have recently retreated somewhat
10
Sep 2017 to Sep 2019