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Deutsche Bank 1 FX- / XCCY Swap and FRA/OIS Markets An Update ECB MMCG – September, 24 2019 Juergen Sklarczyk

FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

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Page 1: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank 1

FX- / XCCY Swap and FRA/OIS Markets An Update ECB MMCG – September, 24 2019 Juergen Sklarczyk

Page 2: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

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

Page 3: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank

3M USD FX Basis against major currencies Similar trend across currencies

3

Sep 2018 to Sep 2019

Page 4: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank

USD FRA/OIS Basis (3M to 30Y) We have seen a widening due to different reasons

4

Sep 2018 to Sep 2019

Page 5: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank

EUR FRA/OIS Basis (3M to 30Y) Recent widening have recently retreated somewhat

5

Sep 2018 to Sep 2019

Page 6: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank

Appendix

6

Page 7: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

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

Page 8: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank

3M USD FX Basis against major currencies Similar trend across currencies

8

Sep 2017 to Sep 2019

Page 9: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank

USD FRA/OIS Basis (3M to 30Y) We have seen a widening due to different reasons

9

Sep 2017 to Sep 2019

Page 10: FX- / XCCY Swap and FRA/OIS Markets An Update · 2 V Daily eas2 Jan BS VS 3") zy) Basis May 2018 Sep Dec Jan Fim:e up, Feb Mar May 2019 Aug Sep 20-sep-Ž019 Feb Mar 0350201/-2 Sep

Deutsche Bank

EUR FRA/OIS Basis (3M to 30Y) Recent widening have recently retreated somewhat

10

Sep 2017 to Sep 2019

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