fx- / xccy swap and fra/ois markets an update · 2 v daily eas2 jan bs vs 3") zy) basis may...
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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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/1.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/2.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/3.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/4.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/5.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/6.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/7.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/8.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/9.jpg)
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](https://reader033.vdocument.in/reader033/viewer/2022043007/5f942923ec5b9906863caabc/html5/thumbnails/10.jpg)
Deutsche Bank
EUR FRA/OIS Basis (3M to 30Y) Recent widening have recently retreated somewhat
10
Sep 2017 to Sep 2019