Cross-Currency Weekly

XCCY basis spreads were mostly subdued this week except for USDJPY, which saw significant tightening following a sharp spot move. Other markets like EURUSD and GBPUSD were influenced by high oil prices and central bank rate expectations.

Key Takeaways

• 1.USDJPY XCCY was the primary focus of the week, driven by sharp spot moves which triggered importer hedging and JGB ASW demand.
• 2.EURUSD basis spreads ended the week broadly unchanged after an initial widening spike caused by rising oil prices and rates sell-offs.
• 3.The GBPUSD market experienced curve steepening and persistent paying in the long end, diverging from the broader currency complex.

Table of Contents

• Week 24 April – 1 May
• XCCY
• Commentary
• Notable cross border issuance
• Appendix 1: Government bond Asset Swap levels
• Important Information
• Disclosures required under the EU Market Abuse Regulation (EU596/2014) in respect of "investment recommendations"
• Disclaimer

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