Cross-Currency Weekly

XCCY basis spreads traded in tight ranges this week despite heavy issuance, with particular strength in CHF-denominated deals and consolidation in EURUSD and GBPUSD.

Key Takeaways

• 1.The CHF issuance market has been exceptionally active with a wide range of issuers, driving persistent paying interest in both rates and XCCY basis spreads.
• 2.EURUSD XCCY basis spreads are currently consolidating after a significant retracement from previous volatility, with a perceived top around -4bp for the 10Y tenor.
• 3.USDJPY dynamics are heavily focused on the 160 spot intervention level; a selloff in spot is expected to trigger FX buying from importers, driving basis higher.

Table of Contents

• 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