Cross-Currency Weekly

Risk sentiment turned bearish, driving a wider cross-currency basis across major pairs despite active reverse samurai issuance. Investors are demonstrating a duration-grab behavior, leading to notable flattening in the rates curves.

Key Takeaways

• 1.Bearish risk sentiment drove XCCY basis spreads wider globally.
• 2.Active reverse samurai issuance signals a significant issuance wave for July.
• 3.Ongoing duration grab behavior from DM investors is driving major curve flattening.

Table of Contents

• XCCY
• Commentary
• Notable cross border issuance
• Appendix 1: Government bond Asset Swap levels
• Appendix 2: Issuance Deep Dive – Samurai and Reverse Samurais
• Important Information
• Disclaimer

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