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MNI Analysis - Convergence Of 1y1y and 5y5y EUR Interest Rate Swaps

MARKET INSIGHT
  • The EUR 1y1y interest rate swap has fallen to 2.7% in recent weeks, in line with its 5y5y counterpart, after trading above the 5y5y since mid-February.
  • It is quite rare for the 1y1y and 5y5y interest rate swaps to converge, when looking at the dynamics since 2000.
  • The following note looks at the recent convergence in the two swaps in current and historical context.
See here for the PDF publication:

240717_EUR_IRS.pdf


Figure: EUR 1y1y vs 5y5y Interest Rate Swap (Since 2000, Monthly)

Sourece: Bloomberg, MNI


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