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USD
Signs of USD demand surrounding year-end turn have shown up in the x-ccy basis space, with the EUR, GBP, JPY & AUD 3-month measures all pulling lower over the last 24 hours as end the end of year period falls into that horizon (based on settlement dates).
- Note that most of the 6-month USD x-ccy basis metrics moved notably lower at the end of June (when the year-end turn was captured), with the pull lower in GBP & JPY mostly consolidated, while the EUR measure has registered fresh lows in recent days.
- AUD 6-month was a little more resilient then, and the 3-month measure hasn’t experienced as sharp of a pull lower vs. EUR, JPY & GBP.
- This year’s move is probably being exacerbated by the rapid rate of Fed tightening observed during ’22, alongside broader economic worry re: a hard landing scenario, which has resulted in a particularly strong year for the greenback when it comes to G10 FX trade.
Fig. 1: EUR/USD, JPY/USD, GBP/USD & AUD/USD X-ccy Basis Swaps
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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