FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018...

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Deutsche Bank 1 FRA / OIS Basis An Update ECB MMCG – 7 June 2018 Juergen Sklarczyk

Transcript of FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018...

Page 1: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

Deutsche Bank1

FRA / OIS BasisAn Update

ECB MMCG – 7 June 2018Juergen Sklarczyk

Page 2: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

Deutsche Bank

USD FRA / OIS Basis (3M to 10Y)Increased volatility since Q4 2015

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Page 3: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

Deutsche Bank

USD FRA / OIS Basis (3M to 10Y)Significant basis widening since December 2017, especially short end

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Page 4: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

Deutsche Bank

EUR FRA / OIS Basis (3M to 10Y)Tightening trend for years, followed by a range-bound low levels

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Page 5: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

Deutsche Bank

EUR FRA / OIS Basis (3M to 10Y)Basis tightening due to increased uncertainty in the Eurozone

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Page 6: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

Deutsche Bank

3M USD vs other Currencies FX Basis.....

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Page 7: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

Deutsche Bank

EUR / USD FX Basis (3M to 10Y).....

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Page 8: FRA / OIS Basis · Jan Mar 1 YR) us-d fra May Jun 2016 -04 Jan Mar May Jun 2017 Jan Mar 2018 06-Jun-2018 09:18:29 US8G1 curncy (USD BASIS SWAP FFv3 01s 3m basis Daily OlJAN2016 Copynght©

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EUR-USD 3M FX-OIS Basis.....

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