Macro Analysis: Insight into Europe, Asia and FX

The EU/US 2-Yr Basis Swap Continues to Narrow

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The excitement over this week’s ECB comments has seen the EU/US 2-Year Basis Swap narrow to below 50bps. This was last seen on June 15th, when the EUR/USD was around 1.2700, and on May 7th, when the EUR/USD was above 1.3000.  This tells me that while the inter-bank market is finding comfort in the ECB and EU message, the currency market as reflected by the EUR/USD rate at 1.2370 remains behind the curve.


Written by MacroTack

July 27, 2012 at 12:22 pm

Posted in EUR/USD

Tagged with , ,

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