All material subject to strictly enforced copyright laws. © 2022 Euromoney Institutional Investor PLC group
Derivatives

Basis Swap Data

Maturity JPY/USD EUR/USD GBP/USD
1 0.5 0.87 0.5
2 2.5 0.25 0.87
3 4.62 0.87 1.25
4 6.12 1.5 1.5
5 8.12 2.25 1.87
6 10 2.25 2.37
7 11.5 2.25 2.75
8 13.25 2.25 3.37
9 14.25 2.25 3.75
10 15.5 2.25 4
15 21 0.25 5.5
20 24.75 1.62 6.25
Source: Prebon Marshall Yamane. Tel: 44 (0) 20 7200 7201 E-Mail: BasisSwaps@prebon.co.uk


We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree