EURUSD Breaks 1.3200, 4-Sigma Rich To Swap-Spreads

Tyler Durden's picture

Presented with little commentary except to note that EURUSD's inexorable rise has pushed it to over 1000pips rich to the USD vs EUR swap-spread fair-value - or over 4 sigma rich from its three-year mean. Of course, critically, the EUR strength / USD weakness is doing wonders for risk assets, even if correlation had dropped a little. Simply remarkable. Meanwhile, Swiss 2Y rates have seen the biggest 2-day drop (safe-haven seeking flows) in 3 months... So Euro is bid and flows are flying into Switzerland? Doesn't exactly sound risk-on eh? 


EURUSD vs EUR-USD swap spread model...

 

and Swiss 2Y plunges by most in 3 months...

 

Chart: Bloomberg