XCCY Monitor: $-Spreads Compress, £-Yields Surge

Research evidence excerpt

XCCY Monitor: $-Spreads Compress, £-Yields Surge

Deutsche Bank

Research

Europe Credit Strategy Date

18 May 2026

XCCY Monitor

$-Spreads Compress, £-Yields Surge

Cem Keltek

We provide a comprehensive review of relative value in IG-credit across EUR,

European Credit Strategist

USD and GBP. In line with what many market participants consider their go-to +49-69-910-48370

measures when assessing relative value across currencies, we take a look at XCCY

ASW/Z-Spreads, G-spreads1 as well as FX-hedged yields. In both our index and Steve Caprio

Head of European and US Credit Strategy

pair-based approaches, we not only consider absolute spread/yield differences but

+44-20-754-16176

also assess how they compare to their own history via z-scores. Finally, we provide

a list of top XCCY pairs. This summarizes the bond pairs with the highest XCCY Gaurav Chaudhary

pick-up and a positive z-score. Research Associate

EUR/USD: Karthik Nagalingam

US Credit Strategist

n Similar to the initial phase of the conflict, we have seen $IG outperform €IG +1-212-250-0521

outperformance since mid-April – with XCCY ASW differentials also Emilie Calder

mostly driven by a $IG outperformance in G-Spread. That limits $IG's appeal European Credit Strategist

for €-investors, but we show that there are still selective opportunities to +44-207-330-7500

express our $-overweight. Also, and particularly in the long end, FX-hedged

$ exposure has become the most attractive since early '25.

EUR/GBP:

n Despite Gilts taking centre stage in the global rates sell-off, we have not

witnessed a £IG underperformance vs. €IG so far. G-Spread differentials vs.

€IG have stayed in the middle of the ytd range and, while more volatile, £IG/

€IG XCCY ASW differentials also remain rangebound. In the long end, the