XCCY Monitor: FX-hedged $ Pick Up Surges

Research evidence excerpt

XCCY Monitor: FX-hedged $ Pick Up Surges

Deutsche Bank

Research

Europe Credit Strategy Date

16 June 2026

XCCY Monitor

FX-hedged $ Pick Up Surges

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 Fluctuations in G-Spread differentials continue to drive €IG/$IG XCCY ASW +1-212-250-0521

differentials. While off the lows reached about two weeks ago, the XCCY Emilie Calder

ASW pick up in $IG for €-investors remains lower than it has been for most European Credit Strategist

of the last two years. 7y+ still shows ~10bps of pick up for €-investors. What +44-207-330-7500

has continued to surge across the curve is FX-hedged $-yields which have

now reached their highest levels since early 2025. That is mostly thanks to

(relatively) more hawkish ECB pricing and a continued decline in FX

hedging costs from the €-perspective. We recommend looking for $-bonds

with attractive XCCY pick-up in 7y+ and make use of cheap FX-hedges.

EUR/GBP:

n Similar to the backdrop in $IG/€IG, £IG/€IG XCCY ASW differentials remain

relatively low.