XCCY Monitor: Cheap $, Expensive €

Research evidence excerpt

XCCY Monitor: Cheap $, Expensive €

Deutsche Bank

Research

Europe Credit Strategy Date

16 July 2026

XCCY Monitor

Cheap $, Expensive €

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 The war in the Middle East had led to a major bout of $IG outperformance +1-212-250-0521

in G-Spread and XCCY ASW in March. But despite the recent renewed Emilie Calder

escalation and economic fallout to which Europe remains more exposed, European Credit Strategist

€IG has now almost fully reversed its earlier underperformance. With +44-207-330-7500

risks from the Middle East and politics very much skewed towards Europe

in coming months (see Nimble? More dispersion is coming), we continue to

favour $IG into the broad bout of $-weakness that stretched far beyond

hyperscalers. Our conviction is further reinforced by what we expect to be

earnings that continue to favor US corporates (see Q2 Earnings to keep

Fundamental Dispersion alive).

EUR/GBP:

n €IG also outperformed vs. £IG over recent underpinning its strong local