XCCY Weekly 2026 09 04

This is Non-Independent Research, as defined by the Financial Conduct Authority. This material should be regarded as a marketing communication.

Week 28 August – 4 September XCCY ESTR/SOFR SONIA/SOFR TONAR/SOFR AUDUSD Bills/SOFR 3m 0.00 +0.13 3m 2.00 +0.00 3m -15.75 +0.13 3m -6.38 +1.50 1y -1.50 +0.00 1y 2.88 +0.00 1y -19.50 +0.63 1y -3.38 -0.50 1y1y -1.75 +0.00 1y1y 3.13 +0.00 1y1y -23.75 +0.38 1y1y -0.63 -1.00 2y1y -2.75 -0.38 2y1y 2.25 +0.00 2y1y -27.25 +0.13 2y1y 1.00 -0.75 5y -2.38 -0.13 5y 1.75 +0.00 5y -26.63 +0.25 5y 0.13 -0.88 5y5y -4.38 -0.13 5y5y -4.00 -0.25 5y5y -34.63 +1.00 5y5y 4.38 -1.88 20y -1.38 -0.38 20y -9.88 -0.13 20y -31.13 +0.63 20y 3.38 -0.88 30y 4.50 -0.25 30y -17.00 +0.00 30y -31.00 +0.50 30y -3.25 -0.50

Commentary • A relatively muted week in XCCY markets despite the action seen across cross-border issuance and macro markets. Issuance started early this year with mid August already seeing decent volumes and Yankee issuance proving particularly popular, especially among Japanese issuers. On the macro side, the rise in energy prices, the resumption of strikes in the Middle East and weakness in risk assets around midweek did not appear to affect XCCY basis, highlighting how resilient the market has become to broader bouts of volatility. • EURUSD XCCY basis spreads saw very muted price action this week. Yankee issuance did not seem to have much impact on the market. The long end of the curve underperformed and widened, which may be attributable to MMM's triple-tranche EUR issuance. With long-end EURUSD XCCY basis testing its YTD tights, we may see more EUR issuance in the coming weeks. Meanwhile, the persistent tightness in year-end turns should continue to provide support for the front end of the curve from current levels. • GBPUSD XCCY price action was the most muted among the majors. This week was relatively quiet for GBP rates, meaning moves in GBPUSD XCCY were largely driven by spillovers from other markets. On the issuance side, we highlight C's very long-dated GBP deal, although the reaction in XCCY basis appeared muted. As with EURUSD XCCY, tight pricing in this part of the curve could encourage more GBP issuance in the coming weeks. • USDJPY XCCY was better bid this week, with the curve generally shifting in a parallel fashion. Reverse Samurai issuance and a stronger JPY spot rate were likely the main catalysts behind the move, two drivers that could allow the tightening bias to extend further into mid-September. Notable cross border issuance Yankee: Reverse samurai: DEXGRP 4.75 10/09/2029 GBP: MIZUHO Float 14/09/2029 ISDB 4.781 10/09/2031 CM Float 09/09/2031 DBJJP 3.375 09/09/2030 EXMBB 7.75 17/09/2031 UBS 5.697 08/09/2032 SUMIBK 4.2967 10/09/2029 ARIESI Float 20/12/2031 BPCEGP 6.25 08/12/2037 SUMIBK 4.936 10/09/2029 DB 0 18/09/2035 C 0 15/09/2066 SUMIBK 4.4167 10/09/2031 SUMIBK 6.95 PERP Reverse Yankee: EJRAIL 4.117 08/09/2035 MMM 3.5 10/09/2028 NORBK 5.487 09/09/2031 MMM 3.9 10/09/2031 NORBK 5.95 09/09/2036 MMM 4.1 10/09/2034 Source: Bloomberg, as of 04 September 2026

Andra Belcea Head of XCCY Swaps Trading Evelyne Gomez Multi-Asset Strategist Cross-Currency Weekly Mizuho International 1 / 4

Mizuho International | Cross-Currency Weekly

Appendix 1: Government bond Asset Swap levels

ASW to USD 200 bp Germany France Italy Spain UK Japan USTs

-50 Apr-27 Jun-31 Jul-35 Aug-39 Sep-43 Nov-47 Dec-51 Jan-56

bp Germany France Italy Spain UK Japan USTs 170

-30 Apr-27 Oct-32 Apr-38 Sep-43 Mar-49

ASW to JPY 120 bp Germany France Italy Spain UK Japan USTs 100

-60 Apr-27 Jun-31 Jul-35 Aug-39 Sep-43 Nov-47 Dec-51 Jan-56

Source of all charts: Mizuho International, Bloomberg, as of 04 September 2026

Cross-Currency Weekly Mizuho International 2 / 4