CME Group Cross-Currency Basis Watch

Monitor the magnitude of EUR/USD cross-currency basis.

The CME Group Cross-Currency Basis Watch tool utilizes SOFR futures, €STR futures, and quarterly FX futures to calculate the implied cross-currency basis for short-dated periods and forward-starting IMM periods. Utilize this output to understand the exchange rate the market is pricing in compared to what it should be from a theoretical perspective.

*Disclaimer: The data and output from this tool does not constitute investment advice and is not a personal recommendation from CME Group.  Nothing contained herein constitutes the solicitation of the purchase or sale of any futures or options.  Any investment activities undertaken using this tool will be at the sole risk of the relevant investor.  CME Group expressly disclaims all liability for the use or interpretation (whether by visitor or by others) of information contained herein. Decisions based on this information are the sole responsibility of the relevant investor.  Any visitor to this page agrees to hold the CME Group and its affiliates and licensors harmless against any claims for damages arising from any decisions that the visitor makes based on such information. CME Group does not warrant the accuracy or completeness of the information produced by this tool.

Follow component futures contracts

See the futures contracts below for more information about the inputs for the Cross-Currency Basis Watch.

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