QUANTNOWOPEN THE TAPE

Ratesdailybp

2-year US-euro area differential (unhedged)

The front end of the transatlantic comparison. Two-year yields price the next few meetings on either side, so this is policy divergence with the term premium taken out of it. It is unhedged, and it is not the hedge cost: the hedge cost is this differential plus the cross-currency basis, and the basis is missing. That is the term which moves when dollar funding tightens, so the omission is largest exactly when a reader is looking hardest.

Latest
167.35 bp
As of
1 Oct 2026
Standard deviations
1.74
Percentile
97th percentile

30 days to 4 Oct 2026 · 142.22 bp to 172.08 bp

The archive behind this

This page shows the last 30 days. 2-year US-euro area differential (unhedged) has 5,455 readings in the warehouse, back to 7 Sept 2004. A plan opens the rest of it, with CSV export and the analyst.

See plans

Source

QuantNow Derived Research

Two-year US constant maturity yield less the two-year euro area AAA government spot rate, in basis points, on days both markets traded. The front end of the same comparison, where a Federal Reserve and a Governing Council pricing different paths shows up first. Unhedged, and not a hedge cost.

Informational research only. Nothing here is personalised investment advice.