FX & Liquidity Brief: as of Thursday 2026-10-22
Education and market context only. Not investment, tax or legal advice. No recommendation to any reader; questions about your own exposure can't be answered.
This week in one line: EUR/USD fell 0.03% week on week to 1.1205; €STR 2.442%; volatility at the top of its 1-year range for CHF and JPY.
1. ECB euro reference rates (units per 1 EUR)
| Currency | Thu level | Change vs prev. Thu | 20d vol | 60d vol | 60d-vol percentile (1y) |
|---|---|---|---|---|---|
| USD | 1.1205 | -0.03% | 5.4% | 4.6% | 10 |
| GBP | 0.8377 | -0.99% | 3.0% | 2.6% | 20 |
| CHF | 0.9211 | -1.01% | 7.6% | 5.2% | 100 |
| CZK | 24.26 | -0.38% | 2.0% | 1.8% | 14 |
| PLN | 4.3695 | -0.01% | 3.0% | 3.3% | 46 |
| SEK | 11.1120 | -0.58% | 3.5% | 3.7% | 10 |
| JPY | 175.97 | -0.62% | 6.2% | 8.4% | 100 |
Volatility: realised, annualised standard deviation of daily log returns of ECB reference rates (own calculation). Implied volatility is not included.
2. Rates and liquidity
| Rate | Level | Change vs prev. Thu |
|---|---|---|
| €STR | 2.442% | +0.2 bp |
| SOFR | 3.900% | +1.0 bp |
| SONIA | 3.734% | +0.2 bp |
SONIA: latest published value (normally Wednesday); the Bank of England publishes each rate the following business day. EUR/GBP forward points combine Thursday's spot rate with that SONIA value. | ECB deposit facility rate | 2.50% | in force since 16 Sep 2026 |
3. Theoretical forward points
Calculated from spot and overnight rates (€STR, SOFR, SONIA) as a proxy for term rates; simple interest parity, no cross-currency basis or bid/ask. Day counts: act/360 for €STR and SOFR, act/365 for SONIA. Tenors: 1m = 30, 3m = 91, 6m = 182, 12m = 365 days. Not market quotes.
| Pair | 1m | 3m | 6m | 12m |
|---|---|---|---|---|
| EUR/USD | +14 | +41 | +82 | +162 |
| EUR/GBP | +9 | +26 | +52 | +103 |
| EUR/CHF | — | — | — | — |
EUR/CHF: spot and volatility only in this version (no CHF rate data).
4. What this means for treasury teams (general)
- The euro weakened against the US dollar week on week (EUR/USD -0.03%): one euro bought fewer dollars than a week earlier.
- EUR/USD: SOFR is above €STR, so theoretical forward points are positive. For a euro-based company, selling USD forward yields fewer euros than spot (a carry cost); buying USD forward costs fewer euros (a carry gain).
- EUR/GBP: SONIA is above €STR, so theoretical forward points are positive. For a euro-based company, selling GBP forward yields fewer euros than spot (a carry cost); buying GBP forward costs fewer euros (a carry gain).
- Realised 60-day volatility of EUR against CHF and JPY is at the top of its 1-year range (percentile ≥90).
- Realised 60-day volatility of EUR against USD and SEK is at the bottom of its 1-year range (percentile ≤10).
- These statements describe mechanics, not a forecast or a recommendation.
5. Central-bank calendar (next 2 weeks)
Window: 23 Oct–5 Nov 2026. Dates only from the logged cal-cb pull (2026-10-19).
| Central bank | Date | Event | Source |
|---|---|---|---|
| ECB | Thu 29 Oct 2026 | ECB Governing Council: monetary policy decision | Source: ECB |
| Fed | Wed 28 Oct 2026 | FOMC: decision (last meeting day; tentative until confirmed) | Source: Federal Reserve Board |
| Riksbank | Wed 4 Nov 2026 | Riksbank: monetary policy decision published | Source: Sveriges Riksbank, 2026-10-19 |
| CNB | Thu 5 Nov 2026 | CNB Bank Board: monetary policy meeting | Source: CNB |
No dates shown (terms of use): BoE: see official calendar, bankofengland.co.uk/monetary-policy/upcoming-mpc-dates; SNB: see official calendar, snb.ch/en/the-snb/mandates-goals/monetary-policy/decisions; NBP: see official calendar, nbp.pl/en/monetary-policy/mpc-meetings-calendar/; BoJ: see official calendar, boj.or.jp/en/mopo/mpmsche_minu/index.htm
6. From the FX Impact Tracker
FY 2025 FX results of large EU-listed companies, grouped by measure: https://www.reengineertreasury.com/fx/tracker/
7. Consistency check
Bundesbank pull vs ECB at the as-of date: matching for USD, GBP, CHF; mismatch: —; missing: —. Checks transmission/parsing only; not an independent source.
Sources and notices
Source: ECB statistics; Source: Deutsche Bundesbank. Volatility and theoretical forward points are calculations by Re-Engineer Treasury, not data published by the ECB.
The SOFR is subject to the Terms of Use posted at newyorkfed.org. The New York Fed is not responsible for publication of the SOFR by Re-Engineer Treasury, does not sanction or endorse any particular republication, and has no liability for your use. The Secured Overnight Financing Rate (SOFR) Data and Broad General Collateral Rate (BGCR) Data are calculated using data provided under a license granted to the New York Fed by DTCC Solutions LLC (“Solutions”), an affiliate of The Depository Trust & Clearing Corporation. Solutions, its affiliates, and third parties from which they obtained data have no liability for the content of this material.
SONIA data licensed under the Open Government Licence v3.0 and copyright the Governor and Company of the Bank of England. The trade marks 'Bank of England' and 'SONIA' are registered trade marks of the Bank of England.
Theoretical forward points are calculations by Re-Engineer Treasury, not market quotes or data provided by the rate administrators.
Data pulls (log)
- fx-ecb/exr: ok, 2026-10-23T13:01:01+00:00 UTC, sha256 7c02bdc613e6
- fx-ecb/estr: ok, 2026-10-23T13:01:02+00:00 UTC, sha256 ded7f477cf1d
- fx-ecb/dfr: ok, 2026-10-23T13:01:02+00:00 UTC, sha256 bf8a70ebee82
- rate-sofr/sofr: ok, 2026-10-23T13:01:05+00:00 UTC, sha256 86908ddef00f
- rate-sonia/sonia: ok, 2026-10-23T13:01:02+00:00 UTC, sha256 92b826e9b5f6
- fx-bbk/bbex3: ok, 2026-10-23T13:01:02+00:00 UTC, sha256 0124839e16a5
- cal-cb/ecb: ok, 2026-10-19T11:24:13+00:00 UTC, sha256 66cbdbbcc0b9
- cal-cb/fed: ok, 2026-10-19T11:24:13+00:00 UTC, sha256 7d70301fe0b3
- cal-cb/riksbank: ok, 2026-10-19T11:24:13+00:00 UTC, sha256 e959f6881b2d
- cal-cb/cnb: ok, 2026-10-19T11:24:14+00:00 UTC, sha256 5f18a8817dbf