sorry no one has responded yet... so i would think, without looking at the graph, that rate differential is just the 3m swap rate of say AUD (which comes from bond rates) minus the 3m swap rate of USD, the most major currency pair not mentioned up there.. or the minus goes the other way round, too much effort to think abt right now... skewness i would think relates either to the realized skewness, the statistical measure, or the size of the currency's risk reversal (options-speak) of some specific tenor, i'd assume 3m as that's what tenor swap ur looking at... generally ccy pairs with bigger rate diffs have bigger risk reversals (which means more skew) because they represent a carry trade which snaps off when investors become afraid of economic prospects - i.e. audusd moves down more fiercely than it moves up as aud rates are much greater than usd rates due to the quantitative easing programs in the US... however the graph more likely is looking at realized historical skewness because, for example, if it were the risk reversal in the market i'd expect AUD and EUR (for example) to be on the same side of zero... hope that helps
