Country Yields via Short Date FX Swaps

Topic: Business Commentary

Comment: Lot's of yield coming out of the currency markets these days, giving Corporate treasurers the ability to better manage their cash balances in the $5 trillion FX marketplace. We at Overlay Capital can help clients capture this yield.  

 

Country Yield 10 Day Average Yield
Turkey - TRYUSD 11.617 11.480
Russia - RUBUSD 8.945 8.591
South Africa - ZARUSD 8.032 7.615
Mexico - MXNUSD 7.263 6.985
China - CNHUSD 3.534 2.472
New Zealand - NZDUSD 1.672 1.668
Australia - AUDUSD 1.631 1.659
Thailand Baht - THBUSD 1.436 1.712
Poland - PLNUSD 1.423 1.405
USA - USD 0.910 0.910
Singapore - SGDUSD 0.520 0.620
Canada - CADUSD 0.455 0.392
Norway - NOKUSD 0.428 0.402
Romania - RONUSD 0.159 -0.072
United Kingdom - GBPUSD 0.072 0.014
Hong Kong Dollar - HKDUSD -0.034 -0.029
Hungary - HUFUSD -0.206 -0.200
Japan - JPYUSD -0.211 -0.324
Israel - ILSUSD -0.219 -0.367
Sweden - SEKUSD -0.623 -0.725
Euro Member Countries - EURUSD -0.640 -0.696
Denmark - DKKUSD -0.798 -0.834
Czech Republic - CZKUSD -0.928 -0.934
Switzerland - CHFUSD -1.017 -1.091

 

 

Creating Yield through Currency Swaps - The world of Overnight Money Markets and the Foreign Exchange Markets are closely related. As interest rates rise and fall, a form of arbitrage opportunity presents itself in the Foreign Exchange Market. This form of Carry Trade creates new price discovery mechanism for the Overnight Money Market that eventually brings equilibrium between the overnight interest rates in domestic money markets and those achieved in the OTC FX swap markets.

 

 

The OTC FX swap market represents the interest rate differential between two countries. By using the FX swap market prices and the federal reserve effective fed funds rate, we are able to generate daily yields for each country. Combining this with our Adaptive Hedging Methodology creates a unique Adaptive Carry strategy. 

Email us for more information about our yield generating Adaptive Carry strategy info@overlaycapital.com

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