Country Yields via Short Date FX Swaps

Topic: Business Commentary

Comment: Massive squeeze under way in China again. As described last week with buy CNH recommendation, get ready to take your profits below 6.8000.

GBP drops into negative territory as election polls start to show Tory party lead dissolving. GBP remains under pressure. 

 

Country Yield 10 Day Average Yield
China - CNHUSD 43.020 17.202
Turkey - TRYUSD 11.870 11.617
Russia - RUBUSD 8.794 8.648
South Africa - ZARUSD 8.356 7.902
Mexico - MXNUSD 6.678 7.004
New Zealand - NZDUSD 1.675 1.696
Australia - AUDUSD 1.546 1.637
Thailand Baht - THBUSD 1.331 1.369
Poland - PLNUSD 0.919 1.354
USA - USD 0.910 0.910
Israel - ILSUSD 0.910 -0.222
Canada - CADUSD 0.455 0.418
Singapore - SGDUSD 0.315 0.546
Norway - NOKUSD 0.184 0.377
Hong Kong Dollar - HKDUSD 0.050 -0.025
United Kingdom - GBPUSD -0.182 -0.013
Japan - JPYUSD -0.277 -0.281
Romania - RONUSD -0.539 -0.089
Hungary - HUFUSD -0.833 -0.282
Sweden - SEKUSD -1.228 -0.759
Euro Member Countries - EURUSD -1.255 -0.747
Denmark - DKKUSD -1.316 -0.898
Switzerland - CHFUSD -1.629 -1.127
Czech Republic - CZKUSD -2.719 -1.197

 

 

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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