Country Yields via Short Date FX Swaps

Topic: Business Commentary

Comment: As you see below, the Chinese authorities have not taken the pedal off the yield accelerator yet. USDCNH has rallied back near 6.80 level this am. China are determined to keep the currency within a relatively tight band over the summer. I expect the rates to calm down and get back below 4% next week. That will give the market a chance to look at other yields for a more sustained dividend type yield, like Turkey, Russia, South Africa and Mexico.

 

Country Yield 10 Day Average Yield
China - CNHUSD 27.470 23.363
Turkey - TRYUSD 11.780 11.691
Russia - RUBUSD 8.884 8.800
South Africa - ZARUSD 7.672 7.963
Mexico - MXNUSD 6.718 6.985
New Zealand - NZDUSD 1.609 1.676
Australia - AUDUSD 1.457 1.604
Poland - PLNUSD 1.317 1.343
USA - USD 0.910 0.910
Thailand Baht - THBUSD 0.855 1.228
Singapore - SGDUSD 0.318 0.503
Norway - NOKUSD 0.287 0.361
Canada - CADUSD 0.154 0.409
United Kingdom - GBPUSD -0.047 -0.016
Hong Kong Dollar - HKDUSD -0.072 -0.018
Romania - RONUSD -0.154 -0.096
Japan - JPYUSD -0.248 -0.284
Israel - ILSUSD -0.354 -0.175
Hungary - HUFUSD -0.393 -0.312
Euro Member Countries - EURUSD -0.755 -0.762
Denmark - DKKUSD -0.907 -0.917
Sweden - SEKUSD -0.914 -0.801
Switzerland - CHFUSD -1.154 -1.149
Czech Republic - CZKUSD -1.521 -1.265

 

 

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

Comments (0)

Post Comment

Enter your information below to receive our market commentaries and the company updates.

* indicates required