Country Yields via Short Date FX Swaps

Topic: Business Commentary

Comment: The relationship between AUD and NZD catch my eye today. New Zealand rates are starting to move higher, a little quicker than the Aussie rates. The cross, AUDZ/NZD had been moving higher into the 1.08/1.10 zone recently, the interest gap materialized and the cross appears to have made a turn back lower. Keep an eye on the interest rate market for future direction in this pair.

 

Country Yield 10 Day Average Yield
Turkey - TRYUSD 11.711 11.380
Russia - RUBUSD 7.899 8.222
South Africa - ZARUSD 7.140 7.380
Mexico - MXNUSD 6.900 6.830
New Zealand - NZDUSD 1.993 1.876
Australia - AUDUSD 1.582 1.644
Poland - PLNUSD 1.199 1.208
China - CNHUSD 1.160 1.505
USA - USD 1.160 1.160
Canada - CADUSD 0.962 0.603
Singapore - SGDUSD 0.895 0.546
Norway - NOKUSD 0.334 0.391
Romania - RONUSD 0.231 0.259
Israel - ILSUSD 0.194 -0.131
United Kingdom - GBPUSD 0.025 0.052
Hong Kong Dollar - HKDUSD 0.019 0.033
Hungary - HUFUSD -0.251 -0.331
Japan - JPYUSD -0.480 -0.364
Czech Republic - CZKUSD -0.691 -1.446
Euro Member Countries - EURUSD -0.702 -0.630
Denmark - DKKUSD -0.891 -0.787
Sweden - SEKUSD -0.935 -0.818
Switzerland - CHFUSD -1.114 -1.043
Thailand Baht - THBUSD -4.256 -1.594

 

 

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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