Country Yields via Short Date FX Swaps

Topic: Business Commentary

Comment:


Country Yield 10 Day Average Yield
Turkey - TRYUSD 11.846 11.439
Russia - RUBUSD 7.325 7.856
Mexico - MXNUSD 6.881 6.918
South Africa - ZARUSD 6.858 7.123
New Zealand - NZDUSD 1.898 1.964
Australia - AUDUSD 1.432 1.583
Poland - PLNUSD 1.289 1.213
Thailand Baht - THBUSD 1.268 1.070
USA - USD 1.160 1.160
China - CNHUSD 1.160 1.294
Canada - CADUSD 0.731 0.698
Singapore - SGDUSD 0.631 0.615
Israel - ILSUSD 0.265 0.104
Norway - NOKUSD 0.213 0.407
United Kingdom - GBPUSD 0.011 0.018
Romania - RONUSD -0.070 0.184
Hong Kong Dollar - HKDUSD -0.115 -0.030
Japan - JPYUSD -0.225 -0.370
Hungary - HUFUSD -0.236 -0.283
Euro Member Countries - EURUSD -0.634 -0.661
Denmark - DKKUSD -0.886 -0.835
Sweden - SEKUSD -0.941 -0.902
Switzerland - CHFUSD -1.077 -1.092
Czech Republic - CZKUSD -1.276 -1.012

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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