Country Yields via Short Date FX Swaps

Topic: Business Commentary

 

Country Yield 10 Day Average Yield
Turkey - TRYUSD 11.603 11.525
Mexico - MXNUSD 7.564 8.490
South Africa - ZARUSD 6.985 6.962
Russia - RUBUSD 6.801 6.880
China - CNHUSD 3.260 2.388
New Zealand - NZDUSD 2.036 1.910
Romania - RONUSD 1.619 1.662
Australia - AUDUSD 1.502 1.463
Poland - PLNUSD 1.190 1.342
USA - USD 1.160 1.160
Canada - CADUSD 0.864 0.800
Norway - NOKUSD 0.332 0.282
United Kingdom - GBPUSD 0.280 0.304
Hong Kong Dollar - HKDUSD 0.239 0.840
Hungary - HUFUSD 0.214 -0.091
Israel - ILSUSD 0.174 0.069
Singapore - SGDUSD -0.035 0.532
Japan - JPYUSD -0.189 -0.188
Euro Member Countries - EURUSD -0.624 -0.624
Denmark - DKKUSD -0.699 -0.736
Sweden - SEKUSD -0.749 -0.704
Czech Republic - CZKUSD -0.883 -0.852
Switzerland - CHFUSD -0.961 -1.003
Thailand Baht - THBUSD -1.583 -5.574

 

 

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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