Country Yields via Short Date FX Swaps
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
