torsdag den 15. november 2007

Carry basket to change?

Full report later or tomorrow, but here is an interesting note on something I gor inspired on from HSBC;

he below is 1 month deposit rates in the different currencies ranked from low yield to high yield. Most G-10 generic carry basket takes three lowest yields versus the three highest, as the below shows, there has been some recent changes, and one likely one pretty soon.

Curr yield

JPY 0.605
CHF 2.075
EUR 4.12

SEK now higher 1 mth deposit than EUR!!!!

SEK 4.22
USD 4.645
CAD 4.65
NOK 5.193

GBP is only one cut away from leaving long basket!!!

GBP 5.875
AUD 6.615
NZD 8.295

Last time EUR was funding currency was funny enough, yes... year 2000, the low of the EUR value. HSBC has shown that being in or out of basket does explain
over- underperformance over time... Rgds Steen

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