Rate differentials and carry
How this is computed
Kresmion computes each differential as the currency's central bank policy rate minus the US or euro-area policy rate, the change in that differential from the month-end policy levels 3 and 12 months back, the currency's spot move against the base from the ECB euro reference rates (crosses via the euro on the same day), 3-month realised volatility as the annualised standard deviation of the last 63 daily log changes, and carry-to-volatility as the differential divided by that volatility.
- Differential = the currency's central bank policy rate minus the Federal Reserve's policy rate, in percentage points. Policy rates are annual rates, so the differential is already annualised. It is a gap between two overnight policy rates, not a deposit or forward rate anyone can earn, and it ignores transaction costs.
- Δ3M and Δ12M = the change in that differential, in basis points, between the month-end policy levels 3 and 12 months before the latest month and the latest level. BIS publishes policy rates a few days late, so a decision this week may not show yet.
- Spot 3M and 1Y = the change in the currency's value measured in the US dollar, from the ECB euro reference rates (a pair without the euro is the ratio of the two euro rates of the same day). Positive = the currency gained.
- 3M vol = the annualised standard deviation of the last 63 daily log changes of the pair (at least 40 needed). Carry/vol = differential divided by 3M vol: how many units of recent volatility the rate gap is. Currencies held to an anchor by policy (HKD, DKK) have tiny volatility, so a small gap gives a large ratio; they are marked.
- A value far outside the rest (one currency with a much larger differential or ratio) is drawn clipped at the chart's edge with its value printed, so it does not flatten every other bar; the table shows it in full.
- A currency without a current policy rate (stale beyond the platform's age limit, or no policy rate) or without an ECB reference rate shows a "not tracked" tag, never a zero.
- Measurements of what happened, not forecasts and not advice.
Carry per unit of volatility, vs the US dollar
differential / 3M realised vol, highest first; hover a bar, click to selectDid wider differentials come with currency gains?
differential vs 1-year spot move against the US dollarOn 29 October 2026, among 31 currencies with a policy rate on record, the widest policy-rate differential against the US dollar was the Turkish lira (TRY) at +33.13 percentage points (37.00% against 3.88%). The highest carry-to-volatility ratio against the dollar, among currencies without a peg, was the Turkish lira at +25.29: a +33.13 point differential over 1.3% annualised 3-month volatility. Against the euro (2.50%), the widest differential was the Turkish lira at +34.50 points.
As of . Sources: BIS central bank policy rates (WS_CBPOL), ECB euro foreign exchange reference rates (EXR). Method and limitations.
Differentials, moves and volatility against the US dollar
31 currencies · policy rates from BIS (latest 29 October 2026) · spot at the ECB reference rates of 29 October 2026 · click a row for its central bank| 1 | TRYTurkish lira | 37.00 | +33.13 | -25 | -350 | -4.90 | -15.84 | 1.3 | +25.29 |
| 2 | HKDHong Kong dollarpeg | 4.25 | +0.38 | 0 | -25 | -0.05 | -0.96 | 0.3 | +1.15 |
| 3 | ISKIcelandic krona | 8.00 | +4.13 | 0 | +50 | +2.70 | +0.93 | 5.8 | +0.71 |
| 4 | RONRomanian leu | 6.50 | +2.63 | -25 | 0 | -4.19 | -9.00 | 5.8 | +0.45 |
| 5 | ZARSouth African rand | 7.25 | +3.38 | 0 | +25 | +0.65 | +2.79 | 7.6 | +0.44 |
| 6 | INRIndian rupee | 5.50 | +1.63 | -25 | -25 | +0.40 | -7.39 | 3.8 | +0.42 |
| 7 | BRLBrazilian real | 13.75 | +9.88 | -75 | -125 | -4.32 | -0.08 | 25.4 | +0.39 |
| 8 | IDRIndonesian rupiah | 5.75 | +1.88 | -25 | +100 | -0.39 | -8.71 | 5.0 | +0.38 |
| 9 | MXNMexican peso | 6.50 | +2.63 | -25 | -100 | -6.79 | -1.61 | 8.4 | +0.31 |
| 10 | PHPPhilippine peso | 5.00 | +1.13 | 0 | 0 | -3.81 | -8.03 | 3.7 | +0.31 |
| 11 | HUFHungarian forint | 5.50 | +1.63 | -100 | -100 | -3.20 | +1.47 | 8.9 | +0.18 |
| 12 | AUDAustralian dollar | 4.60 | +0.72 | 0 | +100 | +1.23 | +6.45 | 6.2 | +0.12 |
| 13 | NOKNorwegian krone | 4.50 | +0.63 | 0 | +50 | +4.11 | +7.75 | 5.7 | +0.11 |
| 14 | PLNPolish zloty | 3.75 | -0.13 | -25 | -100 | -3.68 | -7.66 | 6.7 | -0.02 |
| 15 | CZKCzech koruna | 3.75 | -0.13 | -25 | +25 | -2.78 | -4.34 | 5.3 | -0.02 |
| 16 | GBPPound sterling | 3.75 | -0.13 | -25 | -25 | +0.21 | +0.79 | 4.3 | -0.03 |
| 17 | ILSIsraeli shekel | 3.25 | -0.63 | -75 | -125 | -1.72 | +4.01 | 9.7 | -0.06 |
| 18 | KRWSouth Korean won | 3.00 | -0.88 | +25 | +50 | +8.60 | +6.41 | 8.5 | -0.10 |
| 19 | NZDNew Zealand dollar | 2.75 | -1.13 | +25 | -25 | -2.73 | -2.89 | 7.4 | -0.15 |
| 20 | EUREuro | 2.50 | -1.38 | 0 | +50 | -2.20 | -4.35 | 4.4 | -0.31 |
| 21 | JPYJapanese yen | 1.25 | -2.63 | 0 | +75 | +3.56 | -3.72 | 7.4 | -0.35 |
| 22 | CADCanadian dollar | 2.25 | -1.63 | -25 | 0 | +0.78 | -0.48 | 4.6 | -0.35 |
| 23 | SEKSwedish krona | 1.75 | -2.13 | -25 | 0 | -1.72 | -5.25 | 6.0 | -0.35 |
| 24 | MYRMalaysian ringgit | 2.75 | -1.13 | -25 | 0 | +0.74 | +3.18 | 3.0 | -0.38 |
| 25 | DKKDanish kronepeg | 2.10 | -1.77 | 0 | +50 | -2.18 | -4.42 | 4.4 | -0.41 |
| 26 | THBThai baht | 1.00 | -2.88 | -25 | -50 | -0.67 | -4.33 | 5.0 | -0.57 |
| 27 | CHFSwiss franc | 0.00 | -3.88 | -25 | 0 | -1.03 | -3.77 | 6.0 | -0.65 |
| 28 | CNYChinese yuan renminbi | 3.00 | -0.88 | -25 | 0 | +1.57 | +6.57 | 0.8 | -1.04 |
| CLPCLP | 4.50 | +0.63 | -25 | -25 | not tracked | not tracked | not tracked | -- | |
| COPCOP | 12.25 | +8.38 | +50 | +275 | not tracked | not tracked | not tracked | -- | |
| PENPEN | 4.25 | +0.38 | -25 | 0 | not tracked | not tracked | not tracked | -- |
- 1TRYTurkish lira37.00%Diff pp+33.13Spot 1Y %-15.843M vol %1.3Carry/vol+25.29
- 2HKDHong Kong dollarpeg4.25%Diff pp+0.38Spot 1Y %-0.963M vol %0.3Carry/vol+1.15
- 3ISKIcelandic krona8.00%Diff pp+4.13Spot 1Y %+0.933M vol %5.8Carry/vol+0.71
- 4RONRomanian leu6.50%Diff pp+2.63Spot 1Y %-9.003M vol %5.8Carry/vol+0.45
- 5ZARSouth African rand7.25%Diff pp+3.38Spot 1Y %+2.793M vol %7.6Carry/vol+0.44
- 6INRIndian rupee5.50%Diff pp+1.63Spot 1Y %-7.393M vol %3.8Carry/vol+0.42
- 7BRLBrazilian real13.75%Diff pp+9.88Spot 1Y %-0.083M vol %25.4Carry/vol+0.39
- 8IDRIndonesian rupiah5.75%Diff pp+1.88Spot 1Y %-8.713M vol %5.0Carry/vol+0.38
- 9MXNMexican peso6.50%Diff pp+2.63Spot 1Y %-1.613M vol %8.4Carry/vol+0.31
- 10PHPPhilippine peso5.00%Diff pp+1.13Spot 1Y %-8.033M vol %3.7Carry/vol+0.31
- 11HUFHungarian forint5.50%Diff pp+1.63Spot 1Y %+1.473M vol %8.9Carry/vol+0.18
- 12AUDAustralian dollar4.60%Diff pp+0.72Spot 1Y %+6.453M vol %6.2Carry/vol+0.12
- 13NOKNorwegian krone4.50%Diff pp+0.63Spot 1Y %+7.753M vol %5.7Carry/vol+0.11
- 14PLNPolish zloty3.75%Diff pp-0.13Spot 1Y %-7.663M vol %6.7Carry/vol-0.02
- 15CZKCzech koruna3.75%Diff pp-0.13Spot 1Y %-4.343M vol %5.3Carry/vol-0.02
- 16GBPPound sterling3.75%Diff pp-0.13Spot 1Y %+0.793M vol %4.3Carry/vol-0.03
- 17ILSIsraeli shekel3.25%Diff pp-0.63Spot 1Y %+4.013M vol %9.7Carry/vol-0.06
- 18KRWSouth Korean won3.00%Diff pp-0.88Spot 1Y %+6.413M vol %8.5Carry/vol-0.10
- 19NZDNew Zealand dollar2.75%Diff pp-1.13Spot 1Y %-2.893M vol %7.4Carry/vol-0.15
- 20EUREuro2.50%Diff pp-1.38Spot 1Y %-4.353M vol %4.4Carry/vol-0.31
- 21JPYJapanese yen1.25%Diff pp-2.63Spot 1Y %-3.723M vol %7.4Carry/vol-0.35
- 22CADCanadian dollar2.25%Diff pp-1.63Spot 1Y %-0.483M vol %4.6Carry/vol-0.35
- 23SEKSwedish krona1.75%Diff pp-2.13Spot 1Y %-5.253M vol %6.0Carry/vol-0.35
- 24MYRMalaysian ringgit2.75%Diff pp-1.13Spot 1Y %+3.183M vol %3.0Carry/vol-0.38
- 25DKKDanish kronepeg2.10%Diff pp-1.77Spot 1Y %-4.423M vol %4.4Carry/vol-0.41
- 26THBThai baht1.00%Diff pp-2.88Spot 1Y %-4.333M vol %5.0Carry/vol-0.57
- 27CHFSwiss franc0.00%Diff pp-3.88Spot 1Y %-3.773M vol %6.0Carry/vol-0.65
- 28CNYChinese yuan renminbi3.00%Diff pp-0.88Spot 1Y %+6.573M vol %0.8Carry/vol-1.04
- CLPCLP4.50%Diff pp+0.63Spot 1Y %not tracked3M vol %--Carry/vol--
- COPCOP12.25%Diff pp+8.38Spot 1Y %not tracked3M vol %--Carry/vol--
- PENPEN4.25%Diff pp+0.38Spot 1Y %not tracked3M vol %--Carry/vol--
What is the US dollar policy rate?
BIS central bank policy rates, latest observation 29 October 2026BIS publishes policy rates with a lag of several days. A decision made this week may not show yet, except where a fresher official source is wired (marked in the Source column).
Where are 2-year government yields?
official free series held by Kresmion: US Treasury and euro area onlyNo 2-year yield differential is computed: the US curve is a par-yield constant-maturity curve and the euro-area curve is a fitted zero-coupon curve, so the two are shown side by side and never subtracted. Kresmion holds no official free 2-year government series for the other currencies. 2Y differential for every currency: not tracked
Cite this data
Kresmion computes each differential as the currency's central bank policy rate minus the US or euro-area policy rate, the change in that differential from the month-end policy levels 3 and 12 months back, the currency's spot move against the base from the ECB euro reference rates (crosses via the euro on the same day), 3-month realised volatility as the annualised standard deviation of the last 63 daily log changes, and carry-to-volatility as the differential divided by that volatility.
Upstream: BIS central bank policy rates (WS_CBPOL), ECB euro foreign exchange reference rates (EXR)
Kresmion, "Kresmion FX carry", data as of 2026-10-29, https://kresmion.com/markets/forex/carry. Upstream data: BIS central bank policy rates (WS_CBPOL); ECB euro foreign exchange reference rates (EXR).
Link to this data (HTML):
<a href="https://kresmion.com/markets/forex/carry">Kresmion FX carry (Kresmion)</a>