Term:
Yield pickup
Definition:

A currency hedged strategy where, because of the difference in shape of the yield curves of two currencies, the difference in interest rates between these two currencies is not reflected in forward foreign exchange rates, giving arbitrage opportunities under which bonds of equivalent duration in these currencies can be swapped and the currency exposure hedged.

Domain:
Finance
Source:
World Bank: Glossary of Finance and Debt
arrow-up icon
Feedback