💱G10FX Returns Partially Explained By Yields

• When measuring G10FX returns using the BIS REER series, we found the dollar outperforming peers YTD. The USD was followed by the British pound and Canadian dollar

• The U.S. 5-year advanced a 228 basis points this year, Japanese yields have risen only 4bps in the same period, this is reflected in exchange rates as JPY REER bottoms the G10FX ranking

• AUD and CAD 5-year yields have both rallied above 200bps YTD, the GBP equivalent has increased only 130bps. Despite this, the difference in REER ranking is not as wide between AUD and GBP or CAD and GBP. This means that yield returns alone can't explain FX performance in 2022