Ninety days, five sovereigns.

Ninety days is the tenor every claim in the Tranchco structure carries, so the ninety-day rate in each market is the number that matters. This page lists the latest observation we have verified for each, with the instrument stated plainly: a three-month bill where one is auctioned and published, and the central-bank policy rate where it is the anchor for three-month bills but no comparable daily bill series is published. Rates are refreshed at publication and dated individually.

Bill: the yield on an actual three-month government bill at its most recent published auction or market close. Anchor: the central-bank policy rate, which anchors three-month bill yields in markets where a comparable bill series is not published daily; it is not a bill yield. All figures are nominal, per annum, before fees, withholding and currency effects. The spread between a dollar bill and a local bill is not an investable return; it is the gross carry that currency risk, hedging cost and structure then determine. Refresh schedule: monthly, and on any policy-rate change.

IWhy the spread exists and why it is hard to hold

Short-dated emerging-market sovereign bills sit at the top of each domestic capital structure and are paid in the currency the sovereign prints. The premium over the dollar bill is persistent. What prevents dollar capital from holding it is the currency: conventional forward hedging prices currency risk as a continuous path, while emerging-market currencies hold their range for long periods and then adjust in short steps. The hedge is paid for every day; the move it insures arrives rarely. Tranchco’s structure separates the yield from a defined share of that currency tail, with the tail held by a domestic institution that elects to hold it. How it works.