Policy Rate Differentials — 9x9 Matrix
Current and 12-month forward policy rate spreads across all nine central banks
Data generated May 29, 2026
How to read the matrix
Each cell shows the spread row currency minus column currency. Positive values (red) mean the row currency has a higher policy rate; negative (blue) means lower. Cells along the diagonal are zero by construction.
Two matrices are shown:
- Current — today’s spread between official policy rates
- 12-Month Forward — spread between rates projected 12 months from now using the market-implied path from each bank’s overnight index swap and futures probabilities
Interpretation
A persistently large positive spread for a currency pair signals carry-trade flows: investors borrow the lower-yielding currency and invest in the higher-yielding one. Spread changes between the current and forward matrices reveal where the FX-rate-differential narrative is shifting fastest. A pair whose current spread is wide but forward spread narrows materially is likely to face mean-reverting carry pressure as the path is realized.
Methodology
Policy rates are sourced from each central bank’s most recent decision. The 12-month projected rate is derived from the market-implied probability path produced by our probability calculator using the CME-style tree expansion across the next sequence of meetings. The matrix uses the policy rate at month 12 of that path.
Real-rate differentials are presented separately on the real rate differentials page.
Current 9x9 differential matrix
| USD | EUR | GBP | AUD | CAD | JPY | INR | CHF | CNY | |
|---|---|---|---|---|---|---|---|---|---|
| USD | +0.00 | +2.38 | +0.62 | +0.03 | -0.88 | +3.62 | -0.88 | +4.12 | +1.38 |
| EUR | -2.38 | +0.00 | -1.75 | -2.35 | -3.25 | +1.25 | -3.25 | +1.75 | -1.00 |
| GBP | -0.62 | +1.75 | +0.00 | -0.60 | -1.50 | +3.00 | -1.50 | +3.50 | +0.75 |
| AUD | -0.03 | +2.35 | +0.60 | +0.00 | -0.90 | +3.60 | -0.90 | +4.10 | +1.35 |
| CAD | +0.88 | +3.25 | +1.50 | +0.90 | +0.00 | +4.50 | +0.00 | +5.00 | +2.25 |
| JPY | -3.62 | -1.25 | -3.00 | -3.60 | -4.50 | +0.00 | -4.50 | +0.50 | -2.25 |
| INR | +0.88 | +3.25 | +1.50 | +0.90 | +0.00 | +4.50 | +0.00 | +5.00 | +2.25 |
| CHF | -4.12 | -1.75 | -3.50 | -4.10 | -5.00 | -0.50 | -5.00 | +0.00 | -2.75 |
| CNY | -1.38 | +1.00 | -0.75 | -1.35 | -2.25 | +2.25 | -2.25 | +2.75 | +0.00 |
12-Month forward differential matrix
| USD | EUR | GBP | AUD | CAD | JPY | INR | CHF | CNY | |
|---|---|---|---|---|---|---|---|---|---|
| USD | +0.00 | +1.88 | +0.38 | -0.23 | -1.38 | +2.38 | -1.12 | +3.38 | +0.88 |
| EUR | -1.88 | +0.00 | -1.50 | -2.10 | -3.25 | +0.50 | -3.00 | +1.50 | -1.00 |
| GBP | -0.38 | +1.50 | +0.00 | -0.60 | -1.75 | +2.00 | -1.50 | +3.00 | +0.50 |
| AUD | +0.23 | +2.10 | +0.60 | +0.00 | -1.15 | +2.60 | -0.90 | +3.60 | +1.10 |
| CAD | +1.38 | +3.25 | +1.75 | +1.15 | +0.00 | +3.75 | +0.25 | +4.75 | +2.25 |
| JPY | -2.38 | -0.50 | -2.00 | -2.60 | -3.75 | +0.00 | -3.50 | +1.00 | -1.50 |
| INR | +1.12 | +3.00 | +1.50 | +0.90 | -0.25 | +3.50 | +0.00 | +4.50 | +2.00 |
| CHF | -3.38 | -1.50 | -3.00 | -3.60 | -4.75 | -1.00 | -4.50 | +0.00 | -2.50 |
| CNY | -0.88 | +1.00 | -0.50 | -1.10 | -2.25 | +1.50 | -2.00 | +2.50 | +0.00 |