This paper develops a simple no-arbitrage model of foreign exchange rates and interest rates that can easily be applied to an arbitrary number of foreign currencies. The model has the appealing feature that it reduces to a standard two or three factor model for pricing yields in each currency, yet it can still accommodate a small number of globally priced risk factors. We use the model to analyze the joint dynamics of exchange rates and the term structures of swap rates for the G10 currencies. Using both in- and out-of-sample measures of fit we conclude that there is one priced risk factor in G10 swap rates. We estimate the risk premium for exposure to this single factor and show that a U.S. fixed income investor can roughly double the Sharpe ratio of her portfolio if she is willing/able to invest in any yield in any G10 currency.