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The exchange rates of the currencies of Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey can explain the pricing of these countries’ United States dollar-denominated sovereign bonds, per empirical analysis. The relationship is particularly strong after the global financial crisis of 2008–2009. A two-factor pricing model is developed with closed-form solutions for the sovereign bonds. The correlated factors in the model—foreign exchange rates and United States risk-free interest rates—follow a double square-root process relevant in a low interest rate environment. The numerical results and associated error analysis show that the model credit spreads can broadly track market credit spreads.