Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

Chile's rate curve has bear-flattened as the central bank turned hawkish, pushing the short-end higher, while the long end recovered from extreme levels. We use the opportunity to recommend taking profits on our Chile 2s10s curve flattening trade.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Chile's rate curve has bear-flattened as the central bank turned hawkish, pushing the short-end higher, while the long end recovered from extreme levels. We use the opportunity to recommend taking profits on our Chile 2s10s curve flattening trade.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: Take Profits on Recommendation as Chile’s Curve Bear Flattens

The spread between EM and US 10-year rates continues to widen even though the volatility of US rates has come off the peak. We see this as an opportunity and continue to recommend flatteners in EM as we see the risk premium in the long end as excessive in several countries.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

The spread between EM and US 10-year rates continues to widen even though the volatility of US rates has come off the peak. We see this as an opportunity and continue to recommend flatteners in EM as we see the risk premium in the long end as excessive in several countries.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: EM-US Rates Divergence Persists Despite Falling Volatility

Russia's rate curve is among the flattest in emerging markets currently. The main driver for the flattening has been the central bank front-loading rate hikes to address the surge in inflation. We expect the curve to steepen from the current extreme levels, but it is early to put on a steepener as the curve has historically continued to flatten until the central bank is done raising rates.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Russia's rate curve is among the flattest in emerging markets currently. The main driver for the flattening has been the central bank front-loading rate hikes to address the surge in inflation. We expect the curve to steepen from the current extreme levels, but it is early to put on a steepener as the curve has historically continued to flatten until the central bank is done raising rates.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: Early to Put on a Steepener in Russia

As the correlation of rates in Asia and Latin America touches its lowest level in multiple years, we point out that historically such extremes don't last, implying better performance for LatAm rates ahead.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

As the correlation of rates in Asia and Latin America touches its lowest level in multiple years, we point out that historically such extremes don't last, implying better performance for LatAm rates ahead.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: Regional Correlations Within EM Break Down

In this note, we argue that Israel's curve should continue to steepen on the back of the high fiscal deficit amid a rising debt-to-GDP ratio and low year-to-date bond issuance hurting the long end while the short end should remain anchored.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

In this note, we argue that Israel's curve should continue to steepen on the back of the high fiscal deficit amid a rising debt-to-GDP ratio and low year-to-date bond issuance hurting the long end while the short end should remain anchored.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: Israel’s Curve Should Continue to Steepen

Colombia

A vanila interest rate swap us an agreement between two counterparties to exchange cashflows (fixed vs floating) in the same currency. This agreement is often used by counterparties to change their fixed cashflows to floating or vice versa. The payments are made during the life of the swap in the frequency that is pre-established by the counterparties.

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Rates 10y Dashboard: Take Profits on Recommendation as Chile’s Curve Bear Flattens

We recommend taking profits on our Chile 2s10s curve flattening recommendation as the short end has moved higher with the central bank turning...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: EM-US Rates Divergence Persists Despite Falling Volatility

The spread between EM and US 10-year rates continues to widen even though the volatility of US rates has come off the peak. We see this as an...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Early to Put on a Steepener in Russia

We expect Russia's curve to steepen from the extreme levels, but it is early to put on a steepener as the curve has historically continued to...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Regional Correlations Within EM Break Down

As the correlation of rates in Asia and LatAm touches its lowest level in multiple years, we point out that historically such extremes don't last,...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Israel’s Curve Should Continue to Steepen

We argue that Israel's curve should continue to steepen on the back of the high fiscal deficit amid a rising debt-to-GDP ratio and low YTD bond...

Gautam Jain, PhD, CFA

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