Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

The spread between EM and US 10y rates is close to its widest since 2012 on the back of monetary policy tightening and higher fiscal deficits in EM along with rising political risk in some emerging countries. After initially weakening as the EM-US 10y spread widened, EM currencies are no longer tracking EM rates. An environment where a country pursues restrictive monetary policy combined with expansionary fiscal policy, as most emerging countries are currently doing, is generally positive for its currency. As such, we expect the low correlation between EM rates and FX to persist on aggregate.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 10y rates is close to its widest since 2012 on the back of monetary policy tightening and higher fiscal deficits in EM along with rising political risk in some emerging countries. After initially weakening as the EM-US 10y spread widened, EM currencies are no longer tracking EM rates. An environment where a country pursues restrictive monetary policy combined with expansionary fiscal policy, as most emerging countries are currently doing, is generally positive for its currency. As such, we expect the low correlation between EM rates and FX to persist on aggregate.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: Higher Risk Premium in EM Rates Than in EM FX to Persist

In this note, we discuss the low volatility and correlation of China's rates with the sell-off in US Treasuries.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market.

In this note, we discuss the low volatility and correlation of China's rates with the sell-off in US Treasuries.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market.

Rates 10y Dashboard: Limited Impact on China’s Rates of US Sell-Off

In this note, we compare and analyze the performance of EM 10y rates relative to US at country and regional levels.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

In this note, we compare and analyze the performance of EM 10y rates relative to US at country and regional levels.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

Rates 10y Dashboard: EM Rates Outperforming US in the Correction

In this note, we discuss the sharp increase in Mexico's 10y inflation breakeven and its implications for monetary policy.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

In this note, we discuss the sharp increase in Mexico's 10y inflation breakeven and its implications for monetary policy.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

Rates 10y Dashboard: Mexico’s Rising Breakeven Inflation

In this note, we discuss the outperformance of Peru 10y rates relative to other EM and DM rates over the past 3 months.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

In this note, we discuss the outperformance of Peru 10y rates relative to other EM and DM rates over the past 3 months.The attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

Czech Republic

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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CZK 10Y (CKSW10 CURNCY)

Rates 10y Dashboard: Higher Risk Premium in EM Rates Than in EM FX to Persist

After moving together earlier this year, the correlation between EM rates and FX has broken with restrictive monetary policies combined with...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Limited Impact on China’s Rates of US Sell-Off

In this note, we discuss the low volatility and correlation of China's rates with US Treasuries. Attached is our daily Rates 10y Dashboard that...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: EM Rates Outperforming US in the Correction

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we compare the performance of EM...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Mexico’s Rising Breakeven Inflation

Attached is our daily Rates 10y Dashboard that identifies dislocations in EM 10y rates markets. In this note, we discuss the implications of the...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Peru Outperforming

Attached is our daily Rates 10y Dashboard that identifies dislocations in EM 10y rates markets. In this note, we discuss the outperformance of Peru...

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)