Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

In this note, we look at the sensitivity of EM rates to US rates in the current sell-off at a country level.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 look at the sensitivity of EM rates to US rates in the current sell-off at a country level.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: Sensitivity of EM Rates to Rising US Rates

In this note, we compare and contrast the correction in EM 10y rates in the current reflationary scare with a similar episode in 2013.
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 contrast the correction in EM 10y rates in the current reflationary scare with a similar episode in 2013.
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: Taper Tantrum Vs Current Reflationary Scare – Part 2

In this week’s Alpha Bites, we recommend receiving 10y rates in Hungary versus paying 10y rates in Poland in a DV01-neutral ratio. Hungary has underperformed rates in other EM countries as global rates have adjusted higher and we like to pair it with Poland due to their high correlation to minimize the risk as we are still in the midst of a volatile rates environment.

In this week’s Alpha Bites, we recommend receiving 10y rates in Hungary versus paying 10y rates in Poland in a DV01-neutral ratio. Hungary has underperformed rates in other EM countries as global rates have adjusted higher and we like to pair it with Poland due to their high correlation to minimize the risk as we are still in the midst of a volatile rates environment.

Alpha Bites: Receive Hungary 10y Vs Pay Poland 10y Rates

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 underperformance of long-end rates in Hungary versus other EM countries and see as an opportunity for a relative-value trade.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 underperformance of long-end rates in Hungary versus other EM countries and see as an opportunity for a relative-value trade.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: Hungary’s Lag Looks Overdone

Hungary

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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HUF 10Y (HFSW10 CURNCY)

Rates 10y Dashboard: Sensitivity of EM Rates to Rising US Rates

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we look at the sensitivity at...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Taper Tantrum Vs Current Reflationary Scare – Part 2

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

Gautam Jain, PhD, CFA

Alpha Bites: Receive Hungary 10y Vs Pay Poland 10y Rates

In this week’s Alpha Bites, we recommend receiving 10y rates in Hungary versus paying 10y rates in Poland in a DV01-neutral ratio.

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: Hungary’s Lag Looks Overdone

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we discuss the opportunity arising...

Gautam Jain, PhD, CFA

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