Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

In this note, we look at how the relationship between US and EM rate curve slopes has evolved and its implications.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 how the relationship between US and EM rate curve slopes has evolved and its implications.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: Implications of US Curve Steepening for EM

In this note, we discuss the implication of the high correlation of US rates volatility with the spread of EM to US 10y rate.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 implication of the high correlation of US rates volatility with the spread of EM to US 10y rate.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 Spread to US Function of US Rates Vol

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.

In this note, we revisit asset swap spreads in South Africa, which have started tightening amidst a global rates sell-off.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 revisit asset swap spreads in South Africa, which have started tightening amidst a global rates sell-off.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: South Africa Asset Swap Spreads Start Tightening

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: Implications of US Curve Steepening for EM

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

Gautam Jain, PhD, CFA

Rates 10y Dashboard: EM Spread to US Function of US Rates Vol

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

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

Rates 10y Dashboard: South Africa Asset Swap Spreads Start Tightening

Attached is our daily Rates 10y Dashboard that identifies dislocations in EM 10y rates markets. In this note, we revisit asset swap spreads in...

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)