Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

<p>In this note, we discuss the lag of CE rates, especially relative to EU rates. The attached file is a snapshot of the 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.</p>

In this note, we discuss the lag of CE rates, especially relative to EU rates. The attached file is a snapshot of the 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.

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: CE Rates Lag

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

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)