Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

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

The 10-year tenor of EM rate curves has been pricing in risk premia primarily due to rising fiscal risks, while rates in the 2-year tenor have risen due to rising inflationary risks.  The 5-year tenor has been impacted by both risks and, in general, has cheapened more than the other tenors.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 10-year tenor of EM rate curves has been pricing in risk premia primarily due to rising fiscal risks, while rates in the 2-year tenor have risen due to rising inflationary risks.  The 5-year tenor has been impacted by both risks and, in general, has cheapened more than the other tenors.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: 5-Year Is the Most Attractive Tenor in EM Rate Curves

The correction in Colombia's assets gained momentum following the downgrade by S&amp;P. In the midst of the sell-off, the risk premium in the long end of Colombia’s local rates curve appears excessive compared with the currency.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 correction in Colombia's assets gained momentum following the downgrade by S&amp;P. In the midst of the sell-off, the risk premium in the long end of Colombia’s local rates curve appears excessive compared with the currency.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 Colombia’s Rates Than FX

With US rates staying rangebound of late, we identify the EM countries whose long-end rates should outperform if US rates volatility continues to drop.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.

With US rates staying rangebound of late, we identify the EM countries whose long-end rates should outperform if US rates volatility continues to drop.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: Which EM Countries Stand to Benefit if US Rates Vol Keeps Falling?

Despite rising inflationary risks, the South African Reserve Bank held rates steady as it continues to focus on growth risks for now. We expect short-end rates to rise gradually, which combined with the risk premium in the long end coming off, should result in curve flattening.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.

Despite rising inflationary risks, the South African Reserve Bank held rates steady as it continues to focus on growth risks for now. We expect short-end rates to rise gradually, which combined with the risk premium in the long end coming off, should result in curve flattening.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: South Africa’s Rising Breakeven Inflation

India

Overnight Indexed Swap (OIS) is a fixed/float interest rate swap where the floating leg is computed using a published overnight index rate. The index rate is typically the rate for overnight unsecured lending between banks, for example the Federal funds rate for US dollars, Eonia for Euros or Sonia for sterling

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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

Rates 10y Dashboard: 5-Year Is the Most Attractive Tenor in EM Rate Curves

The 5-year tenor of EM curves has been impacted by both fiscal and inflation risks and, in general, has cheapened more than the other tenors.

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Higher Risk Premium in Colombia’s Rates Than FX

As the correction in Colombia's assets gained momentum following the downgrade by S&P, the risk premium in the long end of Colombia’s local rates...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Which EM Countries Stand to Benefit if US Rates Vol Keeps Falling?

With US rates staying rangebound of late, we identify the EM countries whose long-end rates should outperform if US rates volatility continues to...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: South Africa’s Rising Breakeven Inflation

Given the rising inflation breakeven in South Africa, we expect short-end rates to rise gradually, which combined with the risk premium in the long...

Gautam Jain, PhD, CFA

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