Junior Finance Analyst, Steno Research

Ulrik Simmelholt

Junior Finance Analyst

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Cross Asset Strategy

<ul><li>We’ve received loads of feedback from our clients regarding our Trump versus Biden basket.</li><li>As a result, we will provide a detailed breakdown of both baskets and explain the rationale behind each.</li><li>We are updating the baskets regularly based on the political proposals of the two candidates.</li></ul>

We’ve received loads of feedback from our clients regarding our Trump versus Biden basket.As a result, we will provide a detailed breakdown of both baskets and explain the rationale behind each.We are updating the baskets regularly based on the political proposals of the two candidates.

Equity Watch: The Trump versus Biden Basket

Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

<ul>
<li>In my monthly recap note, I provide a performance update of my trade recommendations in emerging markets FX and rates.</li>
<li>Of the total of 35 trade recommendations made so far, I have recommended closing 25 of which 18 were in the money.</li>
<li>I also update my views on the open trade recommendations and go over the rationale behind those that I closed recently.</li>
</ul>


In my monthly recap note, I provide a performance update of my trade recommendations in emerging markets FX and rates.
Of the total of 35 trade recommendations made so far, I have recommended closing 25 of which 18 were in the money.
I also update my views on the open trade recommendations and go over the rationale behind those that I closed recently.


Alpha Bites: Performance Summary of Trade Recommendations in FX and Rates – March 2022

<ul>
<li>Rates in Mexico have underperformed recently as the central bank delivered another 50 bp hike and the US curve is starting to price an increasing number of rate hikes.</li>
<li>The sell-off in Mexico looks overdone as inflation expectations remain well-anchored and the current pricing of rate hikes implies a real policy rate much higher than in the past.</li>
<li>Hedging the receiving position in Mexico with South Africa makes sense as US rates are vulnerable to a further correction and rates in South Africa have hardly sold off.</li>
</ul>


Rates in Mexico have underperformed recently as the central bank delivered another 50 bp hike and the US curve is starting to price an increasing number of rate hikes.
The sell-off in Mexico looks overdone as inflation expectations remain well-anchored and the current pricing of rate hikes implies a real policy rate much higher than in the past.
Hedging the receiving position in Mexico with South Africa makes sense as US rates are vulnerable to a further correction and rates in South Africa have hardly sold off.


Alpha Bites: Receive Mexico 5y Vs Pay South Africa 5y Local Rate

<ul>
<li>While EM rates on aggregate have moved up as US rates have risen, there is a fair degree of differentiation within EM; e.g., the divergence between India and Mexico.</li>
<li>Rates in India climbed higher following the pro-growth budget, which increased borrowing needs, while yields rallied in Mexico following indications that the country has entered a technical recession.</li>
<li>These idiosyncratic developments accelerated the divergence in rates between the two countries, allowing me to suggest taking profits on my Receive Mexico 5y vs Pay India 5y rate trade recommendation.</li>
</ul>


While EM rates on aggregate have moved up as US rates have risen, there is a fair degree of differentiation within EM; e.g., the divergence between India and Mexico.
Rates in India climbed higher following the pro-growth budget, which increased borrowing needs, while yields rallied in Mexico following indications that the country has entered a technical recession.
These idiosyncratic developments accelerated the divergence in rates between the two countries, allowing me to suggest taking profits on my Receive Mexico 5y vs Pay India 5y rate trade recommendation.


Alpha Bites: Take Profits on Recommendation as Rates Move in Opposite Directions in India and Mexico

<ul>
<li>With rates in India vulnerable to a further correction in the US, I recommend paying India 5y vs receiving Mexico 5y rate in a beta-neutral ratio.</li>
<li>Real rates in India are the lowest among major emerging countries, which along with rising inflation expectations and strong growth should pressure the RBI to raise rates soon.</li>
<li>Mexico is appealing as a receiver against paying in India because the central bank is further along in its monetary tightening cycle as is evident from the high real rates.</li>
</ul>


With rates in India vulnerable to a further correction in the US, I recommend paying India 5y vs receiving Mexico 5y rate in a beta-neutral ratio.
Real rates in India are the lowest among major emerging countries, which along with rising inflation expectations and strong growth should pressure the RBI to raise rates soon.
Mexico is appealing as a receiver against paying in India because the central bank is further along in its monetary tightening cycle as is evident from the high real rates.


Alpha Bites: Pay India 5y Vs Receive Mexico 5y Local Rate

Mexico

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.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
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MXN 5Y (MPSW5E CURNCY)

Equity Watch: The Trump versus Biden Basket

We’ve received loads of feedback from our clients regarding our Trump versus Biden basket. As a result, we will provide a detailed breakdown of...

Steno Research

Alpha Bites: Performance Summary of Trade Recommendations in FX and Rates – March 2022

I provide a performance update of all my trade recommendations along with discussing the open trades. I have closed 25 of the 35 trades recommended...

Gautam Jain, PhD, CFA

Alpha Bites: Receive Mexico 5y Vs Pay South Africa 5y Local Rate

Mexico’s rate curve is overpricing the rate hikes the central bank is likely to deliver, arguing for receiving MXN 5y against South Africa 5y to...

Gautam Jain, PhD, CFA

Alpha Bites: Take Profits on Recommendation as Rates Move in Opposite Directions in India and Mexico

Idiosyncratic developments accelerated the divergence in rates between Mexico and India, allowing me to suggest taking profits on Receive Mexico 5y...

Gautam Jain, PhD, CFA

Alpha Bites: Pay India 5y Vs Receive Mexico 5y Local Rate

With rates in India one of the most vulnerable to a further correction in the US, I recommend paying the 5-year local rate in India vs receiving...

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)