Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

In this note, we discuss the outperformance of India's long-end rates relative to its EM peers amid the global rates correction.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 India's long-end rates relative to its EM peers amid the global rates correction.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: India's Rates Have Outperformed in the Correction

In this note, we look at the relationship of rates with volatility to judge whether the current levels of rates are compensating for the risks.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 relationship of rates with volatility to judge whether the current levels of rates are compensating for the risks.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: Are EM Rates High Enough for the Risk?

In this note, we explore the implications of the recent increase in correlations within emerging markets.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 explore the implications of the recent increase in correlations within emerging markets.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: Correlations Within EM Increase

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 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

Poland

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
Dividend (Yield)	0.00

PLN 10Y (PZSW10 CURNCY)

Rates 10y Dashboard: India's Rates Have Outperformed in the Correction

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

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Are EM Rates High Enough for the Risk?

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we try to address whether the...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Correlations Within EM Increase

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we explore the implications of the...

Gautam Jain, PhD, CFA

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

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)