Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

Following the higher-than-expected CPI data in the US, rates volatility has risen which raises the question of whether the flattening trend that had taken hold in the US and EM should persist. In the long run, we still expect curves to flatten, but in the short term, the shape of the curve is likely to be data-driven. As a result, our current trade recommendations, which include a flattener in Colombia and a steepener in Russia, are idiosyncratic.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.

Following the higher-than-expected CPI data in the US, rates volatility has risen which raises the question of whether the flattening trend that had taken hold in the US and EM should persist. In the long run, we still expect curves to flatten, but in the short term, the shape of the curve is likely to be data-driven. As a result, our current trade recommendations, which include a flattener in Colombia and a steepener in Russia, are idiosyncratic.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: Should Curve Flattening Persist with Rising Rates Volatility?

We evaluate where in Asia would it be worthwhile to be long duration under our baseline scenario of US rates volatility staying low for the rest of the summer. To do so, we use carry, potential capital gains, and the correlation with the US as the primary metrics.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.

We evaluate where in Asia would it be worthwhile to be long duration under our baseline scenario of US rates volatility staying low for the rest of the summer. To do so, we use carry, potential capital gains, and the correlation with the US as the primary metrics.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: Where in Asia Is Duration Risk Worthwhile?

US long-end yields may be headed for a summer lull. If so, it could set up a period where EM rates make up for some of their previous underperformance. We identify the countries that stand to benefit if this scenario plays out.Separately, the attached file is a snapshot of the EM currency market in which we seek to identify the leaders and laggards among currencies by comparing the performance of each to its history as well as to other currencies based on their respective betas to an EM currency index.

US long-end yields may be headed for a summer lull. If so, it could set up a period where EM rates make up for some of their previous underperformance. We identify the countries that stand to benefit if this scenario plays out.Separately, the attached file is a snapshot of the EM currency market in which we seek to identify the leaders and laggards among currencies by comparing the performance of each to its history as well as to other currencies based on their respective betas to an EM currency index.

Rates 10y Dashboard: Which Countries Stand to Benefit as EM Rates Volatility Falls?

Poland's central bank held rates steady at the MPC meeting last month while Hungary and Czechia embarked on their tightening cycles. Rates in Poland have thus outperformed its counterparts, weighing on our trade recommendation to Receive Czech 2y vs Pay Poland 2y rate. We maintain the recommendation because we expect rates in Poland to catch up with its neighbors as the economy is rebounding strongly which should lead to persistent inflationary pressures.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.

Poland's central bank held rates steady at the MPC meeting last month while Hungary and Czechia embarked on their tightening cycles. Rates in Poland have thus outperformed its counterparts, weighing on our trade recommendation to Receive Czech 2y vs Pay Poland 2y rate. We maintain the recommendation because we expect rates in Poland to catch up with its neighbors as the economy is rebounding strongly which should lead to persistent inflationary pressures.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: Interest Rates in Poland Diverge from Neighbors

Following the surprise rate hike by Mexico's central bank last week, the rates curve flattened dramatically. We have made the case before that the central bank should raise rates earlier than market expectations and the central bank's hawkish turn supports our recommendation to buy the Mexican peso against the Canadian dollar.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.

Following the surprise rate hike by Mexico's central bank last week, the rates curve flattened dramatically. We have made the case before that the central bank should raise rates earlier than market expectations and the central bank's hawkish turn supports our recommendation to buy the Mexican peso against the Canadian dollar.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: Mexico’s Curve Flattens Following the Rate Hike Surprise

Thailand

A vanilla interest rate swap is 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

THB 10Y (TBSWO10 CURNCY)

Rates 10y Dashboard: Should Curve Flattening Persist with Rising Rates Volatility?

Higher rates volatility raises questions regarding the flattening trend in the US and EM. In the long run, curves should flatten, but in the short...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Where in Asia Is Duration Risk Worthwhile?

We evaluate where in Asia would it be worthwhile to be long duration using carry, potential capital gains, and the correlation with the US as the...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Which Countries Stand to Benefit as EM Rates Volatility Falls?

With US long-end yields likely headed for a summer lull, EM rates could make up for some of their previous underperformance. We identify the...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Interest Rates in Poland Diverge from Neighbors

Despite the rally in Poland's rates on the back of the dovish central bank, we continue to recommend paying Poland 2y rates against receiving Czech...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Mexico’s Curve Flattens Following the Rate Hike Surprise

Last week's hawkish surprise by Mexico's central bank supports our recommendation to buy the Mexican peso against the Canadian dollar.

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)