Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

In this note, we discuss the outperformance of Peru 10y rates relative to other EM and DM rates over the past 3 months.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 Peru 10y rates relative to other EM and DM rates over the past 3 months.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 revisit asset swap spreads in South Africa, which have started tightening amidst a global rates sell-off.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 revisit asset swap spreads in South Africa, which have started tightening amidst a global rates sell-off.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: South Africa Asset Swap Spreads Start Tightening

In this week’s Alpha Bites, we recommend buying the 10y bond in South Africa on a currency-hedged basis and paying 10y interest-rate swap against it. The spread between the bond and the swap has started tightening from historically wide levels, and we expect further normalization.

In this week’s Alpha Bites, we recommend buying the 10y bond in South Africa on a currency-hedged basis and paying 10y interest-rate swap against it. The spread between the bond and the swap has started tightening from historically wide levels, and we expect further normalization.

Alpha Bites: Buy South Africa 10y Bond FX-Hedged Vs Pay 10y IRS

In this note, we discuss our views regarding Mexico's monetary policy decision later today and the long end of the curve.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.

In this note, we discuss our views regarding Mexico's monetary policy decision later today and the long end of the curve.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.

Rates 10y Dashboard: Mexico’s Monetary Policy Decision Today

South Africa

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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ZAR 10Y (SASW10 CURNCY)

Rates 10y Dashboard: Peru Outperforming

Attached is our daily Rates 10y Dashboard that identifies dislocations in EM 10y rates markets. In this note, we discuss the outperformance of Peru...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: South Africa Asset Swap Spreads Start Tightening

Attached is our daily Rates 10y Dashboard that identifies dislocations in EM 10y rates markets. In this note, we revisit asset swap spreads in...

Gautam Jain, PhD, CFA

Alpha Bites: Buy South Africa 10y Bond FX-Hedged Vs Pay 10y IRS

We recommend buying the 10y bond in South Africa on a currency-hedged basis and paying 10y interest-rate swap against it as the spread between the...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Mexico’s Monetary Policy Decision Today

Attached is our daily Rates 10y Dashboard that identifies dislocations in EM 10y rates markets. In this note, we discuss our views regarding...

Gautam Jain, PhD, CFA

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