Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

Gautam Jain has over 25 years of experience covering global emerging fixed income and currency markets, both as a strategist and a portfolio manager. He has worked in buy-side and sell-side firms, including The Rohatyn Group (TRG Management), Barclays Capital, and Millennium Partners. He has helped manage emerging markets local-currency and hard-currency debt funds. The assets that he covers include currencies, interest rates, sovereign credits, and related derivatives. He specializes in portfolio construction, smart-beta index creation, and asset allocation. Mr. Jain holds a Ph.D. in Operations Research from Columbia University and is a CFA charter holder.

Rates 10y Dashboard: Identifying Dislocations Among EM Rates as US Rates Sell Off

Alpha Bites: A DV01-Neutral 5s10s Steepener in Brazil

Alpha Bites: Receive Czech 5y Vs Pay Poland 5y Rate

Rates 10y Dashboard: EM 2s5s Slopes Continue to Normalize

Alpha Bites: Performance Summary of Trade Recommendations – September 2021

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

FX & Rates

<p>In this week’s Alpha Bites, we recommend receiving the 5-year rate vs paying the 10-year rate in Czechia. Following the larger-than-expected 75 bp rate hike by the central bank last week, the entire rate curve has moved higher. The sell-off in the 5-year tenor, in particular, seems overdone because if the central bank is expected to continue to be hawkish, then it would be ahead of the curve in bringing inflation within its target band. The risk premium should therefore not be as high further out in the curve. The Czech 5s10s curve is now inverted in contrast with the rest of EM, providing an ideal opportunity to initiate a steepener in our view.</p>

In this week’s Alpha Bites, we recommend receiving the 5-year rate vs paying the 10-year rate in Czechia. Following the larger-than-expected 75 bp rate hike by the central bank last week, the entire rate curve has moved higher. The sell-off in the 5-year tenor, in particular, seems overdone because if the central bank is expected to continue to be hawkish, then it would be ahead of the curve in bringing inflation within its target band. The risk premium should therefore not be as high further out in the curve. The Czech 5s10s curve is now inverted in contrast with the rest of EM, providing an ideal opportunity to initiate a steepener in our view.

Alpha Bites: A DV01-Neutral 5s10s Steepener in Czechia

CZK 5Y

Alpha Bites: A DV01-Neutral 5s10s Steepener in Czechia