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: EM 2s5s Slopes Continue to Normalize

US Yield Spike Meeting Targets but More in Store After October Lull

Rates 10y Dashboard: Rising Sensitivity of EM Rates to the US

Rates 10y Dashboard: Higher Real Rates in EM than in DM

Rates 10y Dashboard: Attractive Yield Pick-Up of EM Local Debt over DM

Alpha Bites: A Beta-Neutral 5s10s Flattener in Thailand

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

FX & Rates

<p>Yesterday's downside inflation surprise in the US yesterday led to a rally in US Treasuries. EM rates lagged the move, leading to the EM-US 10y spread rising close to its widest in a decade when adjusted for the beta. The spread has been wider twice before, both of which were during risk-off episodes. This time around, the divergence is unusual as it has not coincided with a period marked by risk aversion, rather the US rates volatility has been falling. We thus continue to find a diversified basket of EM local debt to be a better asset to own than DM rates.</p><p>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.</p>

Yesterday's downside inflation surprise in the US yesterday led to a rally in US Treasuries. EM rates lagged the move, leading to the EM-US 10y spread rising close to its widest in a decade when adjusted for the beta. The spread has been wider twice before, both of which were during risk-off episodes. This time around, the divergence is unusual as it has not coincided with a period marked by risk aversion, rather the US rates volatility has been falling. We thus continue to find a diversified basket of EM local debt to be a better asset to own than DM rates.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: EM-US 10y Spread Close to the Widest in a Decade

US Treasury (10 Yr Generic)

Rates 10y Dashboard: EM-US 10y Spread Close to the Widest in a Decade