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

Rates 10y Dashboard: Rally in Peru’s Rates Is Overdone

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

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

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

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

FX & Rates

<p>As rates in the US have started rising again, their correlation with EM rates has reasserted. We compare the current sell-off with the 2013 Taper Tantrum and the one earlier this year, which shows that the sensitivity of EM rates to the US has increased. While the increase in the beta leaves EM rates more vulnerable to a continued rise in the US rates, we are inclined to look for oversold levels in select EM countries to receive long-end rates hedged with payers or initiating flatteners.</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>

As rates in the US have started rising again, their correlation with EM rates has reasserted. We compare the current sell-off with the 2013 Taper Tantrum and the one earlier this year, which shows that the sensitivity of EM rates to the US has increased. While the increase in the beta leaves EM rates more vulnerable to a continued rise in the US rates, we are inclined to look for oversold levels in select EM countries to receive long-end rates hedged with payers or initiating flatteners.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: Rising Sensitivity of EM Rates to the US

US Treasury (10 Yr Generic)

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