Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

In this note, we look at the relationship of rates with volatility to judge whether the current levels of rates are compensating for the risks.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 look at the relationship of rates with volatility to judge whether the current levels of rates are compensating for the risks.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: Are EM Rates High Enough for the Risk?

In this note, we look at the sensitivity of EM rates to US rates in the current sell-off at a country level.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 look at the sensitivity of EM rates to US rates in the current sell-off at a country level.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: Sensitivity of EM Rates to Rising US Rates

This is the first edition of our trade ideas recap note, which we plan to release monthly to provide a list of outstanding trade recommendations along with any updates on them. We will discuss the performance of trade recommendations and whether any need to be closed.

This is the first edition of our trade ideas recap note, which we plan to release monthly to provide a list of outstanding trade recommendations along with any updates on them. We will discuss the performance of trade recommendations and whether any need to be closed.

In this note, we discuss the underperformance of long-end rates in Hungary versus other EM countries and see as an opportunity for a relative-value trade.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 underperformance of long-end rates in Hungary versus other EM countries and see as an opportunity for a relative-value trade.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: Hungary’s Lag Looks Overdone

In this note, we discuss the implication of the high correlation of US rates volatility with the spread of EM to US 10y rate.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 implication of the high correlation of US rates volatility with the spread of EM to US 10y rate.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: EM Spread to US Function of US Rates Vol

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.

Price Gauge
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ZAR 10Y (SASW10 CURNCY)

Rates 10y Dashboard: Are EM Rates High Enough for the Risk?

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we try to address whether the...

Gautam Jain, PhD, CFA

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

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we look at the sensitivity at...

Gautam Jain, PhD, CFA

Alpha Bites: Monthly Trade Ideas Recap

This is the first edition of our trade ideas recap note, which we plan to release monthly to provide a list of outstanding trade recommendations...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Hungary’s Lag Looks Overdone

Attached is our daily Rates 10y Dashboard that helps identify dislocations in EM 10y rates market. In this note, we discuss the opportunity arising...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: EM Spread to US Function of US Rates Vol

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

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)