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.

Alpha Bites: Trade Ideas Performance Summary – July 2021

Rates 10y Dashboard: Should Curve Flattening Persist with Rising Rates Volatility?

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

Alpha Bites: Long Russian Ruble (RUB) Vs Short South African Rand (ZAR)

Rates 10y Dashboard: Early to Put on a Steepener in Russia

FX Dashboard: Russian Ruble Lagging Oil Rally

Rates 10y Dashboard: Russia’s Rate Curve Flattens Even as EM Steepens

FX & Rates

<p>In this week’s Alpha Bites, we recommend receiving the 2-year rate vs paying the 5-year rate in Russia while keeping a paying bias. Russia’s 2s5s curve slope is currently the flattest among liquid EM countries and the only one that is inverted. The flatness was driven by sharply rising inflation leading to aggressive rate hikes by the central bank. If the central bank delivers the rate hikes of over 100 bp that are priced in, then monetary policy would have switched to tightening from the earlier accommodative stance, which combined with inflation peaking in H2 should lead to curve steepening in our view.</p>

In this week’s Alpha Bites, we recommend receiving the 2-year rate vs paying the 5-year rate in Russia while keeping a paying bias. Russia’s 2s5s curve slope is currently the flattest among liquid EM countries and the only one that is inverted. The flatness was driven by sharply rising inflation leading to aggressive rate hikes by the central bank. If the central bank delivers the rate hikes of over 100 bp that are priced in, then monetary policy would have switched to tightening from the earlier accommodative stance, which combined with inflation peaking in H2 should lead to curve steepening in our view.

Alpha Bites: A 2s5s Steepener in Russia with Paying Bias

RUB 2Y

Alpha Bites: A 2s5s Steepener in Russia with Paying Bias