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1、DeutscheBankMarketsResearchEmergingMarketsRatesDateGov.Bonds&Swaps2August2017ChristianWietoskaStrategistEMFixedIncome(+44)20754-52424christian.wietoska@db.comWhatthebetastocoreratesaretellingGuilhermeMaroneStrategistus(+1)212250-8640guilherme.marone@d
2、b.comThischartpackprovidesanupdateonsensitivityinEMlocalbondsto10YUSTBetasfor10YEMbondstoUS-treasuriesexperiencedasharpincreaseSwapnilKalbandeposttheUS-electionoutcomeinNov-16.Bylookingintothe90drollingStrategistbetasfortheregions-EMEA,LatAmandAsia-w
3、eseerecordhighlevels(+65)64235925inQ4-16,followedbyasharpdeclineinthefollowingmonths,aslateswapnil.kalbande@db.combetasareslowlygrindinghigheragainacrossallthreeregions.BetastoUSratesaresignificantlyhigherduringbearishperiods.Inparticular,high-yielde
4、rs(SouthAfrica,Mexico,Turkey,Brazil)aremoresensitivetosell-offsinUStreasuries.AlthoughtheDBUS-StrategyteamdoesnotexpectasuddenspikeinUStreasuries,thehouseviewfor10Ytreasurieswith2.50%byend-Q3and2.75%byend-Q4iswellabovetheforwards.Thisincreasestheriskf
5、orEMlocalbondmarketstounderperforminparticularforthosecountrieswithhistoricallyhighsensitivitytoUSratesand/orcurrentshort-termbetaswellbelowLTaveragebetas.Inthischartpackupdate,weevaluatesensitivityofselectiveEMcountriestoUS-treasuries.First,wehighli
6、ghtcountriesprovidinghigh/lowbetastoUSrates.Inaddition,weanalyzeinwhichcountriesthecurrentbetaisalreadywellabove(below)theLTaverage,providingbetter(worse)protectionagainstanyUS-repricing.Why?Wefoundthat90dbetas+/-1stdevbelow/abovetheLTaverage(4.5years
7、)tendtosharplyovershootintheotherdirectionoversubsequentmonths.Hence,wearguethatshort-termbetasvs.long-termbetasmatterinparticularwhentheyreachextremelevels.Countrieswiththehighest/lowestlong-termbetas:Historically,Mexico,Brazil,IsraelandPolandprovid
8、ethehighestbetastoUSrates.Ontheotherhand,betasarelowinIndia,MalaysiaandRomania.Currentbetasrelativetolong-termbetas:AlthoughbetasarenoticeablylowerinAsiancountries,theyarecurrentlysignificantlyclosertotheirpeak(87-percentile)thaninEMEA(67-per
