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ID:8221747
大小:1.80 MB
页数:15页
时间:2018-03-10
《德意志银行-新兴市场-固定收益-本地市场溢价评估-20170817-em fixed income assessing term-premium across local markets-20170817-deutschebank》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、DeutscheBankMarketsResearchEmergingMarketsRatesDateGov.Bonds&Swaps17August2017ChristianWietoskaStrategistEMFixedIncome(+44)20754-52424christian.wietoska@db.comAssessingterm-premiumacrosslocalGuilhermeMaronemarketsStrategist(+1)212250-8640guilherme.marone@db.comTerm-premi
2、umremainsoneofthemostimportantvariablesforfixedincomeinvestors.Inthispublication,weprovideanupdateonterm-premiumacrossSwapnilKalbandeEMlocalmarketsandputcurrentlevelsintohistoricalcontext.StrategistApproach:Wedefineterm-premiumasasimplemeasureofexcesssteepness(+65)642359
3、25ofthecurveproxiedbythe5s10sslopeadjustedforitsdirectionalitywiththeswapnil.kalbande@db.com2yrate(5s10sslope=alpha+long-termbeta*(2Yrate)withalpha=term-premium).Betaisfixed(andstable)overtimeusingdatasinceJan-2013(dailyAnkitJaindata).Byusingthistechnicalapproachinsteado
4、fincludinga)inflationResearchAssociateexpectations,b)demand/supplyfactorsandc)creditrisk,wefocusonspotting(+91)226181-1634dislocationsinterm-premiumacrossEMmarketsratherthanexplainingtheankit.jain@db.comdriversbehindcurrentlevels.Howtoreadit?Wefocusonterm-premiuminhistor
5、icalcontext(z-score).Whileabsolutelevelsprovideguidanceonoverallterm-premiumineachmarket,thez-scoreshowstheattractivenessofdurationtrades.Inotherwords,ahighz-scoreimpliesattractivenessforextendingduration,whilehistoricallowz-scoresforshorteningduration.Byapplyingthesamea
6、pproachtoIRScurves(XCCYusedforRussia,Turkey,RomaniaandPeru),wecanfurthershowdislocationsacrosslocalbondmarkets.Localbonds:Ouranalysisshowsthatoflate,term-premiumacrossallregionshasincreased,butismorenoticeableinLatAmandEMEA.Comparingthecurrentleveltopre-tapertantrumlevel
7、s,wefindthatterm-premiumisnowonaveragehigheracrossallthreeregionswhilecomparedtothestartoftheyearitisonlyhigherinEMEAandLatAmbutlowerinAsia.Overallanddespitehistoricallylowterm-premiuminRussia,theaverageterm-premiaisclosetorecord-highlevelsinEMEAandclosetothehighsYTDinLa
8、tAm–drivenbyChile–whileonlyclosetothelong-termaverageinAsia.SwapsComparedtothebondcurves,term-premiumis
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