德银-新兴市场-金融市场-新兴市场固定收益：谁最暴露？

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1、DeutscheBankMarketsResearchEmergingMarketsRatesDateGov.Bonds&Swaps16January2018InflationRatesVolatilityChristianWietoskaStrategistEMFixedIncome(+44)20754-52424christian.wietoska@db.comWhoismostexposed?Betastocore-GuilhermeMaroneStrategistrates-update3.0(+1)212250-8640guilherme.marone@db.com

2、Theimportanceofbetastocore-ratesThedevelopmentofUS-treasuriesremainsoneofthemostimportant(external)driversofEMFixedIncomeSwapnilKalbandemarkets.Asshowninpreviouspublicationsonthistopic(seeWhattheStrategistbetastocoreratesaretellingus),thesensitivityofEMFixedIncome(+65)64235925marketstoUS-t

3、reasuriesparticularlyincreasesduringbearishcore-rateswapnil.kalbande@db.commovesand/orinthecaseofsharpincreasesinmarketvolatility.Giventhemarket’sconvergencetoDB’sQ1forecast,theDBratesteamseessomescopeforconsolidation.Nevertheless,theteamkeepsitsbearishbiasforcore-rates.Thehouseviewsees10Y

4、treasuriesat2.95%byyear-end,whichimpliesa40bpsellofffromcurrentlevelsandmoreimportantly,a~25bpoutperformancevs.forwards.Inthisanalysis,weupdatebetasinEMfixedincomemarketstoUSrates.Wehighlightcountriesprovidinghigh/lowbetastoUSrates.Inaddition,weanalyseinwhichcountriesthecurrentbeta(90d)isa

5、lreadywellabove(below)thelong-term(LT)average,providingbetter(worse)protectionagainstanyUS-repricing.Why?Wefoundthat90dbetas+/-1stdevbelow/abovetheLTaveragetendtosharplyovershootintheotherdirectionoversubsequentmonths.Hence,short-termbetasvs.long-termbetasmatterinparticularwhentheyreachextr

6、emelevels.ThisisthethirdstandalonepublicationonEMfixedincomebetastocore-rates.Summaryoffindings:LTbetas:Mexico,BrazilandIsraelprovidethehighestbetastoUS-treasuriesacrossEM.Ontheotherhand,thesensitivityisparticularlylowinRomania,MalaysiaandIndia.Currentbetas:Current90dbetasshowaslightlydif

7、ferentpicturethanlong-termbetas.TheyareparticularlyhighinBrazil–followingtherecentsharpincrease–butalsoinPolandandHungary.BetasareparticularlylowinChileandTurkey.Stretchedlevels:AcrossEMFixedIncome,currentbetasareatextremelyhighlevelscomparedtoLTbetasin