德银-全球-投资策略-信用利差与股票从熔化到融化的重新定价

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1、DeutscheBankMarketsResearchGlobalCreditDerivativesDateCreditDerivatives9February2018StrategyCreditSpread&Vol.RepricingasEquitiesGofromMelt-UptoMelt-DownMichalJezekCreditspread&vol.repricingasimpliedvol.ofequityvol.hitsanall-timehighStrategistRecentdayshavein

2、flictedalotofP&Lpainunlikelytobeforgottenanytimesoon.Wereviewthespread&vol.responseinthecreditderivativesspaceasequity+44-20-754-55012vol.spikedinanunprecedentedfashionamidstunwindingofshort-vol.strategies.Thisvolatilityshockhasbeenalearningeventformostmarket

3、participants,likelyshiftingspreadsandtheirvol.toanew,higherregime.Thereismoreriskinthemarketthanmanypreviouslybelieved,especiallyasconfidencehasincreasedthattheproppingofassetpricesbycentralbanksiscomingtoanend.Figure1:Europeancreditspreadsvs.equityvol.Figure

4、2:UScreditspreadsvs.equityvol.CDXIGVIX(S&P500iVol,right)iTraxxMainVSTOXX(EuroStoxx50iVol,right)25050255552355022545215452004019517540175351553515030135301252511525Spread(bp)Spread(bp)95100202075Impliedvolatility(%)7515mpliedvolatility(%)I15553510501015525520

5、1020112012201320142015201620172018201020112012201320142015201620172018Source:DeutscheBank,BloombergFinanceLPSource:DeutscheBank,BloombergFinanceLPFigure3:Europeancreditvol.vs.volatilityofequityvol.Figure4:UScreditvol.vs.volatilityofequityvol.iTraxxMain3mATMi

6、VolVSTOXXiVol(VV2TX,right)CDXIG3mATMiVolVIXiVol(VVIX,right)1001551001851709014090155125808014011070125709560110609580505080Impliedvolatility(%)65mpliedvolatility(%)IImpliedvolatility(%)40mpliedvolatility(%)I654050305030352035201220132014201520162017201820122

7、01320142015201620172018Source:DeutscheBank,BloombergFinanceLPSource:DeutscheBank,BloombergFinanceLPDeutscheBankAG/LondonDistributedon:09/02/201805:33:10GMTDISCLOSURESANDANALYSTCERTIFICATIONSARELOCATEDINAPPENDIX1.MCI(P)083/04/2017.7T2se3r0Ot6kwoPa9February201

8、8CreditDerivativesStrategyImpactofequityvol.shockoncreditspreadlevels&vol.RecentdayshaveinflictedalotofP&Lpainunlikelytobeforgottenanytimesoon.Wereviewthespread&vol.responseinthecreditderivatives