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-timehighStrategistRecentdayshaveinflictedalot

2、ofP&Lpainunlikelytobeforgottenanytimesoon.Wereviewthespread&vol.responseinthecreditderivativesspaceasequity+44-20-754-55012vol.spikedinanunprecedentedfashionamidstunwindingofshort-vol.strategies.Thisvolatilityshockhasbeenalearningeventformostmarketparticipants,likelys

3、hiftingspreadsandtheirvol.toanew,higherregime.Thereismoreriskinthemarketthanmanypreviouslybelieved,especiallyasconfidencehasincreasedthattheproppingofassetpricesbycentralbanksiscomingtoanend.Figure1:Europeancreditspreadsvs.equityvol.Figure2:UScreditspreadsvs.equityvol.

4、CDXIGVIX(S&P500iVol,right)iTraxxMainVSTOXX(EuroStoxx50iVol,right)25050255552355022545215452004019517540175351553515030135301252511525Spread(bp)Spread(bp)95100202075Impliedvolatility(%)7515mpliedvolatility(%)I155535105010155255201020112012201320142015201620172018201020

5、112012201320142015201620172018Source:DeutscheBank,BloombergFinanceLPSource:DeutscheBank,BloombergFinanceLPFigure3:Europeancreditvol.vs.volatilityofequityvol.Figure4:UScreditvol.vs.volatilityofequityvol.iTraxxMain3mATMiVolVSTOXXiVol(VV2TX,right)CDXIG3mATMiVolVIXiVol(VV

6、IX,right)1001551001851709014090155125808014011070125709560110609580505080Impliedvolatility(%)65mpliedvolatility(%)IImpliedvolatility(%)40mpliedvolatility(%)I65405030503035203520122013201420152016201720182012201320142015201620172018Source:DeutscheBank,BloombergFinanceL

7、PSource:DeutscheBank,BloombergFinanceLPDeutscheBankAG/LondonDistributedon:09/02/201805:33:10GMTDISCLOSURESANDANALYSTCERTIFICATIONSARELOCATEDINAPPENDIX1.MCI(P)083/04/2017.7T2se3r0Ot6kwoPa9February2018CreditDerivativesStrategyImpactofequityvol.shockoncreditspreadlevels&

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