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ID:8223334
大小:899.58 KB
页数:20页
时间:2018-03-10
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1、DeutscheBankMarketsResearchEmergingMarketsRatesDateGov.Bonds&Swaps26January2018ChristianWietoskaStrategistEMFixedIncome(+44)20754-52424christian.wietoska@db.comAssessingterm-premiumacrosslocalGuilhermeMaroneStrategistmarkets-update3.0(+1)212250-8640guilherme.marone@db.comTerm-premiumremainso
2、neofthemostimportantvariablesforfixedincomeinvestors.Inthispublication,weprovideanotherupdateonterm-premiumSwapnilKalbandeacrossEMlocalmarketsandputcurrentlevelsintohistoricalcontext.ThisisStrategistthethirdstandalonepublicationonassessingterm-premiumacrosslocal(+65)64235925marketswiththisap
3、proach.swapnil.kalbande@db.comTheupdateisstructuredasfollows:First,welookattheabsolutelevelofterm-AnkitJainpremiuminthebondandswapcurvesacrossregionsandcountries.WethenResearchAssociateincorporateterm-premiuminthehistoricalcontext(z-scores)andshow:a)the(+91)226181-1634mostattractivemarketsto
4、extend/shortendurationandb)marketswithankit.jain@db.comextremespreadsinterm-premiumbetweenthebondandswapcurves.WealsohighlightcountrieswiththemostextremechangestoourNovemberpublication.Finally,weprovideterm-premiumvaluationrankingsforthebondandswapcurvesbasedonacombinedrankingof:a)absolutean
5、db)relativeterm-premium.Countryviews:Extendduration(term-premiumishigh):AcrossEMlocalbonds,extendingdurationlooksthemostattractiveinChile,SouthAfrica(despiteadeclineinterm-premium)andnowalsoBrazil.Inswaps,itlooksattractiveinBrazil,RomaniaandalsoMexico.Shortendurationinlocalbondslooksnowthe
6、mostattractiveinRomania,HungaryandSouthKorea.Inswaps,ourmodelsseeparticularlyattractivelevelsforHungary,Turkey,SouthAfricaandPeru.Extremespreadinterm-premium:Turkey,SouthAfricaandChilehavesignificantlyhigherterm-premiuminbondsthanswaps.ThecontraryisthecaseforIsrael,IndiaandRomania.Whathasch
7、angedthemostsinceourpreviouspublicationinNovember?Onthebondcurve,term-premiumhassignificantlydeclinedinHungaryandRomaniawhileithasincreasedinRussiaandBrazil.Ontheswapcurve,term-premiumdeclinedthemostinSouthAfricaandHungarywhileitincreasedthemosti
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