德银-新兴市场-固定收益-南非：降级之前的降级

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1、DeutscheBankMarketsResearchEmergingMarketsEconomicsDateForeignExchange28November2017RatesCreditChristianWietoskaStrategistEMEAFixedIncome(+44)20754-52424christian.wietoska@db.comSouthAfrica-afterthedowngradeisAnkitJainResearchAssociatebeforethedowngrade...(+91)226181

2、-1634ankit.jain@db.comWorstcasescenarioavoided…WhileS&PdowngradedSouthAfrica’sforeignandlocaldebttonon-investmentgradeonFridaylastweek,Moody’splacedbothforeign-andlocal-currencygovernmentbonds“only”onreviewforadowngrade.Inotherwords,Moody’smaintainsitssovereignrating

3、forSouthAfricaatBaa3,whichisonenotchabovenon-investmentgrade.Particularlyofinterestwasthedecisionforthelocaldebtratinggiventhatadowngradetonon-investmentgradewouldhavetriggeredanexclusionintheWGBI.InthisreportweshowwhyapotentialdowngradebyMoody’sisclearlynotoffthetab

4、le,butalleyeswillbeontheupcomingANCconferenceasthenexteventrisk.WealsoprovideaquickupdateonthemostimportantvariablesforSouthAfrica’sfixedincomemarketthatfurtherjustifyourtraderecommendations.Traderecommendations:Keepreceiving2Y2YIRS(entrance:8.35,current:8.18%,targe

5、t:7.50%,stop:8.75%)with9bpof3mroll.OntheIRSremainpositionedintocarry/rolloptimizedsteepenersbest2Y2Yvs10YIRS(entrance:37bp,current:45bp,target:75bp,stop10bp)with4bpof3mcarry/rollRemaincautiousonlocalbondsinthemediumterm,givenourviewthatadowngradebyMoody’shasjustbee

6、npostponed.However,expectsomescopeforanotherrallyinthenear-termgivenhighterm-premium,favourableinflationdynamicsandonceagainamorefavourableexternalbackdrop.Onthecurve,wefavourbondsinthe10-15Ypartgivenhistoricallyhighterm-premium.Bestbonds:R186,R2035.Wetarget9.25%for1

7、0Ybondsbyyear-end(currently:9.35%).________________________________________________________________________________________________________________DeutscheBankAG/LondonDistributedon:28/11/201712:21:03GMTDISCLOSURESANDANALYSTCERTIFICATIONSARELOCATEDINAPPENDIX1.MCI(P)0

8、83/04/2017.0bed7b6cf11c28November2017EMEAFixedIncome:SouthAfrica-afterthedowngradeisbeforethedowngrade...SouthAfrica–afterthedowngr