新兴市场-固定收益-本地市场溢价评估-EM Fixed Income Assessing term-premium across local markets-DeutscheBank

Deutsche Bank Markets Research Emerging Markets Rates Gov. Bonds & Swaps Date 17 August 2017 EM Fixed Income Assessing term-premium across local markets ________________________________________________________________________________________________________________Deutsche Bank AG/London DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 083/04/2017. Christian Wietoska Strategist (+44) 20 754-52424 christian.wietoska@db.com Guilherme Marone Strategist (+1) 212 250-8640 guilherme.marone@db.comSwapnil Kalbande Strategist (+65 ) 6423 5925 swapnil.kalbande@db.com Ankit Jain Research Associate (+91) 22 6181-1634 ankit.jain@db.com Term-premium remains one of the most important variables for fixed income investors. In this publication, we provide an update on term-premium across EM local markets and put current levels into historical context. Approach: We define term-premium as a simple measure of excess steepness of the curve proxied by the 5s10s slope adjusted for its directionality with the 2y rate (5s10s slope = alpha + long-term beta* (2Y rate) with alpha = term-premium). Beta is fixed (and stable) over time using data since Jan-2013 (daily data). By using this technical approach instead of including a) inflation expectations, b) demand/supply factors and c) credit risk, we focus on spotting dislocations in term-premium across EM markets rather than explaining the drivers behind current levels. How to read it? We focus on term-premium in historical context (z-score). While absolute levels provide guidance on overall term-premium in each market, the z-score shows the attractiveness of duration trades. In other words, a high z-score implies attractiveness for extending duration, while historical low z-scores for shortening duration. By applying the same approach to IRS curves (XCCY used for Russia, Turkey, Romania and Peru), we can further show dislocations across local bond markets. Local bonds: Our analysis shows that of late, term-premium across all regions has increased, but is more noticeable in LatAm and EMEA. Comparing the current level to pre-taper tantrum levels, we find that term-premium is now on average higher across all three regions while compared to the start of the year it is only higher in EMEA and LatAm but lower in Asia. Overall and despite historically low term-premium in Russia, the average term-premia is close to record-high levels in EMEA and close to the highs YTD in LatAm – driven by Chile – while only close to the long-term average in Asia. Swaps Compared to the bond curves, term-premium is lower across all three regions. However, while it is close to the long-term average in EMEA and LatAm, it is in negative territory for Asia. Extend duration (term-premium is high): In local bonds, Chile, South Africa and Romania in particular, but Hungary and Czech as well provide attractive entrance levels extending duration with z-scores at the highest levels in the last 4 ½ years. On the swap curve, exte