新兴市场-固定收益-新兴市场政府债券与掉期交易：问题何在？

Deutsche Bank Markets Research Emerging Markets Rates Gov. Bonds & Swaps Date 22 January 2018 EMEA Fixed Income What's the issue?: 22nd Jan - 28th Jan ________________________________________________________________________________________________________________ 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 Ankit Jain Research Associate (+91) 22 6181-1634 ankit.jain@db.com **This report provides a weekly update on upcoming issuances in EMEA local bond markets. While we provide details on issuances, we also evaluate the attractiveness of bonds on auction based on our DB valuation models. In addition, we incorporate a cross-country analysis on local bonds, summarizing recent auctions as well as explaining the issuance mix/strategy for each country. The report will develop over time, and we are planning to incorporate more EM(EA) countries. For now we cover the following countries: Czech Republic, Egypt, Hungary, Israel, Poland, Romania, Russia, South Africa and Turkey** Monday: Israel will issue four bonds this Monday: three fixed bonds (Jan-21 – ILS 250mn, Nov-22 – 200mn and Mar-27, 250mn) and one I/L bond (May-45 – 150mn). Worth highlighting the high redemptions of ILS 17bn this month (fixed bond on 31st Jan). Given a rolling 6-7bn monthly issuance (4-5bn in fixed bonds), supply/demand dynamics are very favourable at the start of the year. Valuation for fixed bonds: Despite core rate repricing, local bonds have been well supported driven by strong FX, low inflation and robust but not extraordinarily strong growth. We expect further outperformance vs US treasuries over the course of the year, but highlight risks of some near-term weakness, given historically low short-term betas (see here for more). Our trade recommendations are long 5Y5Y ILS vs US swaps and on the local curve hybrid flatteners being long in long-end bonds while short in 2Y ILS. Among bonds on offer this week, Jan-21 is trading a touch too expensive to fair value and we currently see Jan-20 as significantly more attractive. In the belly, Nov-22 is among the least attractive bonds – next to Mar-23) and we prefer Jan-22 or Mar-24. In the long-end Mar-27 is trading 1bp rich vs fair value but remains and is currently a touch less attractive than Oct-26 – our preferred bond in the 8Y-10Y sector Monday: Romania has scheduled one bond auction today (Apr-24 with RON 300mn). Romania cancelled many of the auctions in Q4-17 given lack of demand. The first auction this year (Jun-23 bond) was held with decent demand (bid/cover ratio of 1.7). . Valuation for fixed bonds: Apr-24 is currently among the most attractive bonds on the curve trading cheap vs fair value and also cheap vs the last six months. We find the bond more attractive than Feb-25 or Jul-27 at the moment. Nevertheless Mar-22 remains the most attractive bond on the curve trading 9bp cheap vs