新兴市场-固定收益-评估各地市场的短期保险费3.0版

Deutsche Bank Markets Research Emerging Markets Rates Gov. Bonds & Swaps Date 26 January 2018 EM Fixed Income Assessing term-premium across local markets - update 3.0 ________________________________________________________________________________________________________________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.com Swapnil 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 another update on term-premium across EM local markets and put current levels into historical context. This is the third standalone publication on assessing term-premium across local markets with this approach. The update is structured as follows: First, we look at the absolute level of term-premium in the bond and swap curves across regions and countries. We then incorporate term-premium in the historical context (z-scores) and show: a) the most attractive markets to extend/shorten duration and b) markets with extreme spreads in term-premium between the bond and swap curves. We also highlight countries with the most extreme changes to our November publication. Finally, we provide term-premium valuation rankings for the bond and swap curves based on a combined ranking of: a) absolute and b) relative term-premium. Country views:  Extend duration (term-premium is high): Across EM local bonds, extendingduration looks the most attractive in Chile, South Africa (despite a declinein term-premium) and now also Brazil. In swaps, it looks attractive in Brazil,Romania and also Mexico. Shorten duration in local bonds looks now the most attractive in Romania,Hungary and South Korea. In swaps, our models see particularly attractivelevels for Hungary, Turkey, South Africa and Peru. Extreme spread in term-premium: Turkey, South Africa and Chile havesignificantly higher term-premium in bonds than swaps. The contrary is thecase for Israel, India and Romania.What has changed the most since our previous publication in November?  On the bond curve, term-premium has significantly declined in Hungaryand Romania while it has increased in Russia and Brazil. On the swap curve, term-premium declined the most in South Africa andHungary while it increased the most in Brazil and Thailand.Distributed on: 26/01/2018 08:30:00 GMT7T2se3r0Ot6kwoPaDistributed on: 26/01/2018 06:20:43 GMT26 January 2018 EM Fixed Income: Assessing term-premium across local markets - update 3.0 Page 2 Deutsche Bank AG/London Table Of Contents Assessing term-premium across local markets – the background ..................... 2Absolute levels in term-premium – significant increase in LatAm ...................... 3Relat