德银-新兴市场-利率市场-新兴市场利率监测-20180123-72页_4mb

报告摘要

EM Local Rates Monitor Summary

Core Content Overview

The EM Local Rates Monitor provides a comprehensive analysis of emerging market (EM) local rates, including economic forecasts, trade recommendations, market overview, and technical models. It focuses on both EMEA (Europe, Middle East, and Africa) and Latin America (LatAm) markets, highlighting key trends and opportunities in fixed income instruments.

Main Sections and Key Information

1. Key Economic Forecasts

Global Real GDP is expected to remain stable at 3.8% for 2017–2019.
Consumer Prices are projected to increase, with notable inflation rates in countries like Egypt and South Africa.
Current Account is expected to remain negative for most EM countries, with some showing improvement.
Fiscal Balance is generally negative, with a few exceptions like the Czech Republic and Sweden.

2. EM Fixed Income Trade Recommendations

Czech Republic: Steeper 2Y2Y - 5YSY IRS with a focus on steady-state return characteristics.
Hungary: 2Y IRS payer due to inflation pressure and gradual tightening of liquidity conditions.
Israel: Long 3Y forward 1Y rate and 5YSY IRS receiver vs USD and HUF, due to delayed hiking cycles and attractive roll.
Poland: Long July-27 and Receive 2Y2Y IRS, based on favorable inflation dynamics and high term-premium.
Russia: Receive 1Y IRS (vs Mosprime), Long Aug-21 and Long Mar-33, due to expected easing and favorable inflation outlook.
Romania: Long Mar-22, based on declining term-premium and attractive valuation.
South Africa: Receive 2Y2Y IRS and Long R2030, due to favorable inflation dynamics and external support.
Turkey: 3m forward 1Y-5YY XCCY steepener, due to elevated short-end rates and supportive monetary policy.
LatAm: Brazil, Chile, Colombia, Mexico, and Peru have specific trades based on monetary policy plays, election hedges, and favorable inflation dynamics.

3. Market Overview

EMEA: Includes data on bond yields, swap levels, and basis changes for 2Y, 5Y, and 10Y instruments.
LatAm: Similar data for Brazil, Chile, Colombia, Mexico, and Peru, with specific mentions of cross-currency swaps and non-deliverable swaps.
Asia: Includes countries like China, Hong Kong, India, Indonesia, Malaysia, Philippines, Singapore, South Korea, and Taiwan, with yield and basis data.

4. Technical Models

Best Bonds: Identifies the most attractive bonds in EM local markets based on valuation and performance potential.
Best Bond Switches: Recommends switching between different bonds to capitalize on market trends and dislocations.

Key Economic Forecasts by Region

EMEA

Country	Real GDP (%)	Consumer Prices (%)	Current Account (%)	Fiscal Balance (%)
Czech Republic	4.4 / 3.4 / 3.0	2.5 / 2.4 / 2.2	0.6 / 0.4 / 1.0	1.0 / 0.8 / 1.1
Egypt	4.1 / 4.5 / 5.1	23.5 / 22.5 / 12.2	-6.1 / -4.4 / -3.3	-10.9 / -9.1 / -8.8
Hungary	3.9 / 3.5 / 3.1	2.3 / 2.5 / 2.9	4.2 / 3.4 / 2.9	-2.0 / -2.4 / -2.3
Israel	3.0 / 3.4 / 3.3	0.2 / 0.9 / ↑	2.9 / 2.3 / ↓	1.7 / -1.9 / -2.6
Poland	4.5 / 3.8 / 3.5	2.0 / 2.2 / 2.9	-1.3 / -1.4 / -1.2	-2.1 / -2.4 / -2.8
Russia	1.7 / 1.9 / 1.7	3.7 / 2.8 / 4.1	2.9 / 3.5 / 3.5	-2.5 / -1.4 / -0.8
South Africa	1.0 / 2.0 / 2.4	5.3 / 4.6 / 5.0	-2.5 / -3.1 / -3.7	-4.3 / -3.9 / -3.9
Turkey	6.7 / 4.9 / 4.9	11.1 / 10.5 / 9.3	-5.6 / -5.1 / -4.6	-1.5 / -2.1 / -2.3

LatAm

Country	Real GDP (%)	Consumer Prices (%)	Current Account (%)	Fiscal Balance (%)
Brazil	1.1 / 2.6 / 3.2	3.4 / 3.3 / ↑	-0.5 / -1.0 / -1.8	-7.8 / -7.3 / -7.5
Chile	1.6 / 3.4 / 3.0	2.2 / 2.4 / ↑	-1.1 / -1.2 / -1.4	-2.5 / -2.7 / -2.6
Colombia	1.6 / 2.6 / 3.0	4.3 / 3.2 / ↑	-3.6 / -3.5 / -3.5	-3.6 / -3.2 / -2.7
Mexico	2.0 / 2.3 / 2.4	6.0 / 4.7 / ↑	3.8 / -1.5 / -2.2	-2.2 / ↑-1.8 / -2.2
Peru	2.7 / 4.0 / 3.8	↓ / 1.6 / ↓	2.3 / ↓ / -1.4	-1.8 / -1.9 / -3.0

Asia (ex-Japan)

Country	Real GDP (%)	Consumer Prices (%)	Current Account (%)	Fiscal Balance (%)
China	6.9 / 6.3 / 6.3	1.6 / 2.7 / 2.4	1.2 / 0.8 / 0.6	-4.0 / -4.0 / -4.0
Hong Kong	3.8 / 2.0 / 1.9	1.5 / 3.4 / ↓	5.3 / 7.0 / 8.5	8.7 / 2.6 / 2.1
India	6.3 / 7.5 / 7.8	3.3 / 4.8 / ↑	-1.5 / -1.7 / -2.0	-2.5 / -2.7 / -2.7
Indonesia	5.0 / 4.8 / 4.8	3.8 / 3.7 / 3.8	-1.4 / -0.8 / -1.2	-2.5 / -2.7 / -2.7
Korea	3.2 / 2.9 / 2.4	2.0 / 1.9 / 2.3	5.3 / 4.4 / 4.0	0.7 / 0.7 / 0.0
Malaysia	6.0 / 5.7 / 5.0	3.9 / 4.7 / ↑	3.0 / 2.6 / 2.1	-3.0 / -2.8 / -2.9
Philippines	6.5 / 5.7 / 5.5	3.2 / 4.2 / ↑	0.1 / -2.2 / -1.8	-2.5 / -2.7 / -2.4
Singapore	3.5 / 3.0 / 2.4	0.5 / 1.2 / ↑	20.8 / 19.9 / ↓	0.9 / 0.6 / 0.2
Taiwan	2.6 / 2.3 / 1.9	0.6 / 1.5 / ↑	12.4 / 10.2 / 9.7	-0.5 / -0.7 / -0.8
Thailand	3.8 / 4.0 / 3.6	0.7 / 1.6 / ↑	10.3 / 8.2 / ↑	-2.6 / -2.9 / -3.0
Vietnam	6.8 / 6.6 / 6.5	3.5 / 4.7 / ↑	0.7 / 0.4 / ↑	-5.8 / -5.5 / -5.5

Latin America (ex-Venezuela)

Country	Real GDP (%)	Consumer Prices (%)	Current Account (%)	Fiscal Balance (%)
Argentina	3.0 / 3.3 / 3.2	27.5 / 21.9 / ↑	-4.4 / -4.5 / -5.2	-6.2 / -5.2 / -4.5
Brazil	1.1 / 2.6 / 3.2	3.4 / 3.3 / ↑	-0.5 / -1.0 / -1.8	-7.8 / -7.3 / -7.5
Chile	1.6 / 3.4 / 3.0	2.2 / 2.4 / ↑	-1.1 / -1.2 / -1.4	-2.5 / -2.7 / -2.6
Colombia	1.6 / 2.6 / 3.0	4.3 / 3.2 / ↑	-3.6 / -3.5 / -3.5	-3.6 / -3.2 / -2.7
Mexico	2.0 / 2.3 / 2.4	6.0 / 4.7 / ↑	3.8 / -1.5 / -2.2	-2.2 / ↑-1.8 / -2.2
Peru	2.7 / 4.0 / 3.8	↓ / 1.6 / ↓	2.3 / ↓ / -1.4	-1.8 / -1.9 / -3.0

G7 and Other Regions

Region	Real GDP (%)	Consumer Prices (%)	Current Account (%)	Fiscal Balance (%)
G7	2.1 / 2.1 / 1.8	1.7 / 1.7 / 1.8	-0.4 / -0.6 / -0.5	-2.8 / -2.3 / ↓-2.4
Advance Economies	2.2 / 2.2 / 1.9	1.7 / 1.7 / 1.8	0.1 / -0.1 / -0.3	-2.4 / -2.0 / ↓-2.1
Emerging Markets	4.9 / 4.9 / 5.0	3.8 / 4.3 / 3.8	0.6 / 0.3 / ↓0.1	-3.6 / -3.4 / ↑-3.4
BRICs	5.7 / 5.8 / 5.9	2.4 / 3.3 / 3.2	0.5 / 0.7 / 0.0	-4.0 / -4.0 / -4.0

Trade Recommendations

EMEA

Czech Republic: 2Y2Y - 5YSY IRS steepener
Hungary: 2Y IRS payer
Israel: Be long 3Y fwd 1y rate, 5YSY IRS receiver vs USD, 5YSY IRS receiver vs HUF, Long '27s vs 2Y payers
Poland: 1Y fwd Ss10s IRS steepener, Long July-27, Receive 2Y2Y IRS
Romania: Long Mar-22
Russia: Receive 1Y IRS (vs Mosprime), Long Aug-21, Long Mar-33
South Africa: Receive 2Y2Y IRS, Long R2030
Turkey: 3m fwd 1Y-5YY XCCY steepener

LatAm

Brazil: Jan19/Jul19, Jan21/Jan23, Pay Jan 25 Cupom Cambial
Chile: 2Y1Y FRA, 10Y CLP structural breakeven wideners
Colombia: IBR1Y1Y FRA, Coltes 20s
Mexico: Receive TIE 3Y3Y
Peru: 5Y cross-currency swap, Buy Soberanos 28s

Asia

Korea: Pay 2Y/10Y IRS steepener, Receive 5Y ND CCS basis
Taiwan: Pay 5Y TWD NDIRS

Market Trends and Price Action

10Y bond yields and 2s10s swap slopes show varying trends across regions.
FX vs USD movements are noted for certain countries, indicating potential for cross-currency swaps and non-deliverable swaps.
Price action since key events like Sintra and the US election is highlighted for 10Y bonds, FX, and swap slopes.

Notes and Additional Information

↑↓ indicates increase or decrease in levels compared to previous publications.
Memorandum Lines clarify that aggregates are PPP-weighted.
Non-deliverable swaps and cross-currency swaps are used in specific markets for hedging and yield capture.
Recent publications include updates on EM Local Rates, EM Fixed Income, and EMEA Fixed Income, emphasizing exposure and beta analysis.

Summary

The EM Local Rates Monitor provides detailed insights into EM economic forecasts, trade recommendations, and market trends. Key highlights include:

Economic forecasts for real GDP, inflation, current account, and fiscal balance.
Trade recommendations for EMEA, LatAm, and Asia, focusing on interest rate swaps, cross-currency swaps, and bond positions.
Market data for bond yields, swap levels, and basis changes across 2Y, 5Y, and 10Y instruments.
Price action and trends since major events like the US election and Sintra.
Notes on valuation, term-premium, and external market influences.

This document is a valuable tool for investors and traders looking to capitalize on EM fixed income opportunities based on current economic conditions and market dynamics.

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