德银-新兴市场-利率市场-新兴市场本地利率检测-20180307-74页_3mb
报告摘要
EM Local Rates Monitor Summary
Core Content Overview
The EM Local Rates Monitor provides an analysis of economic forecasts, fixed income trade recommendations, and market dynamics across emerging markets (EM), Emerging Europe, Middle East & Africa (EMEA), Latin America (LatAm), and developed countries. It highlights key macroeconomic indicators, trade strategies, and market behavior in EM local bond markets.
Main Economic Forecasts
The following table outlines the key economic forecasts for various regions and countries:
| Region/Country | Real GDP 2017F | Real GDP 2018F | Real GDP 2019F | Inflation 2017F | Inflation 2018F | Inflation 2019F | Current Account 2017F | Current Account 2018F | Current Account 2019F | Fiscal Balance 2017F | Fiscal Balance 2018F | Fiscal Balance 2019F |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Global | 3.8 | 3.9 | ↑ | 3.8 | 2.9 | 3.2 | 3.0 | 0.4 | 0.1 | -0.1 | -3.0 | -2.8 |
| US | 2.3 | 2.9 | ↑ | 2.7 | 2.1 | 2.3 | 2.2 | -2.9 | -3.2 | -3.6 | -3.2 | -2.7 |
| Japan | 1.6 | 1.2 | 0.8 | 0.5 | 0.4 | 0.8 | 4.1 | 4.6 | 4.5 | -3.7 | -3.2 | -2.8 |
| Euroland | 2.5 | 2.3 | 1.7 | 1.5 | 1.4 | 1.5 | 3.3 | 2.7 | 2.1 | -1.1 | -0.9 | -1.0 |
| Germany | 2.2 | 2.3 | 1.8 | 1.7 | 1.6 | 1.7 | 7.2 | 6.5 | 6.5 | 1.2 | 0.8 | 0.5 |
| France | 1.9 | 2.0 | 1.6 | 1.2 | 1.3 | 1.4 | -1.2 | -0.6 | -0.6 | -2.9 | -2.7 | -2.9 |
| Italy | 1.6 | 1.4 | 1.0 | 1.3 | 1.0 | 1.5 | 2.9 | 2.8 | 2.6 | -2.1 | -1.9 | -1.8 |
| Spain | 3.1 | 2.9 | 2.3 | 2.0 | 1.5 | 1.6 | 2.0 | 1.7 | 1.6 | -3.1 | -2.2 | -1.6 |
| Netherlands | 3.0 | 2.5 | 2.4 | 1.3 | 1.6 | 1.9 | 10.2 | 10.2 | 10.1 | 1.1 | 0.5 | 0.4 |
| Belgium | 1.8 | 2.2 | 1.7 | 2.2 | 1.6 | 1.7 | -1.0 | -0.7 | -1.0 | -1.8 | -1.5 | -1.5 |
| Austria | 3.0 | 2.5 | 2.3 | 2.2 | 2.0 | 1.7 | 2.2 | 2.5 | 2.8 | -0.9 | -0.7 | -0.5 |
| Finland | 2.9 | 2.6 | 2.1 | 0.8 | 1.2 | 1.6 | -1.0 | 0.0 | 0.5 | -1.2 | -1.0 | -0.8 |
| Greece | 1.2 | 3.0 | 2.2 | 1.1 | 0.7 | 1.1 | -1.0 | -0.5 | 0.0 | -1.6 | 0.0 | 1.0 |
| Portugal | 2.6 | 2.0 | 1.5 | 1.6 | 1.2 | 1.5 | 0.2 | 0.0 | 0.0 | -1.4 | -1.2 | -1.2 |
| Ireland | 4.1 | 4.0 | 3.2 | 0.3 | 1.0 | 1.2 | 3.8 | 3.5 | 3.0 | 0.1 | 0.1 | -0.4 |
| Other Industrial Countries | 2.2 | 2.0 | ↑ | 2.1 | 2.0 | 2.1 | -1.1 | -0.9 | -0.8 | -1.2 | -0.9 | -0.5 |
| United Kingdom | 1.8 | 1.3 | ↑ | 1.5 | 2.7 | 2.5 | 3.8 | 3.5 | 3.0 | -2.5 | -2.1 | -1.4 |
| Sweden | 3.0 | 2.7 | 2.5 | 1.8 | 2.0 | 2.2 | 5.0 | 4.5 | 4.0 | 1.0 | 1.0 | 0.5 |
| Denmark | 2.0 | 2.0 | 1.9 | 1.1 | 1.6 | 1.6 | 7.5 | 7.5 | 7.0 | -1.0 | -0.5 | -0.5 |
| Norway | 1.9 | 2.2 | 2.0 | 1.9 | 1.9 | 1.8 | 6.0 | 6.0 | 5.5 | 3.5 | 4.0 | 5.0 |
| Switzerland | 0.9 | 2.1 | 1.8 | 0.5 | 0.3 | 0.7 | 10.5 | 10.6 | 11.0 | 0.3 | 0.3 | 0.2 |
| Canada | 3.0 | 2.0 | ↓ | 2.1 | 1.6 | 2.2 | -2.7 | -2.1 | -3.1 | -0.9 | -0.8 | -0.8 |
| Australia | 2.3 | 2.8 | ↑ | 3.4 | 2.0 | 1.9 | -2.0 | -2.7 | -3.1 | -1.8 | -1.5 | -1.5 |
| New Zealand | 2.8 | 3.0 | 2.7 | 1.9 | 2.3 | 2.3 | -3.5 | -3.3 | -3.0 | 0.6 | 1.3 | 2.0 |
| Emerging Europe, Middle East & Africa | 2.8 | 2.9 | 2.9 | 6.8 | 6.7 | 5.9 | -0.8 | -3.8 | -3.4 | -0.1 | -3.0 | -2.9 |
| Egypt | 4.1 | 5.0 | ↑ | 5.5 | 23.3 | 21.2 | -6.3 | -4.7 | -3.2 | -10.9 | -9.5 | -7.7 |
| Hungary | 4.0 | 3.5 | 3.1 | 2.3 | 2.6 | 3.0 | 4.2 | 3.4 | 2.9 | -2.0 | -2.4 | -2.3 |
| Israel | 3.0 | 3.4 | 3.3 | 0.2 | 0.9 | 1.3 | 2.9 | 2.3 | 1.7 | -2.0 | -2.6 | -2.5 |
| Kazakhstan | 3.3 | 2.8 | 2.8 | 7.3 | 6.5 | 5.7 | -5.3 | -3.8 | -2.6 | -6.5 | -2.0 | -1.7 |
| Nigeria | 0.8 | 1.9 | 1.7 | 16.3 | 14.8 | 14.3 | 1.9 | 1.0 | 0.9 | -5.0 | -4.5 | -4.3 |
| Poland | 4.6 | 3.8 | 3.5 | 2.0 | 2.3 | 2.8 | -1.3 | -1.4 | -1.2 | -2.1 | -2.4 | -2.8 |
| Romania | 5.5 | 4.4 | 3.8 | 1.3 | 3.3 | 3.2 | -3.0 | -2.9 | -2.9 | -3.0 | -4.4 | -4.5 |
| Saudi Arabia | 0.1 | 1.1 | 1.6 | -0.2 | 5.0 | 2.0 | 0.6 | 0.4 | 1.2 | -8.6 | -7.2 | -5.0 |
| South Africa | 1.1 | 2.1 | 2.4 | 5.3 | 4.5 | 5.0 | -2.5 | -3.1 | -3.7 | -4.2 | -3.5 | -3.4 |
| Turkey | 7.1 | 4.8 | 4.8 | 11.1 | 10.1 | 10.1 | -5.5 | -5.3 | -4.9 | -1.5 | -2.2 | -2.4 |
| Ukraine | 2.0 | 3.2 | 3.5 | 12.8 | 10.0 | 7.0 | -3.3 | -3.0 | -2.3 | -2.3 | -2.9 | -2.5 |
| United Arab Emirates | 1.3 | 3.4 | 3.2 | 2.1 | 2.9 | 2.3 | 2.1 | 2.1 | 2.1 | -3.7 | -2.2 | -1.1 |
| Asia (ex-Japan) | 6.1 | 6.0 | 6.1 | ↑ | 2.2 | 3.2 | 1.4 | 0.9 | 0.6 | -3.0 | -3.3 | -3.3 |
| China | 6.9 | 6.3 | 6.3 | 1.6 | 2.7 | 2.4 | 1.2 | 0.8 | 0.6 | -3.7 | -4.0 | -4.0 |
| Hong Kong | 3.8 | 2.0 | 1.9 | 1.5 | 3.4 | 2.3 | 5.3 | 7.0 | 8.5 | 8.7 | 2.6 | 2.1 |
| India | 6.3 | 7.5 | 7.8 | 3.3 | 4.8 | 4.4 | -0.4 | -0.2 | -0.3 | -2.4 | -2.0 | -2.3 |
| Indonesia | 5.1 | 5.0 | 4.9 | 3.3 | 4.8 | 4.4 | -1.7 | -1.6 | -2.0 | -2.5 | -2.6 | -2.8 |
| Korea | 3.1 | 2.8 | 2.5 | 1.6 | 2.2 | 1.9 | -0.37 | -0.50 | -1.00 | -0.50 | -0.61 | -0.61 |
| Taiwan | 2.9 | 2.8 | 2.2 | 1.6 | 1.5 | 1.2 | 1.13 | 1.05 | 1.30 | 1.05 | 1.10 | 1.10 |
| Singapore | 3.6 | 3.0 | 2.4 | 2.1 | 2.9 | 2.3 | -0.62 | -0.75 | -1.00 | -0.50 | -0.76 | -0.76 |
Main Trade Recommendations
The following table outlines the fixed income trade recommendations for various EM and LatAm countries:
| Country | Trade Strategy | Initiation Date | Last Action Date | Rationale | Entry Level | Current Target | Stop Level | 7d Change (bp) | YTD Change (bp) |
|---|---|---|---|---|---|---|---|---|---|
| Czech Republic | 1Y fwd 1Y5Y IRS steeper | 26/Jan/18 | 15/Feb/18 | Very attractive carry/roll with low vol, dislocation vs spot | 32 | 36 | 75 | 25 | 37 |
| Czech Republic | 2Y2Y - 5Y5Y IRS steeper | 18/Jan/18 | 22/Feb/18 | Attractive steady-state return characteristics, historically low term-premium and dislocation vs spot | 12 | 20 | 60 | 10 | 22 |
| Hungary | 2Y2Y - 10Y IRS steeper | 12/Feb/18 | 22/Feb/18 | Too aggressive hiking cycle priced while IRS auctions still ongoing / attractive roll and recent underperformance vs other steepers | 56 | 68 | 125 | 50 | 67 |
| Israel | 3Y fwd 1y receiver | 12/Feb/18 | 12/Feb/18 | Too aggressive re-pricing not justified by inflation dynamics and the Bol reaction function, attractive roll | 1.42 | 1.24 | 1.20 | 1.60 | 1.34 |
| Israel | 5Y5Y IRS receiver vs USD | 13/Jan/17 | 22/Feb/18 | Delay in the Bol reaction function in particular compared to the Fed, only very gradual inflation turnaround in Israel | -50 | 19 | 75 | -15 | 11 |
| Israel | 5Y5Y IRS receiver vs HUF | 18/Jan/18 | 22/Feb/18 | Delay in repricing term-premium in Israel, while term-premium too low in HUF / positive roll | -20 | 48 | 90 | -15 | 41 |
| Poland | 1Y fwd 5s10s IRS steeper | 09/Nov/17 | 09/Nov/17 | Attractive steady-state return characteristics, flat curve, cheap hedge against core-rate repricing | 38 | 39 | 75 | 25 | 37 |
| Poland | 2Y2Y IRS receiver | 07/Feb/18 | 06/Mar/18 | Tactical receiver on favorable near-term inflation dynamics and attractive steady-state return characteristics | 3.05 | 2.82 | 2.70 | 2.95 | 2.84 |
| Poland | Long July-27 | 07/Sep/17 | 06/Mar/18 | Still high term-premium, light positioning, favorable supply/demand dynamics post January, best as RV vs. bunds | 3.15 | 3.25 | 3.10 | 3.30 | 3.21 |
| Romania | Long Mar-22 | 18/Jan/18 | 15/Feb/18 | Sharp decline in term-premium in local bonds, interest rate hikes will stabilize inflation expectations, attractive valuation vs peers / expected hiking cycle well priced | 3.84 | 4.01 | 3.40 | 4.20 | 3.92 |
| South Africa | Long R2030 | 18/Feb/18 | 18/Feb/18 | Attractive valuation given high term-premium and favorable inflation dynamics | 9.17 | 8.54 | 8.30 | 9.00 | 8.55 |
| Turkey | 3m fwd 1Y-SYX XCCY steeper | 10/Jan/18 | 01/Mar/18 | Elevated levels in short-end rates in light of upcoming favorable inflation dynamics, supportive monetary policy impulse, attractive roll - unusual for normalization trades | -167 | -113 | -75 | -150 | -119 |
| Brazil | Jan19 | Jul19 | 18/Jan/18 | 18/Jan/18 | Monetary Policy play with high roll (speed of the cycle) | 8.45 | 7.38 | 7.00 | 9.00 |
| Brazil | Jan21 | Jan23 | 18/Jan/18 | 18/Jan/18 | Monetary Policy play (magnitude of the cycle) | 10.90 | 10.28 | 8.50 | 11.50 |
| Brazil | Pay Jan 25 Cupom Cambial | 18/Jan/18 | 18/Jan/18 | Election hedge | 3.60 | 4.21 | 5.00 | 3.00 | 4.32 |
| Chile | Receive 1s2s5s butterfly | 15/Feb/18 | 15/Feb/18 | - | -39 | -37 | -60 | -30 | -39 |
| Chile | 10Y CLP structural breakeven wideners | 18/Jan/18 | 18/Jan/18 | Hedge to activity pick up | 275 | 284 | 310 | 240 | 284 |
| Colombia | Sell Coltes 28s ASWs | 15/Feb/18 | 01/Mar/18 | - | 18 | 40 | 44 | 35 | 31.17 |
| Colombia | IBR1Y1 FRA | 11/Oct/17 | 18/Jan/18 | Monetary Policy play with high roll | 5.00 | 5.16 | 4.50 | 6.00 | 5.04 |
| Colombia | Coltes 20s | 13/Jul/17 | 18/Jan/18 | Same as above in bonds | 5.78 | 5.31 | 5.00 | 5.45 | 5.28 |
| Mexico | Receive Mex Tile 2Y3Y | 22/Feb/18 | 22/Feb/18 | - | 7.60 | 7.51 | 6.00 | 8.00 | 7.54 |
| Mexico | Mex 1Y5Y vs 1Y10Y steeper | 22/Feb/18 | 22/Feb/18 | - | 34 | 35 | 70 | 25 | 34.70 |
| Mexico | Buy MBONO 26 ASW | 15/Feb/18 | 15/Feb/18 | - | -43 | -35 | -70 | -30 | -37 |
| Peru | 1s5s cross currency swaps flattener | 14/Feb/18 | 14/Feb/18 | - | 90 | 80 | 40 | 105 | 82.32 |
| Peru | Buy Soberanos 24s | 22/Feb/18 | 22/Feb/18 | - | 4.02 | 3.99 | 3.50 | 4.25 | 4.04 |
| Korea | Pay 2Y/10Y IRS steeper | 17/Jan/18 | 17/Jan/18 | The front-end is pricing in slightly less than 2x tightening this year. We believe the market will likely price out implied BOK hike to around one time hike at least temporarily. This means, there is a bit more room for the front-end to perform yet | 0.25 | 0.34 | 0.50 | 0.15 | 0.42 |
| Korea | Receive 5Y ND CCS basis | 17/Jan/18 | 17/Jan/18 | Amid prospect of hike and higher global yields, local hedging will likely pick up. Given liquidity conditions, most of paying interest will likely be pronounced at the 5Y point | -0.37 | -0.50 | -1.00 | 0.00 | -0.61 |
| Taiwan | Pay 5Y TWD NDIRS | 17/Jan/18 | 17/Jan/18 | - | 1.13 | 1.05 | 1.30 | 1.05 | 1.10 |
| Singapore | Receive 2Y SGD vs. USD IRS | 05/Jan/18 | 05/Jan/18 | SGD should continue to outperform USD rates well into 2018. S/SGD f/w points will invert further by a combination of soft USD, expectations of MAS tightening, and the Fed on a more aggressive tightening path. f/e SGD rates will thus likely remain well anchored relative to the rise in US rates. Meanwhile, SGD supply is the highest ever this year - both in gross and Dvo1 terms, which would lead to a steeper curve | -0.62 | -0.75 | -1.00 | -0.50 | -0.76 |
| Singapore | Pay 2Y/10Y SGD vs. USD IRS spread | 05/Jan/18 | 05/Jan/18 | - | 0.33 | 0.43 | 0.55 | 0.23 | 0.42 |
Key Market Observations
- EMEA: The market is showing signs of consolidation, with some countries like Czech Republic and Hungary experiencing lower bond swap basis, suggesting better valuation.
- LatAm: Countries such as Brazil, Chile, and Mexico have seen varied market dynamics, with some experiencing a steepening of the yield curve and others showing a flattening trend.
- Carry and Roll: Many EM countries offer attractive carry/roll opportunities, especially in the short-end of the yield curve, due to low volatility and dislocation from spot rates.
- Term Premium: The term premium in several EM countries is still high, offering potential for yield curve trades.
- Inflation Dynamics: Inflation is expected to remain a key driver for yield curve positioning, particularly in countries like Egypt and Turkey.
- Monetary Policy: The impact of monetary policy is significant, especially in countries like Brazil and Colombia, where policy plays are expected to influence the yield curve.
Conclusion
The EM Local Rates Monitor provides a comprehensive view of current and forecasted economic conditions and fixed income trade opportunities across various regions. It highlights the importance of term premiums, inflation expectations, and monetary policy in shaping market dynamics and trade strategies. The recommendations focus on yield curve positioning, cross-currency swaps, and inflation-linked bonds to capitalize on current market conditions.
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