德银-新兴市场-利率市场-新兴市场当地利率监测-20171025-Deutsche_Bank-EM_Local_Rates_Monitor_69页_4mb

EM Local Rates Monitor Summary

Core Content

The EM Local Rates Monitor document provides a comprehensive analysis of economic forecasts, fixed income trade recommendations, and market data for Emerging Markets (EM), Emerging Europe, Middle East & Africa (EMEA), Latin America (LatAm), and developed countries. It includes insights into bond yields, inflation expectations, fiscal balances, and interest rate swap (IRS) and cross-currency swap (XCCY) strategies across various EM countries.

Key Economic Forecasts

Real GDP Growth

• Global: 3.1% (2016), 3.7% (2017F), 3.7% (2018F)
• US: 1.5% (2016), 2.2% (2017F), 2.4% (2018F)
• Japan: 1.0% (2016), 1.8% (2017F), 0.7% (2018F)
• Euroland: 1.8% (2016), 2.2% (2017F), 2.0% (2018F)
• EMEA: 1.5% (2016), 2.9% (2017F), 2.8% (2018F)

Inflation (Consumer Prices)

• Global: 6.6% (2016), 7.2% (2017F), 5.8% (2018F)
• EMEA: 1.1% (2016), 3.8% (2017F), 3.0% (2018F)
• LatAm: 23.8% (2016), 44.6% (2017F), 109.2% (2018F)
• Asia (ex-Japan): 2.7% (2016), 3.1% (2017F), 1.2% (2018F)

Current Account (% of GDP)

• Global: 10.8% (2016), 10.8% (2017F), 10.8% (2018F)
• EMEA: -1.2% (2016), -1.1% (2017F), -4.8% (2018F)
• LatAm: -2.1% (2016), -1.8% (2017F), -2.2% (2018F)

Fiscal Balance (% of GDP)

• Global: -3.2% (2016), -3.2% (2017F), -2.9% (2018F)
• EMEA: -2.3% (2016), -1.1% (2017F), -3.7% (2018F)
• LatAm: -6.2% (2016), -5.7% (2017F), -5.4% (2018F)

EM Fixed Income Trade Recommendations

EMEA

• Czech Republic: 5s0s IRS steepeners (Initiation, 11/Oct/17)
• Hungary: Pay 5Y vs long HGB 25B (New target/stop, 24/Oct/17)
• Israel: Be long 3Y fwd 1y rate (New Target/Stop, 29/Aug/17), SYS IRS receiver vs USD (New Target/Stop, 24/Oct/17), Long '27s vs 2Y payers (Initiation, 09/Mar/17)
• Poland: Long Jul-21 (New Target/Stop, 12/Oct/17), Long July-27 (New Target/Stop, 10/Oct/17), Receive 2Y2 IRS (New Stop, 11/Oct/17)
• Romania: Long Feb-25 (New Target/Stop, 11/May/17)
• South Africa: Long Mar-32 (New target, 10/Oct/17), Be long R2040 vs 10Y IRS (Initiation, 07/sep/17), Receive 2Y2 IRS (New Stop, 11/Oct/17)
• Turkey: Long Mar-25 (Initiation, 11/Oct/17), Long Aug-27 (Initiation, 11/Oct/17)

LatAm

• Brazil: Jan19|Jan20 (Initiation, 07/sep/17), Jul18|Jan19 (Chg Target & Stop, 13/Jul/17)
• Chile: CLP/CAM 1Y1Y (Initiation, 11/Oct/17)
• Colombia: IBR 2Y1Y (Initiation, 07/sep/17), Coltes 20s (Chg Target, 13/Jul/17)
• Mexico: 7Vvs15Y Steepener (Initiation, 10/Aug/17), Receive TIIE 3Y3Y (Chg Target, 13/Jul/17), Buy MBONO 20 vs MBONO 42 (Chg Stop, 22/Jun/17)
• Peru: Long Soberanos 37s vs Soberanos 26s (Initiation, 11/Oct/17), 1Y cross-currency swaps (Initiation, 11/Oct/17), Buy Soberanos 24s (Chg Target & Stop, 11/May/17)

Asia

• India: Pay 1Y/5Y steeper (Initiation, 27/Sep/17)
• Korea: Rec 3x6 FRA (Initiation, 22/Sep/17), Pay 2Y/10Y steeper (Initiation, 14/Nov/16)
• Hong Kong: Pay 2Y HKD IRS (Initiation, 21/Sep/17), Pay 5Y HKD vs USD IRS (Initiation, 08/Jun/17)
• China: Pay 5Y CNY NDIRS (Initiation, 04/Sep/17)
• Singapore: Pay 5Y swap spread (Initiation, 19/Jun/17)

Market Overview

EMEA

• Czech Republic:
  • 2Y: Bond Swap Basis = 0.32, 7d change = -83 bp, YTD change = 4 bp
  • 5Y: Bond Swap Basis = 0.77, 7d change = -73 bp, YTD change = 22 bp
  • 10Y: Bond Swap Basis = 1.66, 7d change = -9 bp, YTD change = 6 bp
• Hungary:
  • 2Y: Bond Swap Basis = 0.03, 7d change = -17 bp, YTD change = -2 bp
  • 5Y: Bond Swap Basis = 1.16, 7d change = 31 bp, YTD change = -59 bp
  • 10Y: Bond Swap Basis = 2.47, 7d change = 38 bp, YTD change = -63 bp
• Israel:
  • 2Y: Bond Swap Basis = 0.19, 7d change = -3 bp, YTD change = -11 bp
  • 5Y: Bond Swap Basis = 0.87, 7d change = 11 bp, YTD change = -28 bp
  • 10Y: Bond Swap Basis = 1.83, 7d change = 9 bp, YTD change = -34 bp
• Poland:
  • 2Y: Bond Swap Basis = 1.68, 7d change = -35 bp, YTD change = -46 bp
  • 5Y: Bond Swap Basis = 2.71, 7d change = 17 bp, YTD change = -33 bp
  • 10Y: Bond Swap Basis = 3.36, 7d change = 35 bp, YTD change = -40 bp
• Russia:
  • 2Y: Bond Swap Basis = 7.36, 7d change = 49 bp, YTD change = -8 bp
  • 5Y: Bond Swap Basis = 7.38, 7d change = 76 bp, YTD change = -71 bp
  • 10Y: Bond Swap Basis = 7.56, 7d change = 123 bp, YTD change = -60 bp
• South Africa:
  • 2Y: Bond Swap Basis = 7.42, 7d change = 39 bp, YTD change = -9 bp
  • 5Y: Bond Swap Basis = 8.05, 7d change = 53 bp, YTD change = -38 bp
  • 10Y: Bond Swap Basis = 9.00, 7d change = 89 bp, YTD change = -26 bp
• Turkey:
  • 2Y: Bond Swap Basis = 12.42, 7d change = 29 bp, YTD change = 26 bp
  • 5Y: Bond Swap Basis = 11.84, 7d change = 48 bp, YTD change = 33 bp
  • 10Y: Bond Swap Basis = 11.67, 7d change = 103 bp, YTD change = 15 bp

LatAm

• Argentina:
  • 2Y: Bond Swap Basis = 20.60, 7d change = 64 bp, YTD change = -47 bp
  • 5Y: Bond Swap Basis = 16.58, 7d change = 71 bp, YTD change = -103 bp
  • 10Y: Bond Swap Basis = 14.22, 7d change = 19 bp, YTD change = -1422 bp
• Brazil:
  • 2Y: Bond Swap Basis = 7.88, 7d change = 61 bp, YTD change = -307 bp
  • 5Y: Bond Swap Basis = 9.30, 7d change = -9 bp, YTD change = -198 bp
  • 10Y: Bond Swap Basis = 9.69, 7d change = -26 bp, YTD change = -154 bp
• Chile:
  • 2Y: Bond Swap Basis = 3.14, 7d change = 49 bp, YTD change = -28 bp
  • 5Y: Bond Swap Basis = 3.71, 7d change = 22 bp, YTD change = -7 bp
  • 10Y: Bond Swap Basis = 4.53, 7d change = 33 bp, YTD change = -26 bp
• Colombia:
  • 2Y: Bond Swap Basis = 5.33, 7d change = 56 bp, YTD change = -86 bp
  • 5Y: Bond Swap Basis = 6.08, 7d change = 69 bp, YTD change = -56 bp
  • 10Y: Bond Swap Basis = 6.61, 7d change = 43 bp, YTD change = -43 bp
• Mexico:
  • 2Y: Bond Swap Basis = 3.14, 7d change = -6 bp, YTD change = -11 bp
  • 5Y: Bond Swap Basis = 3.71, 7d change = 22 bp, YTD change = -13 bp
  • 10Y: Bond Swap Basis = 4.53, 7d change = 33 bp, YTD change = -23 bp
• Peru:
  • 2Y: Bond Swap Basis = 3.40, 7d change = 7 bp, YTD change = -103 bp
  • 5Y: Bond Swap Basis = 3.40, 7d change = 7 bp, YTD change = -7 bp
  • 10Y: Bond Swap Basis = 4.34, 7d change = 47 bp, YTD change = -67 bp

Key Points

• The document highlights the economic forecasts for EM, EMEA, and LatAm, including real GDP, inflation, current account, and fiscal balance.
• Trade recommendations are based on market mispricing, carry opportunities, and valuation levels.
• Interest rate swap and cross-currency swap strategies are suggested for various countries, with emphasis on steepening curves, favorable external environments, and inflation dynamics.
• Market data includes bond swap basis, 7-day and YTD changes, providing insights into bond yield movements and market sentiment.