德银-新兴市场-利率市场-新兴市场本地利率监测-20180213-73页_2mb

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EM Local Rates Monitor Summary

Core Content Overview

The document provides a detailed analysis of Emerging Markets (EM) local rates and fixed income strategies, covering economic forecasts, trade recommendations, market overview, and technical models. It also includes data on specific countries in EMEA, LatAm, and developed markets, along with recent publications and price action trends.

Key Economic Forecasts

Metric	2017F	2018F	2019F
Real GDP (%)	2.8	2.9	2.9
Consumer prices (% pavg)	6.8	6.9↓	5.9
Current account (% GDP)	-0.6	-0.4	-0.1↑
Fiscal balance (% GDP)	-4.1	-3.4↑	-2.9↑

Real GDP: Expected to grow at 2.9% in 2019, with a slight increase from 2018.
Consumer Prices: Projected to decline slightly in 2019 from 2018 levels.
Current Account: Improved slightly in 2019 compared to 2018.
Fiscal Balance: Expected to improve in 2019 with a gradual increase in fiscal balance.

EM Fixed Income Trade Recommendations

EMEA

Czech Republic:
- 1Y fwd 1Y5Y IRS steeper (Initiation, 26/Jan/18)
- 2Y2Y - 5Y5Y IRS steeper (Initiation, 18/Jan/18)
Hungary:
- 2Y2Y - 10Y IRS steeper (Initiation, 12/Feb/18)
Israel:
- 3Y fwd 1y receiver (Initiation, 12/Feb/18)
- 5Y5Y IRS receiver vs USD (New Target/Stop, 13/Jan/17)
- 5Y5Y IRS receiver vs HUF (Initiation, 18/Jan/18)
Poland:
- 1Y fwd 5s10s IRS steeper (Initiation, 09/Nov/17)
- 2Y2Y IRS receiver (Initiation, 07/Feb/18)
- Long July-27 (New Target, 13/Jul/17)
Romania:
- Long Mar-22 (Initiation, 18/Jan/18)
Russia:
- Receive 1Y IRS (vs Mosprime) (New Target/Stop, 27/Apr/17)
- 5Y5Y XCCY payer (New Stop, 15/Jun/17)
- Long Aug-21 (New Target/Stop, 13/Jul/17)
- Long Mar-33 (New Target/Stop, 07/Sep/17)
South Africa:
- Long R2030 (Initiation, 05/Jan/18)
Turkey:
- Im fwd 1Y-5YY XCCY steepene (New Target/Stop, 10/Jan/18)

LatAm

Brazil:
- Jan19 Jul19 (Initiation, 18/Jan/18)
- Jan21 | Jan23 (Initiation, 18/Jan/18)
- Pay Jan 25 Cupom Cambial (Initiation, 18/Jan/18)
Chile:
- 10Y CLP structural breakeven wideners (Initiation, 18/Jan/18)
Colombia:
- IBR1Y1Y FRA (Chg Target, 11/Oct/17)
- Coltes 20s (Chg Target, 13/Jul/17)
Mexico:
- Receive TIE 3Y3Y (Initiation, 18/Jan/18)
Peru:
- Buy Soberanos 28s (Initiation, 18/Jan/18)

Asia

Korea:
- Pay 2Y/10Y IRS steeper (Initiation, 17/Jan/18)
- Receive 5Y ND CCS basis (Initiation, 17/Jan/18)
Taiwan:
- Pay 5Y TWD NDIRS (Initiation, 17/Jan/18)
Singapore:
- Receive 2Y SGD vs. USD IRS (Initiation, 05/Jan/18)
- Pay 2Y/10Y SGD vs. USD IRS spread (Initiation, 05/Jan/18)

Market Overview

Country	2Y Level	2Y Swap	2Y Basis	5Y Level	5Y Swap	5Y Basis	10Y Level	10Y Swap	10Y Basis
Czech Republic	0.53	1.33	-80	16	1.08	1.74	-66	17	29
Hungary	0.27	0.35	-8	0	1.49	1.22	27	36	46
Israel	0.24	0.28	-4	-3	1.00	0.95	6	25	19
Poland	1.65	2.03	-38	-12	2.78	2.66	12	14	16
Romania	2.98	3.46	-48	-7	4.14	3.93	21	23	3
Russia	6.69	6.00	69	-38	6.73	6.07	66	-27	-33
South Africa	6.99	6.94	4	-28	7.66	7.38	28	-20	5
Turkey	13.26	13.44	-18	34	12.44	12.48	-3	38	78

2Y Bond vs Swap: The spread between bond and swap rates indicates the market's expectations for future interest rate movements.
5Y Bond vs Swap: Similar to 2Y, the spread reflects market expectations and pricing dynamics.
10Y Bond vs Swap: The spread shows the long-term market outlook and the potential for yield changes.

Key Insights and Trends

Emerging Markets: The overall growth is expected to remain stable, with a slight increase in 2019. Inflation is projected to be higher than in 2018, while the current account is expected to improve.
Carry and Roll Opportunities: Several countries offer attractive carry and roll opportunities, especially where there is a dislocation between spot and swap rates.
Monetary Policy Impact: Countries like Brazil, Chile, and Colombia are being recommended for monetary policy plays, with high roll potential.
Inflation Dynamics: The document highlights the importance of inflation expectations in shaping interest rate strategies, particularly in countries like Turkey and Russia.
Term Premiums: Term premiums are a key factor in trade recommendations, with some countries showing historically low premiums that present investment opportunities.

Recent Publications

06/02/2018: EM Local Rates Monitor - What is hot and what is not
26/01/2018: EM Fixed Income - Assessing term-premium across local markets - update 3.0
29/01/2018: EMEA Special Report - Turkey: Stronger push (same pull) factors = a short window of opportunity
12/02/2018: LatAm: Latam Local Markets Analytics Package
02/09/2018: Asia: Asia Local Markets Weekly - Winter squall

These publications provide updates on market trends, term premiums, and specific country analyses, offering valuable insights for investors and traders.

Price Action and Trends

10Y Bond Yields: Some countries have seen significant changes since the start of the year and the US election.
2s10s Swap Slopes: The swap slopes have fluctuated, indicating changes in market expectations for interest rates.
FX vs USD: The exchange rate trends have shown both increases and decreases, with some countries experiencing more volatility than others.

This document serves as a comprehensive guide for understanding EM local rates and fixed income strategies, highlighting key economic indicators, trade opportunities, and market trends.

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