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1、Deutsche Bank Markets Research Emerging Markets Rates Gov. Bonds however, not for Peru or India. Distributed on: 17/01/2018 06:15:00 GMT 7T2se3r0Ot6kwoPa 16 January 2018 EM Fixed Income: Who is most exposed? Betas to core-rates - update 3.0 Page 2 Deutsche Bank AG/London EM Fixed Income Who is most
2、exposed? Betas to core- rates update 3.0 Ongoing core-rate repricing Core-rates came under pressure over the last few weeks driven by robust growth, rising commodity prices, the momentum of core inflation improving and hawkish central banks. Although a gradual increase in core-rates over the course
3、of 2018 was expected by most market participants, the repricing seen YTD was somewhat more aggressive than anticipated. 10Y US-treasuries moved by 15bp YTD to now 2.54% the highest yield level since March-17. Whats next? Given the markets convergence to DBs Q1 forecast, the DB Rates team sees some s
4、cope for consolidation. Nevertheless, the team keeps its bearish bias for core-rates. The house view sees 10Y treasuries at 2.95% by year-end, which implies a 40bp selloff from current levels and more importantly, a 25bp outperformance vs. forwards. Why does this matter for EM Fixed Income? The deve
5、lopment of US- treasuries remains one of the most important (external) drivers of EM Fixed Income markets. As shown in previous publications on this topic (among others What the betas to core rates are telling us), the sensitivity of EM Fixed Income markets to US-treasuries particularly increases du
6、ring bearish core-rate moves and/or in the case of sharp increases in market volatility (see charts). Although, DB expects a more gradual core-rate normalization going forward, forecasts are still noticeably above forwards, which if realized could put additional pressure on EM local bond markets. In
7、 this analysis, we update betas in EM fixed income markets to US rates. We highlight countries providing high/low betas to US rates. In addition, we analyse in which countries the current beta (90d rolling) is already well above (below) the long-term (LT) average, providing better (worse) protection
8、 against any US-repricing. Why? We found that 90d betas +/-1 stdev below/above the LT average tend to sharply overshoot in the other direction over subsequent months. Hence, short-term betas vs. long-term betas matter in particular when they reach extreme levels. This is the third standalone publica
9、tion on EM fixed income betas to core-rates. Please note that we use data since Jan-13 for our LT-betas. The DB Rates team expects a further increase in US- treasuries although gradual forecasts are well above forwards Strong correlation between changes in 10Y US-treasuries and EM local bonds partic
10、ularly during bearish core- rate moves 2.67 2.54 2.95 2.50 2.55 2.60 2.65 2.70 2.75 2.80 2.85 2.90 2.95 3.00 Jan/18 Feb/18 Mar/18 Apr/18 May/18 Jun/18 Jul/18 Aug/18 Sep/18 Oct/18 Nov/18 Dec/18 Jan/19 ForwardsDB forecast +13bp +41bp -100 -50 0 50 100 150 -0.1 0.0 0.1 0.2 0.3 0.4 Jun/13 Sep/13 Dec/13
11、Mar/14 Jun/14 Sep/14 Dec/14 Mar/15 Jun/15 Sep/15 Dec/15 Mar/16 Jun/16 Sep/16 Dec/16 Mar/17 Jun/17 Sep/17 Dec/17 90d rolling beta in EM vs 10Y US treasuries (average across countries) 90d change in 10Y US-treasuries - rhs Source: Deutsche Bank Source: Deutsche Bank 16 January 2018 EM Fixed Income: Wh
12、o is most exposed? Betas to core-rates - update 3.0 Deutsche Bank AG/London Page 3 Overall findings stabilisation in LatAm betas while decline across EMEA EM Fixed Income betas still subdued. Despite the repricing in core-rates, EM Fixed Income betas to US rates have been rather subdued. Looking int
13、o the average betas across EM, we note a gradual increase since mid-17. However, betas are still only marginally above the long-term average, and well below the extreme levels seen in mid-13 or post US-election in Q4-16. Betas in LatAm increased the most, but still only close to LT-average In our pr
14、evious publication, we particularly highlighted the low short-term betas in LatAm compared to history. In fact, although long-term betas in LatAm are noticeably higher than in Asia and EMEA, in Q4-17, 90d betas across EMEA moved well above betas in LatAm. This has only happened on two occasions befo
15、re. Hence, we argued that LatAm countries in particular were vulnerable to US-treasury moves given an increased probability of mean-reversion in betas. While EMEA betas have declined since then but still remain well above the LT average betas across LatAm increased noticeably. Nevertheless, although
16、 betas are on average above EMEA countries, they are only in line with the LT-average and far away from extreme levels. Betas in Asia historically well below EMEA and LatAm have remained at their relatively elevated levels seen since Q2-17. Although this is still well below the other two regions, it is close to the highest level seen in the past five years. Although still well below peaks, betas in EM local bonds to US treasuries further increased in r
