德银-新兴市场-宏观策略-新兴市场地方利率：溢价衡量-215-25页.pdf

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报告标题：“德银-新兴市场-宏观策略-新兴市场地方利率：溢价衡量”主要探讨了新兴市场地方利率中的期限溢价（Term Premium, TP）及其对市场的影响。期限溢价是评估债券价值和风险的重要因素，特别是在新兴市场。在过去的几年里，期限溢价为新兴市场利率提供了一定的价值和缓冲。 自2018年11月初以来，期限溢价显著下降，从历史高位回落到金融危机后的一般水平，这导致新兴市场本地固定收入（Local Fixed Income, LFI）的再定价。尽管发达市场（DM）和部分新兴市场的增长放缓似乎仍在持续，但报告认为期限溢价仍有进一步压缩的空间。然而，这种缓冲已经减小，对市场波动的抵御能力也随之减弱。 报告深入分析了期限溢价和风险中性利率的最新动态，探讨了驱动期限溢价的关键因素，如政策利率和核心利率。在加息周期中，拉丁美洲国家的收益率曲线通常为久期提供更大的缓冲，而亚洲市场的久期则更为脆弱。此外，报告还指出了债券期限溢价与掉期期限溢价之间基差的不匹配情况。 报告的主要发现包括： 1. 期限溢价对新兴市场利率具有重要意义，提供了价值和风险保护。2018年11月初的高期限溢价水平为市场修正提供了空间，推动了新兴市场本地固定收入的强劲表现。目前，尽管期限溢价有所压缩，但秘鲁、罗马尼亚、巴西和南非的期限溢价仍处于高位或历史高位，而韩国、捷克共和国和土耳其的期限溢价则较低且进一步下降。 2. 期限溢价主要受政策利率和核心利率影响。在加息期间，拉丁美洲国家的收益率曲线提供的缓冲更大，而亚洲市场的久期暴露度较高。 3. 期限溢价是选择久期的最强信号。较高的期限溢价排名意味着更高的久期回报。秘鲁、巴西、哥伦比亚和南非在期限溢价排名中名列前茅，预期回报（包括外汇影响）最高。 这些发现对投资者和政策制定者具有重要的战略意义。对于投资者来说，了解期限溢价的动态可以帮助优化投资组合，尤其是在新兴市场。而对于政策制定者而言，理解期限溢价如何受政策利率变化的影响，有助于他们在货币政策正常化过程中更好地管理市场预期和风险。因此，关注并理解新兴市场的期限溢价，对于在全球经济环境中进行有效的投资决策至关重要。
15 February 2019
EM Special Publication
Asia
Emerging Europe
Latin America
Fixed Income
EM Special
Publication
Date
15 February 2019
Deutsche Bank
Research
EM Local Rates: Measuring Premium -
The Shrinking Cushion
Term premium (TP) has been an important component of value and cushion for
EM rates over the years. Our latest report on TP published last November (when
US yields hit a seven-year high) stressed the hefty cushion built between late '16
and late '18 due to rising TP, across a large set of EM curves.
Since early November, TP has significantly declined from historical highs to
post-tantrum average levels, thus accounting for most of the recent repricing in
EM local fixed income (LFI). The slowdown in growth across DM and some EM
still seems poised to continue, judging by leading indicators. We believe there is
room for additional TP compression. But the cushion has shrunk.
In this report, we assess the recent development in TP and risk-neutral rates,
study TP's underlying drivers, examine the remaining cushion during policy
normalization, identify dislocations in basis of bond TP vs swap TP, and provide
strategy implications at the end.
Main takeaways:
■
Term premium (TP) has been an important component of value and
cushion for EM rates. The extreme levels in TP in early November provided
room for correction and led to a broad-based strong performance in EM
LFI. Regardless of the recent compression in TP, we see TP still high or
at historical highs in Peru, Romania, Peru, Brazil and South Africa. This
contrasts with already low and further reduced TP in South Korea, Czech
Republic and Turkey.
■
TP is largely driven by policy rates and core rates. During hiking cycles,
LatAm curves tend to provide the largest cushion for duration while
duration tend to be more vulnerable in Asian curves.
■
TP is the strongest signal for choice of duration. Higher TP rankings imply
higher returns on duration. Peru, Brazil, Colombia and South Africa are
top-ranked based on TP, and provide the highest expected returns (FX-
hedged) on duration. In contrast, Turkey, South Korea, Thailand, and
Czech Republic are at the bottom of the TP table and provide the lowest
returns accordingly.
■
While term-premium declined noticeably, it is still significantly higher
in bonds than swaps. Here Mexico, Malaysia, and Thailand stand out
as providing attractive entrance levels for long-end ASW-spreads. The
contrary is the case for Brazil.
Jundong Zhang
Research Associate
+44-20-754-72056
Drausio Giacomelli
Strategist
+1-212-250-7355
Christian Wietoska
Strategist
+44-20-754-52424
Swapnil Kalbande
Strategist
+65-6423 5925
Deutsche Bank AG/London
DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 091/04/2018 .
Distributed on: 15/02/2019 13:27:10 GMT
7T2se3r0Ot6kwoPa
15 February 2019
EM Special Publication
Table Of Contents
Reassessing term premium: The shrinking cushion.......................................... 3
Term premium: How much left?........................................................................ 4
The anatomy of premium: What drives TP........................................................ 6
What term premium tells us about duration?....................................................8
A tale of two premia - bonds vs swaps...........................................................10
Implications for strategy...................................................................................12
Appendix A: Methodology of yield decomposition..........................................14
Appendix B: Bond valuation model..................................................................14
Appendix C: Term premium for both bonds and swaps.................................. 15
Page 2
Deutsche Bank AG/London
15 February 2019
EM Special Publication
Reassessing term premium: The shrinking cushion
■
Term premium (TP) has been an important component of value and
cushion for EM rates.
■
The extreme levels in TP in early November provided room for correction
and led to a broad-based strong performance in EMFI (FX-hedged).
■
Since then, TP has significantly declined and is back to post-tantrum
average levels. The compressed TP, combined with real rate differentials
between EM vs DM hovering near historical lows, suggests reduced
upside for EM LFI (FX hedged).
Term premium (TP) has been an important component of value and cushion
for EM rates over the years. We have repeatedly highlighted TP's increasing
importance as real rate differentials vs. the US have compressed - especially since
taper tantrum. Our latest report on TP published last November (when US yields
hit a seven-year high) discussed that TP could serve as a cushion for duration
during hiking cycles and also stressed the hefty cushion built between late '16
and late '18 due to rising TP, across a large set of EM curves (please see here ).
In our view, these extreme levels (in early November) of TP boded for a
correction and served as a cushion (for many but not for all) as CBs normalized
monetary policy. Since early November in 2018, EM local fixed income (LFI) has
seen a broad-based strong performance, rallying 3.4% (FX hedged). As a result,
TP has shrunk to reflect the Fed's move to neutral and reduced inflationary risks
associated with lower growth prospects and lower commodities. Meanwhile, risk-
neutral rates have stabilized.
Figure 1:EM term premium has compressed from
historical highs over the past three months
Figure 2: CBs are normalizing monetary policy and risk
neutral rates have stabilized of late
0.4
0.9
1.4
1.9
2.4
2.9
3.4
3.9
Jan 13 Nov 13 Sep 14 Aug 15 Jun 16 Apr 17 Mar 18 Jan 19
EM 10Y bonds term premium, %
Latam_TP EMEA_TP Asia_TP
taper tantrum
US election
EM slowdown and the end of
the commodity cycle
EM selloff in May
2.0
3.0
4.0
5.0
6.0
Jan 13 Nov 13 Sep 14 Aug 15 Jun 16 Apr 17 Mar 18 Jan 19
EM 10Y bonds risk-neutral rates, %
Latam_RN EMEA_RN Asia_RN
Source: Deutsche Bank, Bloomberg Finance LP Source: Deutsche Bank, Bloomberg Finance LP
Since early November, TP has significantly declined from historical highs to
post-tantrum average levels across all the three regions, thus accounting for
most of the recent repricing in EM LFI. The slowdown in growth across DM
and some EM still seems poised to continue, judging by leading indicators.
Accordingly, our DM strategists also see room for further flattening and contained
inflation expectations, and we also believe that there is room for additional TP
compression. But the cushion has shrunk.
The already compressed TP, combined with real rate differentials between
EM vs DM hovering near historical lows, suggests reduced upside for EM LFI
Deutsche Bank AG/London
Page 3
15 February 2019
EM Special Publication
(FX hedged). If DB's scenario of a soft patch in H1 followed by recovery in H2
materializes, this means negative returns for low yielders this year. However, it
is important to stress that EM LFI is one of the most idiosyncratic asset classes
within EM. Select high yielders still offer value - if anything - because of still benign
inflation outlooks and still high risk-neutral rates and TP. That said, investors do
need to be more selective.
In this report, we provide a brief description of our methodology and reassess TP
valuation. In particular, we analyze the recent development in term premium and
risk-neutral rates, study TP's underlying drivers, examine the remaining cushion
for policy normalization, identify dislocations in basis of bond TP vs swap TP, and
provide strategy implications in the end.
Figure 3: EM local bonds have rallied over the last three
months...
Figure 4: ...Similar to previous rallies, the rally is largely
driven by the compression of TP
3.00
5.00
7.00
9.00
Jul 13 Jun 14 May 15 Apr 16 Mar 17 Jan 18 Jan 19
EM 10Y bond constant maturity bond yields, %
LatAm_10Y EMEA_10Y Asia_10Y
0.0
0.5
1.0
1.5
2.0
2.5125
130
135
140
145
150
Jul 13 Jun 14 May 15 Apr 16 Mar 17 Jan 18 Jan 19
EM local bonds total return hedged vs EMTP
hedged EM_TP( %, rhs, rev.order)
Source: Deutsche Bank, Bloomberg Finance LP Source: Deutsche Bank, Bloomberg Finance LP
Term premium: How much left?
■
TP serves as cushion for duration during hiking cycles.
■
Regardless of the recent compression of TP, we still see TP high or at
historical highs in Peru, Romania, Peru, Brazil, South Africa, Chile and
Malaysia. This contrasts with already low and further reduced TP in
South Korea, Czech Republic and Turkey.
■
On the other hand, risk-neutral rates are still high in South Africa,
Russia, Mexico, India, Indonesia and Brazil.
Breaking down EM yields into policy and risk: We decompose EM 10Y constant
maturity bond yields into two components using the methodology described
in Appendix A: Methodology of yield decomposition (we also apply the same
methodology to swap curves). The first component - the risk-neutral rates (RN) -
reflects the expected path of short-term rates. As such it depends on growth and
inflation trade-offs. The second component, TP, is the residual after excluding RN
from market yields. It captures all the risk factors derived from policy uncertainty,
inflation, credit, market volatility and appetite for risk. It reflects the premium
required to compensate risk-averse investors.
On policy normalization and RN: EM CBs entered an easing cycle starting early
2016 as foreign credit conditions tightened (on stronger USD and reduced USD
cross-border liquidity). As the USD weakened and external liquidity conditions
eased, CBs have turned more hawkish - especially since early 2018 as the chart
Page 4
Deutsche Bank AG/London
15 February 2019
EM Special Publication
above shows. Accordingly, RN rates dropped noticeably in 2016-17 and have
bottomed out since early 2018. The chart also shows that RN has stabilized in
recent months, which implies that the recent rally results largely from the TP
compression rather than RN.
We expect further repricing of RN to be limited. First, except for Asia, RN rates
are running near historical lows - or within 50bp of the recent trough. Second,
even if at a lower pace than predicted, EM is on a recovery path. The trough of
2017 and early 2018 reflected a significant credit crunch and slowdown across
EM over the preceding years that we find unlikely to repeat barring recession in
the US and the EU.
In contrast with RN, TP's hefty cushion accumulated from 2016 through late
2018 has only partially compressed and still offers pockets of value. Initially,
TP rose from historical lows in early 2016 on the back of policy easing, and the
recovery from the EM slowdown in late 2015. The US election in November of
2016 also boosted TP significantly as a by-product of core yields repricing up. In
LatAm, TP reached historical highs by early November in 2018. More recently, this
rise in TP has partially reversed, largely driven by the collapse of core yields. As
the chart below shows, TP and RN tend to be negatively correlated (with higher
RN - or tighter policy - associated with reduced premium.
Figure 5: Term premium compresses as risk-neutral rate
rises
Figure 6: Current TP vs current RN: Where is the value
left?
CZK
HUF
ILS
PLN
RON
RUB
ZAR
BRL
CLP
COP
MXN
PEN
INR
IDR
MYR
KRW
THB
-1.0
-0.5
0.0
0.5
1.0
1.5
-3.0 -2.0 -1.0 0.0 1.0 2.0
2y change - RN, %
2y change - TP, %
corr=-0.62
CZK
HUF
ILS
PLN
RON
RUB
ZAR
BRL
CLP
COP
MXN
PEN
INR
IDR
MYR
KRW
THB
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0
current RN, %
current TP, %
Source: Deutsche Bank, Bloomberg Finance LP Source: Deutsche Bank, Bloomberg Finance LP
How much value is left? TP has compressed to the middle section of the
distribution from historical highs since last November, with CEEMEA's TP
shrinking the most, followed by LatAm's TP (less so for Asia). The bar charts below
show the distribution for TP and RN across EM. No countries have seen their TP
increased over the last three months. Actually, TP in most countries has shrunk
noticeably, with exceptions of Chile, Colombia, Romania and Asian countries.
Among others, South Korea and Czech Republic have TP near historical lows
(close to zero). Regardless of the recent TP compression, for a number of curves
- including Peru, Romania, Peru, Brazil, South Africa, Chile and Malaysia - TP
is still either high in absolute levels or near historical highs. This contrasts with
already low and further reduced TP in South Korea, Czech Republic and Turkey.
Deutsche Bank AG/London
Page 5

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