伊朗战争引爆巴西利率波动翻倍，中资固定收益策略面临重估

Days of turbulence in Brazil’s interest rate curve are no longer the exception but have become part of the market’s routine. Since the start of the war in Iran, at the turn of February to March, the volatility of two-year Interfinancial Deposit (DI) futures rates has more than doubled, forcing investors to reduce the size of their positions and adopt a more tactical approach amid a combination of external shocks and persistent uncertainty surrounding the trajectory of public debt. Central Bank expected to cut rates to 14%, leave door open to more easing Interest rate cuts due in 2027 regardless of election, Bahia Asset says Interest rates erode profits despite revenue growth at listed firms The shift has become evident in the daily behavior of the interest rate market. In 22% of trading sessions since the outbreak of the conflict, futures rates have swung by more than 20 basis points (0.2 percentage point) either higher or lower. Between October and February, such moves occurred in only 2% of trading sessions, a strong indication of rising instability in local markets. Not surprisingly, average volatility in two-year interest rates climbed from 9% in the five months preceding the conflict to 18% since the end of February. The increase in instability in futures rates has also changed the way traders and portfolio managers operate on a day-to-day basis. In less than a month, realized volatility in the two-year DI futures contract jumped from 4.88% at the end of February to 16.08% by March 20, for example. Moreover, throughout March, the continuous repricing in interest rate and government bond markets became so intense that it prompted a historic intervention by Brazil’s National Treasury. Before the war, a fund targeting a 1% return through interest rate futures trading could take larger positions because market fluctuations were smaller. With greater market instability, however, managers have had to reduce position sizes to maintain the same level of portfolio risk. That is the assessment of Igor Campos, fixed-income portfolio manager at Armor Capital. “This allows you to deliver the level of volatility you are targeting for the fund while maintaining a similar expected return.” Investors have also demanded higher risk premiums in this environment, Campos noted. In his view, this helps explain the shift in the pricing of fixed-income assets. “In response to this event, which has already lasted five months and remains extremely uncertain, we have been operating with lower risk and in a more tactical manner,” the Armor manager said. “If you try to trade an economic release with very large positions and the conflict either intensifies or loses momentum, you can be heavily penalized because your position was built around a different theme than the war,” he argued. Given the reduced visibility over the outlook, the asset manager has preferred to take long positions in interest rates (which benefit from falling rates) with maturities between four and five years. “This part of the curve is somewhat less tied to what the Central Bank will do in the short term and captures the premium the market has built into longer maturities,” he said. While portfolio managers say the new environment has required changes in the way they trade, economists believe the war is only part of the explanation for the surge in volatility. In their view, changes in global market dynamics since the pandemic, combined with fiscal deterioration around the world, have structurally increased the premium demanded by investors and made market forecasts more difficult. “Monetary policy cycles used to be closely linked to the labor market. At some point, the economy reaches full employment, inflationary pressures emerge, the central bank tightens monetary policy to bring inflation down, and then it can cut interest rates,” said Rafael Ihara, chief economist at Meraki Capital. “But using that classic monetary policy framework has become very misleading because the cycle is confused.” Gino Olivares, chief economist at Azimut Brasil Wealth Management, agrees and argues that the succession of shocks has made it harder to anticipate central banks’ reactions, with inflation expectations no longer firmly anchored. “If inflation were at target around the world and people continued to expect it to remain there, these shocks would be absorbed.” However, the economist noted that inflation remains above target in several economies, increasing uncertainty over how much further central banks may still need to tighten monetary policy. “Inflation has not returned to target,” Olivares said. “And you can see that unemployment is at record lows across the world. There is no place where unemployment is rising—perhaps China is an exception. In that environment, it is more natural for participants in the interest rate market to ask themselves: ‘What do I do now? Was what the central bank was doing enough, or will it have to do more?’” he argued. Fiscal stimulus adopted by governments, combined with the use of unconventional tools by central banks, has also increased uncertainty about the next steps in monetary policy, according to Ihara of Meraki. “Fiscal policy does seem to be interfering with the transmission mechanism of monetary policy. That is very clear in Brazil. It may also be true in other countries, but I couldn’t say that conclusively,” he said. Fiscal deterioration also helps explain why the market has begun demanding higher premiums to hold fixed-income assets, especially at longer maturities, given a significant increase in the term premium—the additional yield investors require to hold longer-term assets—according to Campos of Armor. “If countries do not find some way to control their deficit levels, interest rates will remain at these highly pressured levels, and we are unlikely to see yields decline.”