Introducing EPIC-R: An Emerging Markets Positioning Indicator for Rates

研报英文原文证据摘录

Introducing EPIC-R: An Emerging Markets Positioning Indicator for Rates

Deutsche Bank

Research

Emerging Markets Date

23 June 2026

EM Special Publication

Introducing EPIC-R: An Emerging Markets

Positioning IndiCator for Rates Bryant Xu

Strategist

+65-6423-5558

An understanding of positioning remains crucial for interpreting price action, identifying

concentration risk, and assessing whether market moves are driven by genuine risk-taking Christian Wietoska

or technical position adjustment. We had introduced a quantitative framework to analyze Strategist

+44-20-754-52424

rates positioning in Asia last year, based on two DTCC-derived indicators: signed DV01 and

the unwind ratio. The former was designed to infer the direction of interest rate swap flows Sameer Goel

by combining reported DV01 with the sign of daily rate moves, while the latter helped Macro Strategist

distinguish fresh positioning build-up from positioning unwind or compression activity. +65-642-36973

We now extend that framework into a positioning monitor for EM rates and introduce DB Vaninder Singh, CFA

EPIC-R: Emerging Markets Positioning IndiCator for Rates, a new bi-weekly report designed Macro Strategist

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to provide a more standardized and comparable read of positioning across EM rates

markets. This updated monitor retains the core logic of last year’s framework, while

materially improving the quality of the DTCC-implied signal. It also adds two new

positioning indicators designed to capture different stages of the risk-taking cycle: IMM

roll-implied positioning and bond futures-implied positioning. Together, these four

indicators provide a more complete picture of positioning across EM rates.

A key enhancement is our improved classification of trade-level swap data by execution