20140319-巴黎银行证券-EM_ASW_Monitor_15页_993kb

EM STRATEGY Summary

Core Content

This document provides an overview of Asset Swap (ASW) dynamics across various emerging markets (EM) in Asia, CEEMEA, and Latin America (LATAM) as of 19 March 2014. It highlights the trends in local currency and USD asset swap spreads, the inversion of certain ASW curves, and the attractiveness of specific bonds in terms of ASW spreads. The document includes detailed tables of bond details and corresponding ASW levels for each region, along with charts that visualize the ASW curves and their evolution over time.

Main Points and Key Information

Asia

• Local currency and USD asset swap spreads have largely remained unchanged over the last two weeks.
• Thai ASW curve has inverted further due to duration extension from both foreign and local investors and corporate hedging in swaps. Further tightening in local currency ASW and $ASW spreads is expected.
• Korean and Malaysian bonds continue to offer the best $ASW in the front end to belly sector.

CEEMEA

• Recent volatility in Turkey has led to FX swap funding rates being higher than yields on short-maturity TURKGBs. As a result, the long-end of the TURKGB curve is the preferred segment for foreign investors.
• HGB 17A are now very attractive in $ASW terms due to the Hungarian Supreme Court ruling that FX mortgages are not invalid, prompting renewed hedging activity.

Latin America (LATAM)

• COLTES $1 ASW curve has tightened as FX forward implied yield increased due to foreign and local corporate flows. The back-end of the curve is now inverted, and the 5-6y tenors remain relatively cheap.
• The curve in Chile is largely flat in the back end with most of the value at the front end (ref. BTPCL 6 01/01/18). The dynamics in other Latam markets have not changed much over the past couple of weeks.

Regional ASW Curves

Poland

• The table shows detailed bond information and corresponding ASW levels. The $ASW has been increasing over time, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive for most bonds, suggesting that yields are higher than FX swap rates.

Hungary

• HGB 17A has shown an increasing $ASW and a positive Yield vs 3M FX SWAP, indicating a more attractive bond in terms of swap spreads.
• The Yield/MD (yield per modified duration) is decreasing, suggesting a lower yield per unit of duration.

South Africa

• The $ASW is generally negative, indicating that swap spreads are lower than the yield.
• The Yield vs 3M FX SWAP is positive for most bonds, suggesting that yields are higher than FX swap rates.

Czech Republic

• The $ASW has been increasing, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

Israel

• The $ASW has been increasing, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

Turkey

• The $ASW is generally positive, indicating that swap spreads are higher than the yield.
• The Yield vs 3M FX SWAP is negative, suggesting that yields are lower than FX swap rates.

Mexico

• The $ASW has been decreasing over time, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

Colombia

• The $ASW has been decreasing, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

Brazil

• The $ASW has been decreasing, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

Chile

• The $ASW has been decreasing, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

Thailand

• The $ASW has been decreasing, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

South Korea

• The $ASW has been decreasing, indicating a tightening trend.
• The Yield vs 3M FX SWAP is positive, suggesting that yields are higher than FX swap rates.

Key Observations

• Thailand has seen a further inversion in its ASW curve, with expectations of continued tightening.
• Hungary and Poland have shown a trend of increasing $ASW, which suggests that these bonds are becoming more attractive for swap purposes.
• Turkey has experienced higher FX swap funding rates compared to short-maturity TURKGB yields, making the long-end of the curve more appealing to foreign investors.
• Colombia and Chile have shown signs of inversion in their ASW curves, with certain tenors remaining relatively cheap.
• Korean and Malaysian bonds continue to offer the best $ASW in the front end to belly sector, indicating strong demand for these bonds in the swap market.

Conclusion

The document outlines the evolving dynamics of ASW spreads across different EM regions, highlighting trends in yield, swap rates, and the relative attractiveness of various bonds. The overall trend indicates tightening in several markets, particularly in Asia and CEEMEA, with notable changes in the Thai and Hungarian ASW curves. These insights are valuable for investors looking to understand the current market conditions and make informed decisions regarding asset swaps.