20140416-法国巴黎银行-EM_ASW_MONITOR_15页_1mb

EM STRATEGY Summary

Core Content

This document provides an analysis of Asset Swap (ASW) spreads across Emerging Markets (EM) in three regions: Asia (ASIA), Central and Eastern Europe, the Middle East, and Africa (CEEMEA), and Latin America (LATAM), as of 16 April 2014. The focus is on the movement of portfolio inflows and the tightening or widening of ASW curves in the local and USD-denominated markets.

Main Views

Asia (ASIA)

• Portfolio inflows into Asia remain positive, with accelerated inflows into Thailand and Korea.
• Local currency ASW and $ASW have largely tightened from a month ago, and the curve has flattened across the region, except in Singapore, where spreads have tightened only in the belly sector.
• Malaysian and Korean bonds continue to offer the best $1ASW in the very front end.

CEEMEA

• Inflows into local currency debt have increased over the past week, leading to tightening in ASW curves.
• The Hungarian local currency ASW curve is the only one in the region to have widened compared to last month, although it is now tighter than one week ago.
• On the $ASW curve, HGB 17/Bs stand out as still relatively cheap, despite a slight tightening from last month.

Latin America (LATAM)

• Strong portfolio inflows into Latin America over the past couple of weeks have led to tightening of local curves, though the trend has slowed this week.
• Colombia is the main highlight, with continued benefits from its increase in weight in GBI-EM global indices on 19 March.
• This has led to tightening of both ASW and $ASW with a flattening bias.
• Mexico and Brazil have seen minimal changes in their ASW curves compared to a week ago.

Key Information

ASW Trends and Performance

• Asia:

  • Thailand and Korea have seen accelerated inflows.
  • Malaysia and Korea bonds offer the best $1ASW.
  • Singapore has only seen tightening in the belly sector.

• CEEMEA:

  • Hungary is the only country with a widening local currency ASW curve.
  • HGB 17/Bs are still cheap in USD ASW.

• LATAM:

  • Colombia is the main driver of the tightening trend.
  • Mexico and Brazil have seen little movement in their ASW curves.

Yield and ASW Relationships

• In the Poland table, $ASW spreads have generally tightened, with local currency ASW also showing some improvement.
• In Hungary, the local currency ASW has widened, but the USD ASW is still relatively low.
• South Africa and Czech Republic have seen tightening in both local and USD ASW, with $ASW being more volatile.
• Israel has a mixed trend, with local currency ASW tightening and $ASW showing some tightening.
• Turkey has seen tightening in both local and USD ASW, but with increased volatility in $ASW.
• Mexico and Brazil have shown minimal changes in their ASW spreads.

Summary Table of Key ASW Data

Conclusion

The document highlights that portfolio inflows have had a positive impact on ASW spreads in various EM regions, with Asia, CEEMEA, and LATAM all showing tightening trends. However, Hungary is an exception in CEEMEA with a widening local currency ASW curve, and Mexico and Brazil in LATAM have shown minimal changes. The Colombian market has been a key beneficiary of index weight adjustments, which have led to tightening in both local and USD ASW. Overall, Malaysia and Korea continue to offer favorable spreads, while Turkey and South Africa show increased volatility in USD ASW.