20140625-法国巴黎银行-EM_ASW_Monitor_15页_3mb

报告摘要

EM STRATEGY Summary

Core Content

This document provides an analysis of the Asset Swap (ASW) levels and trends across various emerging markets (EM) regions, including CEEMEA, Asia, and LATAM, as of 25 June 2014. It includes key observations on bond inflows, the behavior of ASW and $ASW curves, and comparisons with FX swap rates. The analysis is based on data from BNP Paribas and Bloomberg.

Main Points

Asia

Asia continues to benefit from moderate bond inflows.
Korea and Thailand have seen decent inflows over the last two weeks.
India has experienced slowed inflows.
Local currency ASW and $ASW have widened across the region, except for Singapore.
Malaysian and Korean bonds offer the best $1ASW in the very front end of the curve.

CEEMEA

Mixed trends are observed in ASW and $ASW curves across the region.
The belly of the HGB curve has seen widening in both ASW and $ASW terms.
TURKGBs and ILGOVs also showed widening across the curve.
Despite political noise in Poland, the back-end of the bond curves continued to tighten and flatten in ASW terms.

LATAM

Latam curves have tightened slightly in both ASW and $ASW terms.
Colombia is an exception: the back-end of the curve has flattened compared to one month prior, while the front-end steepened.
FX hedged 5y benchmark yields between Colombia and Mexico have now converged to almost flat following the tightening move on the Colombia leg.

Key Information

Asset Swap (ASW) and $ASW Trends

Asia: ASW and $ASW widened, with Korea and Malaysia showing the most pronounced widening in the front-end.
CEEMEA: Mixed trends, with the belly of the HGB curve and TURKGBs/ILGOVs widening, while the back-end of the curves tightened and flattened.
LATAM: Overall tightening, with Colombia showing a flattening back-end and convergence in yields between Colombia and Mexico.

Bond Details and ASW Levels

Region	Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (%)	$ASW – 1M ago (%)	Yield vs 3M FX SWAP (%)	Yield/MD
CEEMEA	POLGB 2.5 25/07/18	Jul-18	2.84	33	33	34	0.36	0.76
CEEMEA	HGB 5.5 20/12/18	Dec-18	3.31	43	145	131	1.75	0.85
Asia	HGB 5.5 20/12/18	Dec-18	3.31	43	145	131	1.75	0.85
Asia	MGS 3.26 1/3/18	Mar-18	0.34	101	178	155	0.38	0.13
CEEMEA	SAGB 8 21/12/18	Dec-18	7.56	7	-20	-11	1.32	2.04
CEEMEA	POLGB 5.75 25/10/23	Oct-23	3.42	93	136	145	2.92	0.90
LATAM	COLTES 5 21/11/18	Nov-18	5.62	36	55	44	2.47	1.51
LATAM	COLTES 10 24/07/24	Jul-24	6.47	23	44	35	3.32	1.03
LATAM	CHILE 6 01/01/18	Jan-18	4.45	40	47	49	0.59	1.48
LATAM	POLGB 5.75 25/10/21	Oct-21	3.22	9	45	46	0.74	0.55

ASW Evolution Charts

Chart 16: CEEMEA 5y government vs. 3m FX swap
Chart 18: ASIA 5y government vs. 3m FX swap (10dma)
Chart 20: LATAM 5y government vs. 3m FX swap
Chart 17: CEEMEA 5y government ASW
Chart 19: ASIA 5y government ASW
Chart 21: LATAM 5y government ASW

Conclusion

The document highlights the differences in ASW trends across Asia, CEEMEA, and LATAM, emphasizing bond inflows, curve behavior, and FX swap rate comparisons. It suggests that while some regions are experiencing widening in ASW and $ASW, others are seeing tightening and flattening, with Poland and Colombia being notable exceptions due to political noise and yield convergence, respectively. The ASW levels for various bonds are provided, showing differences in yield and swap rates across maturities and regions.