20140205-法国巴黎银行-EM_ASW_Monitor_15页_1mb

报告摘要

EM ASW Monitor Summary (5 February 2014)

Core Content Overview

This report provides an analysis of Asset Swap (ASW) levels for Emerging Market (EM) sovereign bonds across different regions, focusing on CEEMEA, ASIA, and LATAM. It highlights the performance of bond markets, the evolution of ASW spreads, and the impact of recent market conditions on bond yields and swap rates.

Main Points and Key Information

CEEMEA Region

CEE Cash Bonds: Experiencing pressure over the past few weeks, but still outperforming other EM markets. Hungary was an exception, showing the fastest recovery after the sell-off.
South Africa: Despite a sharp sell-off of cash bonds and ZAR, the demand for USD liquidity remains subdued.
Turkey: TURKGBs at the front end of the curve have slightly richened in $ASW terms due to aggressive rate hikes by the CBRT, which stabilized the lira. However, Turkey's external bonds remain among the cheapest assets in EM sovereign markets.
Chart 1: 3m FX-hedged 5y benchmark yield graph.
Table 1: $ASW ranking of 5y benchmarks, with TURKGB 8.3 20/06/18 at 99 bp and MGS 3.26 1/3/18 0213 at 98 bp being the best performers.
Regional ASW Curves: Includes charts for Poland, Hungary, South Africa, Czech Republic, and Israel. These charts show the evolution of ASW levels across different maturities and the relationship between yields and FX swap rates.

ASIA Region

Asian CDS: Stalling around the highs, indicating caution from investors despite no panic in Asian bond markets.
Korea and Singapore: $ASW has widened recently, but with improved risk sentiment, these could be opportunities to fade recent moves.
Malaysia and Korea: Malaysian bonds offer the best $1ASW in the very front end, while Korean bonds provide the best spread in the belly sector.
Chart 8-11: ASW curves for South Korea, Thailand, Malaysia, and Singapore, illustrating the evolution of $ASW levels.
Regional ASW Curves: Includes charts for South Korea, Thailand, Malaysia, and Singapore, showing the dynamics of ASW across different maturities.

LATAM Region

Latam Markets: Suffered from outflows during recent EM turmoil, with swap rates and bond yields increasing equally. Curve shapes remained unchanged.
Mexico and Colombia: Mexico's back-end of the curve and Colombia's front-end have cheapened compared to two weeks ago.
COP Forward Points: The collapse in COP forward points is visible in the 5y benchmark 3m FX Swap graph, with COLTES taking the highest yield crown from NTNFs and becoming the cheapest bond in Latam.
Chart 12-15: ASW curves for Mexico, Brazil, Colombia, and Chile, highlighting the changes in $ASW levels and yield dynamics.

ASW Evolution Analysis

Chart 16: CEEMEA 5y government vs. 3m FX swap, showing the relationship between ASW and FX swap rates.
Chart 18: ASIA 5y government vs. 3m FX swap (10dma), illustrating the trend in ASW over the past 10 days.
Chart 20: LATAM 5y government vs. 3m FX swap, providing insights into the ASW dynamics in the region.
Chart 17, 19, 21: ASW levels for CEEMEA, ASIA, and LATAM respectively, showing the spread of $ASW across different maturities.

Detailed Bond Data

Poland

POLGB 5.75 25/04/14 0414: $ASW at -35 bp, Yield vs 3M FX SWAP at -0.32%.
POLGB 2.5 25/07/18: $ASW at 52 bp, Yield vs 3M FX SWAP at 1.33%.
POLGB 5.5 25/10/19 1019: $ASW at 64 bp, Yield vs 3M FX SWAP at 1.53%.

Hungary

HGB 5.5 20/12/18 18/A: $ASW at 197 bp, Yield vs 3M FX SWAP at 2.45%.
HGB 6.5 24/6/19 119/A: $ASW at 206 bp, Yield vs 3M FX SWAP at 2.60%.
HGB 6.75 22/10/28 28/A: $ASW at 199 bp, Yield vs 3M FX SWAP at 4.03%.

South Africa

SAGB 8.25 15/09/17 R203: $ASW at -27 bp, Yield vs 3M FX SWAP at 1.79%.
SAGB 7.25 15/01/20 R207: $ASW at -19 bp, Yield vs 3M FX SWAP at 2.28%.
SAGB 7.75 28/02/31 R213: $ASW at -21 bp, Yield vs 3M FX SWAP at 3.16%.

Czech Republic

CZGB 5 11/04/19 56: $ASW at 58 bp, Yield vs 3M FX SWAP at 1.13%.
CZGB 4.85 26/11/57: $ASW at 231 bp, Yield vs 3M FX SWAP at 4.18%.
CZGB 3.85 18/08/23 M20: $ASW at 95 bp, Yield vs 3M FX SWAP at 3.80%.

Israel

ILGOV 6 28/02/19: $ASW at 22 bp, Yield vs 3M FX SWAP at 1.58%.
ILGOV 5.5 31/01/22 0122: $ASW at 41 bp, Yield vs 3M FX SWAP at 2.47%.
ILGOV 6.25 30/10/26: $ASW at 49 bp, Yield vs 3M FX SWAP at 4.11%.

Turkey

TURKGB 8.3 20/06/18: $ASW at 99 bp, Yield vs 3M FX SWAP at -0.03%.
TURKGB 9.5 12/01/22: $ASW at 118 bp, Yield vs 3M FX SWAP at 3.86%.
TURKGB 7.75 29/05/31 M20: $ASW at 97 bp, Yield vs 3M FX SWAP at 4.90%.

Mexico

MBONO 8.5 13/12/18 M10: $ASW at 90 bp, Yield vs 3M FX SWAP at 2.61%.
MBONO 10 20/11/36 M30: $ASW at 118 bp, Yield vs 3M FX SWAP at 4.90%.
MBONO 8.5 18/11/38 M30: $ASW at 103 bp, Yield vs 3M FX SWAP at 4.94%.

Colombia

COLTES 5 21/11/18 B: $ASW at 115 bp, Yield vs 3M FX SWAP at 4.46%.
COLTES 10 24/07/24 B: $ASW at 93 bp, Yield vs 3M FX SWAP at 5.32%.
COLTES 7.5 26/08/26: $ASW at 85 bp, Yield vs 3M FX SWAP at 5.81%.

Brazil

BNTNF 10 01/01/21 BRO: $ASW at 134 bp, Yield vs 3M FX SWAP at 4.30%.
BNTNF 10 01/01/23 NTNF: $ASW at 121 bp, Yield vs 3M FX SWAP at 4.36%.

Chile

BTPCL 6 01/01/18 0213: $ASW at 35 bp, Yield vs 3M FX SWAP at 0.77%.
CHILE 6 01/01/32 REGS: $ASW at 0 bp, Yield vs 3M FX SWAP at 0.49%.
CHILE 6 01/01/43 REGS: $ASW at 3 bp, Yield vs 3M FX SWAP at 0.39%.

Thailand

THAIGB 3.45 8/3/19: $ASW at 40 bp, Yield vs 3M FX SWAP at -0.57%.
THAIGB 4.75 20/12/24: $ASW at 80 bp, Yield vs 3M FX SWAP at 0.14%.
THAIGB 3.65 20/6/31: $ASW at 77 bp, Yield vs 3M FX SWAP at 0.39%.

South Korea

NDFB 3.5 10/6/14 1406: $ASW at 12 bp, Yield vs 3M FX SWAP at 0.53%.
NDFB 5 10/09/14 1409: $ASW at 35 bp, Yield vs 3M FX SWAP at 0.56%.
NDFB 3.25 10/12/14 1412: $ASW at 35 bp, Yield vs 3M FX SWAP at 0.56%.

Conclusion

The report highlights the varying dynamics of ASW across different EM regions. While some markets like CEE and ASIA show resilience or caution, others like Latam experience outflows and yield increases. Turkey's external bonds remain attractive due to their low $ASW levels. The analysis also shows that the $ASW levels and yield movements are closely linked to FX swap rates, with some bonds offering better value in specific segments. The data suggests potential opportunities in certain markets depending on risk sentiment and market conditions.

展开完整摘要