20140611-巴黎银行证券-EM_ASW_Monitor_15页_3mb

EM STRATEGY Summary

Core Content

This document provides an analysis of Emerging Market (EM) Asset Swap (ASW) curves and bond inflows across different regions: Asia, CEEMEA, and Latin America (LATAM). It outlines the trends in bond yields, ASW levels, and FX swap rates, along with market insights and strategic recommendations.

Key Insights by Region

Asia

• Bond Inflows: Asia continues to benefit from moderate bond inflows. Korea and India saw the strongest combined portfolio inflows into bonds. Thailand experienced a positive turnaround with its first week of inflows after four weeks of outflows.
• ASW Trends: Local currency ASW and $ASW have widened across the region except for Korea. Current levels are still tighter compared to a month ago.
• Recommendation: The document recommends continuing to buy SIGB 21s versus swaps.
• Best $ASW: Malaysian and Korean bonds offer the best $ASW in the very front end. The 5y MGS in Malaysia is currently yielding ~160 bps when FX hedged for 3 months, which is the highest in the region.

CEEMEA

• Bond Inflows: Bond inflows to Turkey, Hungary, and South Africa were sizable over the past couple of weeks, driven by ECB actions and expectations of further monetary accommodation.
• ASW Trends: The ASW and $ASW curves in Poland, Hungary, Czech Republic, and South Africa have continued to tighten over the last month. The exception is Israel, where the $ASW curve has widened significantly.
• Hungary: The ASW tightening in Hungary has been the most dramatic, with the 5y yield (FX hedged) declining by over 100bp since April. However, there is currently very little FX premium priced in, and due to concerns over FX stability, the recommendation is to take profit on the long HGB 19/A position.

LATAM

• Mexico: The Mexican curve witnessed tightening in both $ASW and ASW, with $ASW outperforming the latter. This is attributed to the compression seen in xccy basis following a 50bp surprise rate cut last Friday.
• COLTES: The front-end tightening move in COLTES continued, but to a lesser extent. Brazil and Chile curves are largely unchanged from levels a month ago.

Key Information

• ASW and $ASW are used to assess the relative value of bonds compared to FX swaps.
• Yield vs FX Swap indicates the spread between bond yields and FX swap rates, which is crucial for assessing the relative attractiveness of bonds.
• Yield/MD (Yield per Modified Duration) helps in understanding the sensitivity of bond prices to interest rate changes.

Tables and Charts

• Table 1: Provides a ranking of 5y benchmarks based on $ASW levels.
• Charts 1–21: Visual representations of ASW curves for various countries, highlighting trends and movements over time.

Strategic Recommendations

• In Asia, continue buying SIGB 21s versus swaps.
• In CEEMEA, take profit on the long HGB 19/A position in Hungary due to FX concerns.
• In LATAM, the tightening in Mexico and COLTES is noted, while Brazil and Chile remain stable.

Conclusion

The document emphasizes the importance of monitoring bond inflows, ASW trends, and FX stability in different emerging markets. It provides a detailed analysis of the current market conditions and offers strategic recommendations based on the observed movements and relative values of bonds.