20140529-巴黎银行证券-EM_ASW_Monitor_15页_672kb

EM STRATEGY Summary

Core Content

This document provides an analysis of the Asset Swap (ASW) dynamics in Emerging Markets (EM) across three regions: Asia, CEEMEA, and Latin America (LATAM), focusing on bond yields, ASW levels, and currency swap movements. It highlights opportunities and trends in the fixed income market based on recent data and insights.

Main Points

Asia

• Portfolio Inflows: Inflows into Asian fixed income remain positive, but inflows into Korean and Thai bonds have slowed.
• ASW Widening: Local currency ASW and $ASW have widened recently, creating attractive opportunities to buy bonds against swaps, especially in SGD.
• Best $ASW: Malaysian and Korean bonds continue to offer the best $ASW in the very front end, with the 5y MGS yielding ~170 bps when currency hedged for 3 months.

CEEMEA

• ASW Tightening: CEE ASW curves have continued to tighten in both local and $ASW terms compared to one month ago.
• Regional Highlights:
  • Poland: The longer end of the POLGB curve has seen the most pronounced moves.
  • Hungary: The belly of the HGB curve has seen the most significant tightening.
  • Turkey: $ASW has widened significantly, possibly due to outflows from non-residents into TURKGBs.
• Flows Data: Inflows into HGBs and SAGBs have been strong, while outflows have been noted in TURKGBs.

Latin America (LATAM)

• Colombia: The curve has flattened further after a surprise hike at the end of the last month. The belly has seen tightening in both ASW and $ASW terms, while the back-end has not followed suit, making COLTES 26s and 28s more valuable compared to 24s.
• Other Countries:
  • Mexico and Brazil: Their curves have slightly widened.
  • Chile: The curve has flattened further compared to a month ago.

Key Information

Table 1: $ASW Ranking of 5y Benchmarks

• HGB 5.5 20/12/18 18/A: $ASW = 134 bps
• BNTNF 10 01/01/18: $ASW = 126 bps
• MGS 3.26 1/3/18 0213: $ASW = 92 bps
• NDFB 5 3/4 09/10/18: $ASW = 88 bps
• MBONO 8.5 13/12/18: $ASW = 63 bps
• CZGB 5 11/04/19 56: $ASW = 55 bps
• CHILE 6 01/01/18: $ASW = 49 bps
• COLTES 5 21/11/18 B: $ASW = 44 bps
• ILGOV 6 28/02/19: $ASW = 39 bps
• POLGB 2.5 25/07/18: $ASW = 34 bps
• LB193A 3.45 8/3/19: $ASW = 25 bps
• SIGB 2.5 1/6/19: $ASW = 24 bps
• TURKGB 8.3 20/06/18: $ASW = 20 bps
• SAGB 8 21/12/18 R204: $ASW = -24 bps

ASW Evolution Charts

• CEEMEA 5y Government vs. 3m FX Swap: Illustrates the tightening of ASW curves.
• ASIA 5y Government vs. 3m FX Swap (10dma): Shows the widening of ASW in Asian markets.
• LATAM 5y Government vs. 3m FX Swap: Demonstrates the flattening and widening trends in Latin American markets.

Regional ASW Curve Details

Poland

• POLGB 0 25/07/14: ASW = -62, $ASW = -45
• POLGB 5.5 25/04/15 0415: ASW = -10, $ASW = 12
• POLGB 0 25/07/15 0715: ASW = -10, $ASW = 13
• POLGB 6.25 24/10/15 S1015: ASW = -3, $ASW = 21
• POLGB 0 25/01/16 0116: ASW = -2, $ASW = 22
• POLGB 5 25/04/16 0416: ASW = -2, $ASW = 23
• POLGB 4.75 25/10/16 1016: ASW = -3, $ASW = 24
• POLGB 4.75 25/04/17 0417: ASW = -3, $ASW = 26
• POLGB 5.25 25/10/17 S1017: ASW = -1, $ASW = 31
• POLGB 3.75 25/04/18 0418: ASW = 0, $ASW = 32
• POLGB 2.5 25/07/18: ASW = 2, $ASW = 34
• POLGB 5.5 25/10/19 1019: ASW = 2, $ASW = 39
• POLGB 5.25 25/10/20 1020: ASW = 6, $ASW = 42
• POLGB 5.75 25/10/21 1021: ASW = 10, $ASW = 46
• POLGB 5.75 23/9/22 S0922: ASW = 12, $ASW = 48
• POLGB 4 25/10/23 1023: ASW = 9, $ASW = 41
• POLGB 2.75 25/04/28 0428: ASW = 19, $ASW = 43
• POLGB 5.75 25/04/29 0429: ASW = 30, $ASW = 59
• POLGB 5 25/4/37 0437: ASW = 47, $ASW = 71

Hungary

• HGB 6.75 22/08/14 14/D: ASW = -13, $ASW = 47
• HGB 8 12/2/15 15/A: ASW = -19, $ASW = 54
• HGB 7.75 24/08/15 15/C: ASW = -28, $ASW = 57
• HGB 5.5 12/2/16 16/C: ASW = -9, $ASW = 82
• HGB 5.5 22/12/16 16/D: ASW = 9, $ASW = 108
• HGB 6.75 24/2/17 17/B: ASW = 20, $ASW = 121
• HGB 6.75 24/11/17 17/A: ASW = 25, $ASW = 130
• HGB 4 25/04/18 18/B: ASW = 26, $ASW = 129
• HGB 5.5 20/12/18 18/A: ASW = 28, $ASW = 134
• HGB 6.5 24/6/19 119/A: ASW = 35, $ASW = 143
• HGB 7.5 12/11/20 20/A: ASW = 51, $ASW = 156
• HGB 7 24/06/22 22/A: ASW = 62, $ASW = 159
• HGB 6 24/11/23 23/A: ASW = 46, $ASW = 134
• HGB 5.5 24/06/25 25/B: ASW = 41, $ASW = 121
• HGB 6.75 22/10/28 28/A: ASW = 85, $ASW = 150

South Africa

• SAGB 8.75 21/12/14 R201: ASW = -12, $ASW = -45
• SAGB 13.5 15/9/15 R157: ASW = 18, $ASW = -19
• SAGB 8.25 15/9/17 R203: ASW = 12, $ASW = -19
• SAGB 8 21/12/18 R204: ASW = 4, $ASW = -24
• SAGB 7.25 31/01/20 R207: ASW = 6, $ASW = -22
• SAGB 6.75 31/03/21 R208: ASW = 2, $ASW = -24
• SAGB 7.75 28/02/23 2023: ASW = -2, $ASW = -27
• SAGB 10.5 21/12/26 R186: ASW = -18, $ASW = -37
• SAGB 7 28/02/31 R213: ASW = 15, $ASW = -13
• SAGB 6.25 31/03/36 R209: ASW = 26, $ASW = -6
• SAGB 8.5 31/01/37 2037: ASW = 44, $ASW = 4

Czech Republic

• CZGB 3.8 04/15: ASW = -29, $ASW = 1
• CZGB 3.4 01/09/15 60: ASW = -25, $ASW = 23
• CZGB 6.95 26/1/2016 S34: ASW = -21, $ASW = 25
• CZGB 0.5 28/07/16 3Y: ASW = -12, $ASW = 32
• CZGB 4 11/4/17 51: ASW = -8, $ASW = 40
• CZGB 4.6 18/8/18: ASW = -7, $ASW = 38
• CZGB 5 11/04/19 56: ASW = 3, $ASW = 55
• CZGB 1.5 29/10/19 6Y: ASW = 9, $ASW = 49
• CZGB 3.75 12/9/20 46: ASW = 24, $ASW = 66
• CZGB 3.85 29/09/21 61: ASW = 28, $ASW = 69
• CZGB 4.7 12/9/22 52: ASW = 36, $ASW = 75
• CZGB 5.7 25/05/24 58: ASW = 40, $ASW = 77
• CZGB 2.5 25/08/28 15Y: ASW = 54, $ASW = 79
• CZGB 4.2 4/12/36 49: ASW = 106, $ASW = 142
• CZGB 4.85 26/11/57: ASW = 175, $ASW = 241

Israel

• SHAHAR 7.5 31/3/14 2682: ASW = 6, $ASW = 32
• ILGOV 3.5 31/08/14 0814: ASW = -1, $ASW = 33
• ILGOV 4.5 30/01/15: ASW = 2, $ASW = 34
• SHAHAR 6.5 31/1/16 2683: ASW = -1, $ASW = 32
• ILGOV 2.5 31/05/16 0516: ASW = 3, $ASW = 36
• ILGOV 4.25 31/08/16 0816: ASW = 4, $ASW = 38
• ILGOV 5.5 28/2/17: ASW = 5, $ASW = 39
• ILGOV 4 31/01/18 0118: ASW = 8, $ASW = 43
• ILGOV 6 28/02/19: ASW = 21, $ASW = 57
• ILGOV 5 31/01/20: ASW = 21, $ASW = 58
• ILGOV 5.5 31/01/22 0122: ASW = 27, $ASW = 64
• ILGOV 4.25 31/03/23 0323: ASW = 68, $ASW = 104
• ILGOV 8.25 26/11/26: ASW = 69, $ASW = 142
• ILGOV 6.25 30/10/26: ASW = 6, $ASW = 32

Turkey

• TURKGB 8 04/06/14: ASW = 86, $ASW = 9
• TURKGB 0 06/11/14: ASW = 381, $ASW = 3
• TURKGB 11 06/08/14: ASW = -188, $ASW = 34
• TURKGB 0 06/08/14: ASW = -65, $ASW = 103
• TURKGB 7.5 24/09/14: ASW = -112, $ASW = 53
• TURKGB 6.5 07/01/15: ASW = -58, $ASW = 51
• TURKGB 5 13/05/15 2Y: ASW = -36, $ASW = 55
• TURKGB 10 17/06/15: ASW = -62, $ASW = 31
• TURKGB 8.3 20/06/18: ASW = -84, $ASW = 20
• TURKGB 10.5 15/01/20: ASW = -79, $ASW = 31
• TURKGB 9.5 12/01/22: ASW = -72, $ASW = 41
• TURKGB 8.5 14/09/22: ASW = -79, $ASW = 37
• TURKGB 7.1 08/03/23: ASW = -85, $ASW = 33
• TURKGB 4.85 26/11/57: ASW = 175, $ASW = 241

Mexico

• MBONO 7 19/06/14 M: ASW = -87, $ASW = -27
• MBONO 9.50 18/12/14 MI10: ASW = -34, $ASW = 41
• MBONO 6 18/06/15 M: ASW = -25, $ASW = 47
• MBONO 8 17/12/15 M10: ASW = -26, $ASW = 50
• MBONO 6.25 16/06/16 M: ASW = -34, $ASW = 45
• MBONO 7.25 15/12/16 M10: ASW = -29, $ASW = 51
• MBONO 5 15/06/17 M: ASW = -32, $ASW = 50
• MBONO 7.75 14/12/17 M10: ASW = -22, $ASW = 61
• MBONO 4.75 14/06/18 M: ASW = -23, $ASW = 61
• MBONO 8.5 13/12/18 M 10: ASW = -22, $ASW = 63
• MBONO 8 11/06/20 M: ASW = -34, $ASW = 58
• MBONO 6.5 10/06/21 M: ASW = -45, $ASW = 52
• MBONO 6.5 09/06/22 M: ASW = -38, $ASW = 61
• MBONO 8.0 07/12/23 M20: ASW = -35, $ASW = 67
• MBONO 10 20/11/24 M20: ASW = -33, $ASW = 71
• MBONO 7.75 29/05/31 M20: ASW = -48, $ASW = 62
• MBONO 7.75 23/11/34 M30: ASW = -39, $ASW = 75
• MBONO 10 20/11/36 M30: ASW = -11, $ASW = 97
• MBONO 8.5 18/11/38 M 30: ASW = -27, $ASW = 86
• MBONO 7.75 13/11/42 M: ASW = -39, $ASW = 77

Colombia

• COLTES 13.5 12/09/14 B: ASW = -20, $ASW = 25
• COLTES 8 28/10/15 SERIES B: ASW = 25, $ASW = 58
• COLTES 7.25 15/06/16 B: ASW = 33, $ASW = 62
• COLTES 11.25 24/10/18 B: ASW = 60, $ASW = 77
• COLTES 5 21/11/18 B: ASW = 23, $ASW = 44
• COLTES 7 11/09/19 B: ASW = 31, $ASW = 52
• COLTES 10 24/07/20 B: ASW = 10, $ASW = 35
• COLTES 7.5 26/08/26: ASW = 56, $ASW = 75
• COLTES 6 28/04/28 B: ASW = 26, $ASW = 50

Brazil

• BNTNF 10 01/01/15 NTNF: ASW = 2, $ASW = 71
• BNTNF 10 01/01/17: ASW = -30, $ASW = 116
• BNTNF 10 01/01/18 NTNF: ASW = -35, $ASW = 126
• BNTNF 10 01/01/21 BRO: ASW = -48, $ASW = 127
• BNTNF 10 01/01/23 NTNF: ASW = -54, $ASW = 117

Chile

• BCPCL 6 01/02/16 5YR: ASW = 15, $ASW = 23
• BCPCL 6 01/08/16 5YR: ASW = 15, $ASW = 24
• BCPCL 6 01/01/17 5YR: ASW = 25, $ASW = 34
• BCPCL 6 01/06/17 5YR: ASW = 25, $ASW = 33
• BTPCL 6 01/01/18 7YR: ASW = 40, $ASW = 49
• CHILE 6 01/01/18 REGS: ASW = 40, $ASW = 49
• CHILE 6 01/01/22 REGs: ASW = 5, $ASW = 34
• CHILE 6 01/01/32 REGS: ASW = -36, $ASW = 9
• CHILE 6 01/01/43 REGS: ASW = -37, $ASW = 12

Thailand

• THAIGB 7.2 7/7/15 S02-2: ASW = 26, $ASW = -11
• THAIGB 3.125 11/12/15: ASW = 19, $ASW = -14
• THAIGB 5 26/5/17: ASW = 17, $ASW = -23
• LB193A 3.45 8/3/19: ASW = 37, $ASW = 25
• LB19DA 5.375 3/12/19 05-3: ASW = 27, $ASW = 25
• LB21DA 3.65 17/12/21: ASW = 40, $ASW = 49
• THAIGB 4.75 20/12/24: ASW = 33, $ASW = 58
• THAIGB 3.65 20/6/31: ASW = -11, $ASW = 56

South Korea

• NDFB 4 1/4 09/10/14: ASW = -10, $ASW = 46
• NDFB 5 10/09/14 1409: ASW = -10, $ASW = 45
• NDFB 3.25 10/12/14 1412: ASW = -6, $ASW = 53
• NDFB 4 1/2 03/10/15: ASW = -1, $ASW = 65
• NDFB 3.25 10/6/15 0325: ASW = -2, $ASW = 72
• NDFB 4 10/9/15 1509: ASW = 0, $ASW = 78
• NDFB 5 1/4 09/10/15: ASW = 1, $ASW = 79
• NDFB 2.75 10/12/15 1512: ASW = 0, $ASW = 83