2025-11-05-Deutsche_Bank-Deutsche_Bank-Asia_Macro_Strategy_Notes_CCS_monitor_Stuck-118458976_19页_3mb

报告摘要

Asia Macro Strategy Notes Summary

Core Content Overview

This document provides an analysis of the Asia cross-currency swap (CCS) and asset swap (ASW) markets, focusing on the current state of Xccy basis and fixed leg rates, as well as their seasonality and attractiveness for different investors.

Key Observations

1. Asia Xccy Basis Trends

The Xccy basis in Asia has been trading within a narrower range over the last three months compared to the average of the last eight years.
Despite the narrow range, trading volume in Asia CCS has remained elevated, with a slight dip in summer months.
KRW CCS trading volume nearly doubled from the beginning of the year, while CNH CCS and INR CCS volumes declined slightly.

2. Factors Influencing Xccy Basis

In Asia (excluding China), the narrow Xccy basis range is attributed to already elevated levels and limited demand for receiving them.
The USD's reserve currency status limits the ability of the basis to turn positive.
Insufficient genuine receiving interest from corporates and asset managers further constrains the Xccy basis.

3. CNH Xccy Basis Dynamics

The CNH Xccy basis is near the bottom of its four-year range.
Strong receiving interest from dim sum bond issuances by foreign entities exists, but concerns about sustainability are present.
If USD bond-swap spreads narrow, the USD curve flattens, or the CNH Xccy basis decreases, this interest could abate.
Most market participants are not convinced that the current level is a good one to pay for the basis.

4. Rare Phenomenon: CNH Front-End CCS Below CNY

It is rare for CNH front-end CCS to trade below CNY front-end CCS.
This is due to onshore corporates using S/B FX swaps to enhance returns from USD holdings.
Ample CNH liquidity and support from the HKMA keep CNH front-end CCS low.

5. Thai Investors and Reverse ASW

The attractiveness of reverse ASW for Thai investors has diminished.
This is more a result of the sell-off in Thai government bonds and the rally in DM government bonds.
The THB Xccy basis itself has not seen a significant rally.

Cross-Currency Swap Monitor

1. Implied Xccy Basis and Percentiles

Currency	1Y (bps)	2Y (bps)	3Y (bps)	5Y (bps)	10Y (bps)	20Y (bps)	1Y (%)	2Y (%)	3Y (%)	5Y (%)	10Y (%)
Offshore
CNH	-6	-5	-6	-4	-16		20%	28%	35%	50%	69%
INR	47	55	64	61	31		52%	65%	83%	88%	84%
KRW	42	44	42	-39	-54	-70	98%	97%	96%	97%	89%
PHP	-16	-12	-12	-10	2		28%	28%	35%	57%	81%
Onshore
INR	47	47	57	63	45		58%	56%	67%	75%	57%
KRW	46	47	45	42	-62	-66	97%	99%	98%	97%	84%
TWD	45	-59	-59	-64	-99		89%	84%	86%	88%	27%
SGD	-1	-1	-12	-21	-33	-64	76%	88%	97%	93%	47%
THB	-15	-4	-4	-10	-29	-42	84%	89%	89%	95%	91%
MYR	50	39	36	-36	-53		90%	95%	97%	97%	95%
DM
EUR	-21	-23	-34	-43	-59	-416	95%	95%	94%	94%	92%
AUD	1.9	2.6	3.4	4.9	8.5	6.8	66%	65%	71%	61%	57%
JPY	-26	-30	-38	-37	-39	-38	99%	100%	100%	100%	99%

2. Implied CCS Fixed Leg Rates

Currency	1Y (%)	2Y (%)	3Y (%)	5Y (%)	10Y (%)	20Y (%)	1s2s (%)	1s5s (%)	5s10s (%)
Offshore
CNH	1.49	1.47	1.48	1.52	1.54		-0.02	0.02	0.03
INR*	5.93	5.95	6.12	6.25	6.19		0.03	0.33	-0.06
KRW	2.10	2.09	2.15	2.28	2.25	2.11	-0.02	0.18	-0.03
IDR*	4.90	5.01	5.10	5.31	5.61		0.11	0.40	0.31
PHP*	4.43	4.45	4.48	4.60	4.71		0.02	0.17	0.11
Onshore
INR*	5.94	5.88	6.07	6.30	6.37		-0.06	0.36	0.07
KRW	2.06	2.05	2.12	2.24	2.16	2.05	-0.01	0.18	-0.08
TWD	1.17	0.98	0.99	1.00	1.05		-0.20	-0.17	0.05
SGD	1.18	1.19	1.22	1.28	1.41	1.23	-0.02	0.10	0.13
THB	1.03	1.02	1.04	1.12	1.26	1.64	-0.01	0.09	0.14
MYR	2.73	2.79	2.82	2.89	2.91		0.06	0.16	-0.07
DM
EUR	1.83	1.82	1.87	2.02	2.35	2.67	-0.01	0.23	0.29
AUD	3.37	3.36	3.41	3.60	4.25	4.55	-0.01	0.31	0.33
JPY	3.73	3.57	3.54	3.71	4.12	4.68	-0.01	0.31	0.30

Asset Swap (ASW) Monitor

1. ASW Pick-Up Over Floating SOFR Rate

Currency	1Y (bps)	2Y (bps)	3Y (bps)	5Y (bps)	10Y (bps)	20Y (bps)	1Y (%)	2Y (%)	3Y (%)	5Y (%)	10Y (%)	20Y (%)
Offshore
CNH	-1	3	5	9	30		81%	68%	67%	49%	28%
INR*	-119	-105	-101	-102	-64		56%	31%	20%	10%	25%
KRW	26	47	45	45	67	78	1%	2%	4%	1%	7%	19%
IDR*	-60	-59	-56	-43	-22		65%	62%	62%	65%	72%
PHP*	-20	-12	-7	-4	7	6	86%	71%	68%	58%	52%	39%
Onshore
INR*	-120	-98	-96	-107	-81		46%	34%	24%	9%	34%
KRW	30	50	49	49	76	84	1%	1%	3%	1%	11%	25%
SGD	19	26	0	36	40	66	46%	73%	48%	12%	3%	34%
THB	22	20	19	19	45	60	77%	66%	42%	13%	23.1%	8%
MYR	16	24	28	34	57	61	3%	4%	3%	5%	5%	39%
DM
EUR	-1	11	11	16	20	28	4%	38%	54%	65%	71%	98%
AUD	4.4	28.0	29.8	-34.0	-58.8	-43.8	45%	39%	39%	50%	56%	65%
JPY	16	9	5	10	12	13	4%	2%	3%	4%	9%	20%

2. ASW All-In Rates in USD

Currency	1Y (%)	2Y (%)	3Y (%)	5Y (%)	10Y (%)	20Y (%)	1Y (%)	2Y (%)	3Y (%)	5Y (%)	10Y (%)	20Y (%)
Offshore
CNH	3.48	3.29	3.28	3.38	3.87		68%	68%	68%	69%	78%
INR*	2.30	2.21	2.22	2.26	2.93		65%	62%	55%	53%	71%
KRW	3.75	3.72	3.67	3.73	4.23	4.66	61%	58%	55%	52%	69%	84%
IDR*	2.89	2.67	2.67	2.85	3.35		64%	62%	62%	65%	76%
PHP*	3.29	3.13	3.16	3.25	3.63		69%	67%	64%	65%	77%
Onshore
INR*	2.28	2.28	2.26	2.21	2.75		57%	54%	52%	53%	72%
KRW	3.79	3.76	3.71	3.77	4.23	4.72	61%	58%	55%	52%	69%	84%
SGD	3.68	3.51	3.64	3.96	4.54		32%	30%	31%	33%	32%	24%
THB	3.71	3.46	3.41	3.48	4.02	4.48	64%	63%	64%	65%	70%	72%
MYR	3.65	3.50	3.50	3.62	4.13	3.88	61%	61%	61%	63%	66%	83%
DM
EUR	3.48	3.37	3.33	3.45	3.80	4.28	64%	64%	65%	63%	73%	90%
AUD	3.53	3.26	3.19	3.27	3.46	3.85	71%	70%	69%	72%	88%	94%
JPY	3.73	3.57	3.54	3.71	2.90	3.47	68%	66%	65%	65%	76%	87%

3. ASW Pick-Up Over Floating ESTR Rate

Currency	1Y (bps)	2Y (bps)	3Y (bps)	5Y (bps)	10Y (bps)	20Y (bps)	1Y (%)	2Y (%)	3Y (%)	5Y (%)	10Y (%)	20Y (%)
Offshore
CNH	-3	1	2	5	25		92%	82%	77%	69%	58%
INR*	121	107	104	107	-70		70%	50%	35%	17%	35%
KRW	24	44	42	40	61	73	5%	3%	5%	2%	4%	5%
IDR*	-62	-62	-59	-48	-27		65%	43%	21%	10%	9%
PHP*	-22	-15	-10	-8	-17		89%	72%	72%	73%	82%
Onshore
INR*	-120	-109	-107	-124	-105		50%	25%	14%	7%	14%
KRW	31	39	38	32	52	44	6%	2%	3%	1%	5%	7%
SGD	20	15	20	16	27	27	60%	26%	48%	20%	3%	3%
THB	23	9	8	3	22	21	82%	28%	12%	7%	14%	7%
MYR	16	24	28	34	57		64%	66%	64%	64%	65%
DM
EUR	-1	11	11	16	24	40	23%	93%	94%	94%	93%	96%
AUD	1.87	1.81	1.84	2.00	2.25	2.85	71%	70%	69%	72%	88%	94%
JPY	2.07	2.13	2.19	2.44	2.90	3.47	68%	66%	65%	65%	76%	87%

4. ASW Pick-Up Over Bund

Currency	1Y (bps)	2Y (bps)	3Y (bps)	5Y (bps)	10Y (bps)	20Y (bps)	1Y (%)	2Y (%)	3Y (%)	5Y (%)	10Y (%)	20Y (%)
Offshore
CNH	0	-8	-5	-7	7		86%	59%	43%	32%	24%
INR*	-18	-16	-11	-19	-87		58%	21%	11%	7%	11%
KRW	27	36	34	28	43	38	5%	3%	5%	2%	4%	5%
IDR*	-59	-70	-66	-60	-45		65%	43%	21%	10%	9%
PHP*	-19	-24	-17	-20	-17		89%	63%	56%	42%	40%
Onshore
INR*	-120	-109	-107	-124	-105		50%	25%	14%	7%	14%
KRW	31	39	38	32	52	44	6%	2%	3%	1%	5%	7%
SGD	20	15	20	16	27	27	60%	26%	20%	3%	3%
THB	23	9	8	3	22	21	82%	28%	12%	7%	14%	7%
MYR	16	24	28	34	57		64%	66%	64%	64%	65%
DM
EUR	-1	11	11	16	24	40	23%	93%	94%	94%	93%	96%
AUD	1.87	1.81	1.84	2.00	2.25	2.85	71%	70%	69%	72%	88%	94%
JPY	2.07	2.13	2.19	2.44	2.90	3.47	68%	66%	65%	65%	76%	87%

Conclusion

The Asia CCS and ASW markets are experiencing low volatility in Xccy basis and elevated trading volumes, particularly for KRW. The CNH Xccy basis is at a low level, driven by foreign bond issuances and HKMA support, but its sustainability is under question. In contrast, THB Xccy basis has not seen a rally, and reverse ASW for Thai investors is less attractive due to government bond dynamics. The USD-based investors face a limited pick-up in ASW rates, with KRW and SGD showing higher attractiveness. EUR-based investors also observe low pick-up in ASW rates, with CNH and JPY showing higher percentiles. Overall, the market dynamics and investor sentiment play a crucial role in the current state of the CCS and ASW markets in Asia.