20140220-巴黎银行证券-EM_ASW_Monitor_15页_1mb

EM STRATEGY Summary

Core Content

This document provides an overview of the Emerging Markets (EM) Asset Swap (ASW) market conditions and trends across different regions: CEEMEA, ASIA, and LATAM, as of 20 February 2014. It discusses the performance of government bonds (GBs), the impact of central bank actions, and the relative attractiveness of bonds in terms of spreads and yield/MD (yield per modified duration) across various maturities and currencies.

Main Points

CEEMEA Region

• Hungarian Government Bonds (HGBs):

  • HGBs have cheapened in ASW terms due to the 15bp cut by the NBH, which triggered a sell-off and weakened the HUF.
  • HGB 20/A still offer attractive spreads to both foreign and domestic investors.

• South African Government Bonds (SAGBs):

  • SAGBs have remained stable over the past couple of weeks.
  • Swaps have outperformed, leading to a cheapening of the bonds in ASW and $ASW terms.

• Turkish Government Bonds (TURKGBs):

  • TURKGBs continue to struggle as they stand rich in $ASW terms compared to TURKEY USD bonds.
  • TURKEY'17 is one of the cheapest bonds in CDS-basis terms.

• Poland:

  • POLGB 20/A has seen a notable cheapening in ASW terms, with the lowest ASW levels among all maturities.
  • The yield/MD ratio has decreased over time, indicating lower sensitivity to yield changes.

• Hungary:

  • HGB 20/A has shown an increase in both ASW and $ASW levels, but still offers attractive yield/MD ratios.
  • The ASW levels have increased slightly compared to three months ago, indicating a more expensive bond in terms of swaps.

• Czech Republic:

  • CZGBs have seen a general increase in ASW and $ASW levels over the past few months.
  • The yield/MD ratio has decreased, suggesting lower sensitivity to yield changes.

• Israel:

  • ILGOV bonds have shown a mixed performance in ASW terms, with some bonds becoming cheaper and others more expensive.
  • The yield/MD ratio has generally decreased, indicating a more stable bond in terms of yield sensitivity.

• Turkey:

  • TURKGBs have been expensive in $ASW terms, with TURKEY'17 being one of the cheapest in CDS-basis terms.
  • The yield/MD ratio has decreased over time, suggesting lower sensitivity to yield changes.

ASIA Region

• Asian CDS:

  • Improved global risk appetite has led to a decline in CDS spreads from wide levels.
  • This trend is expected to continue.

• Foreign Portfolio Flows:

  • There has been a return of foreign portfolio flows into South Korea, Thailand, and India.

• Local Currency ASW and $ASW:

  • The document expects further tightening of spreads across Asia.

• Malaysia:

  • Malaysian bonds continue to offer the best $ASW in the very front end.

LATAM Region

• LATAM Bonds:

  • Overall, LATAM bonds have remained largely unchanged in ASW and 3m FX-hedged terms.

• Mexico:

  • The belly of the Mbono curve still provides the best value in ASW terms, despite liquidity constraints.

• Colombia:

  • The curve has become cheaper compared to two weeks ago.
  • COLTES Oct 18s have stood out due to liquidity drying up after removal from obligatory quotations of local primary dealers.

Key Information

• The ASW (Asset Swap) and $ASW (USD Asset Swap) are used to evaluate the relative value of government bonds in different markets.
• Yield/MD is a key metric to assess the sensitivity of bond yields to changes in interest rates.
• The 3m FX-hedged yield is a measure of the bond's value adjusted for foreign exchange risks.
• The CDS-basis is used to compare the value of bonds relative to credit default swaps (CDS), indicating the cost of credit risk.
• Liquidity constraints and changes in quotation requirements significantly affect the performance of bonds, especially in Colombia and Mexico.
• Foreign portfolio flows have started to return to certain Asian markets, which is a positive indicator for bond demand and value.

Summary of ASW Performance by Region

Tables Summary

• Table 1 provides the ranking of 5y benchmarks in terms of $ASW, with TURKGB 8.3 20/06/18 and THAIGB 3.45 8/3/19 at the top.
• Poland, Hungary, South Africa, Czech Republic, Israel, Mexico, Colombia, Brazil, and Chile all have detailed tables showing the bond code, maturity, yield, ASW, $ASW, and yield/MD for various maturities.
• The $ASW values are generally lower for shorter maturities, and they tend to increase with longer maturities, indicating a more expensive bond in terms of swaps.

Charts

• Chart 1: 3m FX-hedged 5y benchmark yield.
• Charts 2-7: Regional ASW curves for CEEMEA, ASIA, and LATAM.
• Charts 8-15: Detailed ASW curves for specific countries in each region.
• Chart 16: CEEMEA 5y government vs. 3m FX swap.
• Charts 17-21: ASW evolution across different regions and countries.

This summary captures the essence of the document, highlighting the regional differences in bond performance and the key factors influencing their value in the ASW market.