20140515-法国巴黎银行-EM_A_SW_Monitor_15页_738kb

报告摘要

EM STRATEGY: ASW Monitor Summary (15 May 2014)

Core Content Overview

This document provides a detailed analysis of Asset Swap (ASW) levels across different regions in Emerging Markets (EM), specifically focusing on Asia, CEEMEA, Latin America (LATAM), and the ASW evolution in these regions. It includes bond details and ASW levels for various countries, along with key observations on portfolio inflows, curve movements, and FX-hedged yields.

Main Regions and Key Points

Asia

Portfolio Inflows: Positive into Asian fixed income, with strong inflows into Korean bonds and a slight slowdown in Thailand.
ASW Trends:
- Local currency ASW and $ASW have tightened and the yield curve has flattened across the region except Singapore.
- In Singapore, the ASW and $ASW curves have steepened from 5y out.
Best 1ASW Offers: Malaysian and Korean bonds continue to offer the best 1ASW in the very front end of the curve.

CEEMEA (Central and Eastern Europe, Middle East, and Africa)

Local Bond Rally: A sharp rally in local bonds was observed in the last few weeks, but ASW and $ASW curves remained largely unchanged compared to one month ago.
ASW Tightening: Most pronounced in Hungary and Poland.
FX-Hedged Gains: 5y local bonds in Poland, Hungary, and South Africa showed the strongest gains in the CEEMEA region.

LATAM (Latin America)

Mexico:
- The back-end of the curve saw a correction after recent tightening, with bonds cheapening compared to one month prior.
- The front/belly part of the curve (e.g., Jun18s, Dec18s) offers better risk-adjusted values due to the flat term structure in ASW.
Colombia:
- The back-end of the curve also saw a correction after tightening.
- Bonds cheapened compared to one month prior.
Chile:
- The entire curve widened, while the shape remained largely intact.
Brazil:
- Little change observed in the bond curves.

Key ASW Charts and Data

Chart 1: 3m FX-hedged 5y benchmark yield.
Chart 16: CEEMEA 5y government vs. 3m FX swap.
Chart 18: ASIA 5y government vs. 3m FX swap (10dma).
Chart 20: LATAM 5y government vs. 3m FX swap.
Chart 17: CEEMEA 5y government ASW.
Chart 19: ASIA 5y government ASW.
Chart 21: LATAM 5y government ASW.

Detailed ASW Data

Poland

PolGB 5.5 25/04/15 0415: ASW = -9, $ASW = 10, $ASW - 1M ago = 10
PolGB 5.5 25/10/19 1019: ASW = 6, $ASW = 36, $ASW - 1M ago = 43
PolGB 5.75 25/10/21 1021: ASW = 20, $ASW = 50, $ASW - 1M ago = 57
PolGB 5.75 23/9/22 S0922: ASW = 21, $ASW = 51, $ASW - 1M ago = 62
PolGB 4 25/10/23 1023: ASW = 14, $ASW = 42, $ASW - 1M ago = 53
PolGB 2.75 25/04/28 0428: ASW = 27, $ASW = 49, $ASW - 1M ago = 59
PolGB 5.25 25/10/29 0429: ASW = 39, $ASW = 66, $ASW - 1M ago = 79
PolGB 5 25/4/37 0437: ASW = 58, $ASW = 81, $ASW - 1M ago = 93

Hungary

HGB 5.5 20/12/18 18/A: ASW = 46, $ASW = 154, $ASW - 1M ago = 154
HGB 6.5 24/6/19 119/A: ASW = 54, $ASW = 163, $ASW - 1M ago = 161
HGB 7.5 12/11/20 20/A: ASW = 68, $ASW = 177, $ASW - 1M ago = 170
HGB 6 24/11/23 23/A: ASW = 51, $ASW = 145, $ASW - 1M ago = 136
HGB 5.5 24/06/25 25/B: ASW = 57, $ASW = 141, $ASW - 1M ago = 130
HGB 6.75 22/10/28 28/A: ASW = 99, $ASW = 170, $ASW - 1M ago = 151

South Africa

SAGB 8.75 21/12/14 R201: ASW = -9, $ASW = -40, $ASW - 1M ago = -19
SAGB 13.5 15/9/15 R157: ASW = 8, $ASW = -29, $ASW - 1M ago = -27
SAGB 8.25 15/9/17 R203: ASW = 6, $ASW = -25, $ASW - 1M ago = -22
SAGB 8 21/12/18 R204: ASW = 2, $ASW = -26, $ASW - 1M ago = -34
SAGB 7.25 31/01/20 R207: ASW = -1, $ASW = -28, $ASW - 1M ago = -32
SAGB 6.75 31/03/21 R208: ASW = -5, $ASW = -31, $ASW - 1M ago = -37
SAGB 7.75 28/02/23 2023: ASW = -8, $ASW = -32, $ASW - 1M ago = -44
SAGB 10.5 21/12/26 R186: ASW = -22, $ASW = -40, $ASW - 1M ago = -45
SAGB 7 28/02/31 R213: ASW = 15, $ASW = -13, $ASW - 1M ago = -23
SAGB 6.25 31/03/36 R209: ASW = 20, $ASW = -9, $ASW - 1M ago = -18
SAGB 8.5 31/01/37 2037: ASW = 37, $ASW = 0, $ASW - 1M ago = -11
SAGB 6.5 28/02/41 R214: ASW = 31, $ASW = -2, $ASW - 1M ago = -12

Czech Republic

CZGB 3.8 04/15: ASW = -29, $ASW = 1, $ASW - 1M ago = -13
CZGB 3.4 01/09/15 60: ASW = -27, $ASW = 17, $ASW - 1M ago = 10
CZGB 6.95 26/1/2016 S34: ASW = -20, $ASW = 25, $ASW - 1M ago = 17
CZGB 0.5 28/07/16 3Y: ASW = -12, $ASW = 29, $ASW - 1M ago = 25
CZGB 4 11/4/17 51: ASW = -5, $ASW = 40, $ASW - 1M ago = 33
CZGB 4.6 18/8/18: ASW = -3, $ASW = 39, $ASW - 1M ago = 48
CZGB 5 11/04/19 56: ASW = 6, $ASW = 55, $ASW - 1M ago = 56
CZGB 1.5 29/10/19 6Y: ASW = 14, $ASW = 53, $ASW - 1M ago = 58
CZGB 3.75 12/9/20 46: ASW = 31, $ASW = 72, $ASW - 1M ago = 74
CZGB 3.85 29/09/21 61: ASW = 36, $ASW = 75, $ASW - 1M ago = 78
CZGB 4.7 12/9/22 52: ASW = 42, $ASW = 81, $ASW - 1M ago = 80
CZGB 5.7 25/05/24 58: ASW = 43, $ASW = 83, $ASW - 1M ago = 87
CZGB 2.5 25/08/28 15Y: ASW = 57, $ASW = 83, $ASW - 1M ago = 83
CZGB 4.2 4/12/36 49: ASW = 109, $ASW = 147, $ASW - 1M ago = 126
CZGB 4.85 26/11/57: ASW = 184, $ASW = 254, $ASW - 1M ago = 241

Israel

ILGOV 3.5 31/08/14 0814: ASW = -2, $ASW = 24, $ASW - 1M ago = 9
ILGOV 4.25 31/08/16 0816: ASW = 1, $ASW = 25, $ASW - 1M ago = 27
ILGOV 5.5 28/02/17: ASW = 1, $ASW = 26, $ASW - 1M ago = 30
ILGOV 4 31/01/18 0118: ASW = 6, $ASW = 30, $ASW - 1M ago = 35
ILGOV 6 28/02/19: ASW = 16, $ASW = 41, $ASW - 1M ago = 47
ILGOV 5 31/01/20: ASW = 17, $ASW = 42, $ASW - 1M ago = 44
ILGOV 5.5 31/01/22 0122: ASW = 23, $ASW = 48, $ASW - 1M ago = 52
ILGOV 6.25 30/10/26: ASW = 69, $ASW = 92, $ASW - 1M ago = 96

Turkey

TURKGB 8 04/06/14: ASW = -61, $ASW = 90, $ASW - 1M ago = 24
TURKGB 0 06/11/14: ASW = -82, $ASW = 31, $ASW - 1M ago = 59
TURKGB 11 06/08/14: ASW = -109, $ASW = 38, $ASW - 1M ago = -23
TURKGB 0 06/08/14: ASW = -151, $ASW = 14, $ASW - 1M ago = 50
TURKGB 7.5 24/09/14: ASW = -126, $ASW = 16, $ASW - 1M ago = -7
TURKGB 6.5 07/01/15: ASW = -69, $ASW = 36, $ASW - 1M ago = 17
TURKGB 5 13/05/15 2Y: ASW = -52, $ASW = 41, $ASW - 1M ago = 16
TURKGB 10 17/06/15: ASW = -63, $ASW = 28, $ASW - 1M ago = 13
TURKGB 8.3 20/06/18: ASW = -91, $ASW = 14, $ASW - 1M ago = -8
TURKGB 10.5 15/01/20: ASW = -101, $ASW = 13, $ASW - 1M ago = 4
TURKGB 9.5 12/01/22: ASW = -103, $ASW = 18, $ASW - 1M ago = 3
TURKGB 8.5 14/09/22: ASW = -108, $ASW = 15, $ASW - 1M ago = 0
TURKGB 7.1 08/03/23: ASW = -111, $ASW = 13, $ASW - 1M ago = 2
TURKGB 8.8 27/09/23: ASW = -112, $ASW = 14, $ASW - 1M ago = 1

Mexico

MBONO 7 19/06/14 M: ASW = -48, $ASW = 22, $ASW - 1M ago = 20
MBONO 9.50 18/12/14 MI10: ASW = -32, $ASW = 39, $ASW - 1M ago = 35
MBONO 6 18/06/15 M: ASW = -26, $ASW = 45, $ASW - 1M ago = 48
MBONO 8 17/12/15 M10: ASW = -23, $ASW = 53, $ASW - 1M ago = 54
MBONO 6.25 16/06/16 M: ASW = -30, $ASW = 48, $ASW - 1M ago = 53
MBONO 7.25 15/12/16 M10: ASW = -29, $ASW = 52, $ASW - 1M ago = 53
MBONO 5 15/06/17 M: ASW = -41, $ASW = 42, $ASW - 1M ago = 46
MBONO 7.75 14/12/17 M10: ASW = -17, $ASW = 66, $ASW - 1M ago = 65
MBONO 8.5 13/12/18 M 10: ASW = -17, $ASW = 68, $ASW - 1M ago = 63
MBONO 8 11/06/20 M: ASW = -31, $ASW = 60, $ASW - 1M ago = 55
MBONO 6.5 09/06/21 M: ASW = -44, $ASW = 51, $ASW - 1M ago = 48
MBONO 6.5 09/06/22 M: ASW = -40, $ASW = 57, $ASW - 1M ago = 56
MBONO 8.0 07/12/23 M20: ASW = -37, $ASW = 61, $ASW - 1M ago = 61
MBONO 10 20/11/24 M20: ASW = -35, $ASW = 65, $ASW - 1M ago = 62
MBONO 7.5 03/06/27 M20: ASW = -51, $ASW = 56, $ASW - 1M ago = 47
MBONO 8.5 18/11/29 M 30: ASW = -33, $ASW = 72, $ASW - 1M ago = 56
MBONO 7.75 29/11/31 M20: ASW = -34, $ASW = 73, $ASW - 1M ago = 57
MBONO 7.75 13/11/34 M30: ASW = -40, $ASW = 69, $ASW - 1M ago = 52

Colombia

COLTES 13.5 12/09/14 B: ASW = -19, $ASW = 20, $ASW - 1M ago = 5
COLTES 8 28/10/15 SERIES B: ASW = 14, $ASW = 39, $ASW - 1M ago = 31
COLTES 7.25 15/06/16 B: ASW = 30, $ASW = 48, $ASW - 1M ago = 55
COLTES 11.25 24/10/18 B: ASW = 52, $ASW = 73, $ASW - 1M ago = 69
COLTES 5 21/11/18 B: ASW = 18, $ASW = 42, $ASW - 1M ago = 39
COLTES 7 11/09/19 B: ASW = 39, $ASW = 63, $ASW - 1M ago = 65
COLTES 10 24/07/20 B: ASW = 24, $ASW = 52, $ASW - 1M ago = 67
COLTES 7.5 26/08/26: ASW = 57, $ASW = 81, $ASW - 1M ago = 79
COLTES 6 28/04/28 B: ASW = 32, $ASW = 61, $ASW - 1M ago = 59

Chile

CHILE 6 01/01/18 REGS: ASW = 39, $ASW = 54, $ASW - 1M ago = 26
CHILE 6 01/01/22 REGs: ASW = 5, $ASW = 34, $ASW - 1M ago = 7
CHILE 6 01/01/32 REGS: ASW = -36, $ASW = 8, $ASW - 1M ago = -3
CHILE 6 01/01/43 REGS: ASW = -37, $ASW = 10, $ASW - 1M ago = 0

Thailand

THAIGB 7.2 7/7/15 S02-2: ASW = 23, $ASW = -33, $ASW - 1M ago = -6
THAIGB 3.125 11/12/15: ASW = 15, $ASW = -27, $ASW - 1M ago = -1
THAIGB 5 26/5/17: ASW = 12, $ASW = -25, $ASW - 1M ago = 7
LB193A 3.45 8/3/19: ASW = 32, $ASW = 15, $ASW - 1M ago = 53
LB19DA 5.375 3/12/19 05-3: ASW = 9, $ASW = 2, $ASW - 1M ago = 31
LB21DA 3.65 17/12/21: ASW = 23, $ASW = 24, $ASW - 1M ago = 52
THAIGB 4.75 20/12/24: ASW = 19, $ASW = 40, $ASW - 1M ago = 65
THAIGB 3.65 20/6/31: ASW = -9, $ASW = 57, $ASW - 1M ago = -8

South Korea

NDFB 5 10/09/14 1409: ASW = -9, $ASW = 40, $ASW - 1M ago = 55
NDFB 4 1/4 09/10/14: ASW = -9, $ASW = 41, $ASW - 1M ago = 55
NDFB 3.25 10/12/14 1412: ASW = -5, $ASW = 52, $ASW - 1M ago = 66
NDFB 4 10/3/16 1603: ASW = 2, $ASW = 87, $ASW - 1M ago = 94
NDFB 2.75 10/06/16 1606: ASW = 0, $ASW = 88, $ASW - 1M ago = 93
NDFB 3.5 10/9/16 1609: ASW = 2, $ASW = 88, $ASW - 1M ago = 93
NDFB 5 09/10/16: ASW = 4, $ASW = 90, $ASW - 1M ago = 95
NDFB 3 10/12/16 1612: ASW = -1, $ASW = 80, $ASW - 1M ago = 89

Summary of Key Observations

Asia: Positive portfolio inflows, with strong performance in Korean bonds. Malaysian and Korean bonds offer the best 1ASW in the front end of the curve. Singapore showed a steepened curve.
CEEMEA: Despite a local bond rally, ASW and $ASW curves remained stable. Poland, Hungary, and South Africa showed the strongest gains in 5y FX-hedged bonds.
LATAM: Mexico and Colombia experienced a correction in the back-end of the curve, but front/belly parts offer better risk-adjusted values. Chile saw a general widening of the curve, while Brazil showed little change.
ASW Evolution: The document includes charts showing the evolution of 5y government bonds against 3m FX swaps in each region, highlighting trends and changes over time.

Conclusion

The report highlights regional differences in ASW levels and bond performance, with a focus on FX-hedged yields, curve shapes, and portfolio inflows. Poland, Hungary, and South Africa in CEEMEA, Malaysia and South Korea in Asia, and Mexico and Colombia in LATAM are the key markets showing notable changes in ASW and bond yields. The risk-adjusted values in the front/belly of the curve in Mexico and Poland are emphasized, along with stable curves in Hungary and Thailand.