20140402-巴黎银行证券-EM_ASW_Monitor_15页_1mb

报告摘要

EM STRATEGY Summary

Core Content

This document provides an analysis of Asset Swap (ASW) levels across various Emerging Market (EM) regions, including CEEMEA, ASIA, and LATAM, as of 2 April 2014. It discusses the recent trends in foreign portfolio flows, ASW tightening or steepening, and the relative performance of local and hard currency bonds. The data includes bond details and ASW levels, with a focus on the yield and the impact of FX swap rates and foreign exchange (FX) forward curves on the ASW dynamics.

Main Points

ASIA

Foreign Portfolio Flows: Positive into South Korea and Thailand over the past month.
Local Currency ASW: Tightened across the region from a month ago.
- Korea and Singapore: ASW tightened.
- Malaysia and Thailand: ASW curves steepened and spreads widened.
Best $1 ASW: Malaysian and Korean bonds continue to offer the best $1 ASW in the very front end.

CEEMEA

HGBs (Hungary Government Bonds): Richened slightly over the past couple of weeks as the HUF recovered in anticipation of the end of the easing cycle. This also pushed FX swap rates higher.
TRY and TRY-USD xccy rates: Rally restored some value in TURKGBs from the perspective of international investors.
CZGBs (Czech Republic Government Bonds): Remain the only CEEMEA market that offers higher return in the local currency bonds space compared to the hard currency bonds space.

LATAM

COP assets: Richened since the announcement of the increase of Colombia's weight in GBI-EM global indices on 19 March.
- COLTES 24s yield: Dropped around 60bps to 6.50%.
- ASW and $ASW: Tightened, making the curve flatter compared to two weeks ago, though still slightly inverted.
- 3m FwdFx adjusted yield: Also tightened, but mainly driven by the bond yield move as FX forward curve reverted to its shape before the announcement.
Brazil local curves: Tightened due to a "stable" outlook despite the surprise downgrade from S&P.
- NTNF 17s: Tightened the most along the curve in terms of $ASW.
- Front-end: Now provides most value in our opinion.

Key Information

ASW Trends

Tightening: Observed in several markets, including Korea, Singapore, Malaysia, Thailand, and Brazil.
Flattening: Seen in some markets, such as CZGBs and COLTES.
Inversion: Some curves are still slightly inverted, indicating a potential for yield curve flattening.

Bond Details and ASW Levels

Poland

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
POLGB 5.75 25/04/14 0414	Apr-14	2.00	-74	-59	-23	-0.54	33.33
POLGB 0 25/07/14	Jul-14	2.45	-26	-9	-17	-0.09	8.16
POLGB 5.5 25/04/15 0415	Apr-15	2.72	-6	14	20	0.18	2.78
POLGB 0 25/07/15 0715	Jul-15	2.77	-8	14	23	0.23	2.18
POLGB 6.25 24/10/15 S1015	Oct-15	2.80	-10	15	31	0.26	1.92
POLGB 0 25/01/16 0116	Jan-16	2.94	-3	22	34	0.40	1.67
POLGB 5 25/04/16 0416	Apr-16	2.99	-3	26	41	0.45	1.60
POLGB 4.75 25/10/16 1016	Oct-16	3.10	-4	28	40	0.56	1.31
POLGB 4.75 25/04/17 0417	Apr-17	3.22	-2	32	47	0.68	1.19
POLGB 5.25 25/10/17 S1017	Oct-17	3.32	-3	34	53	0.77	1.04
POLGB 3.75 25/04/18 0418	Apr-18	3.46	0	37	54	0.92	0.96
POLGB 2.5 25/07/18	Jul-18	3.52	1	37	55	0.98	0.90
POLGB 5.5 25/10/19 1019	Oct-19	3.73	7	48	65	1.18	0.79
POLGB 5.25 25/10/20 1020	Oct-20	3.90	14	55	68	1.36	0.72
POLGB 5.75 25/10/21 1021	Oct-21	4.08	25	67	77	1.54	0.68
POLGB 5.75 23/9/22 S0922	Sep-22	4.17	28	69	77	1.63	0.63
POLGB 4 25/10/23 1023	Oct-23	4.24	22	60	67	1.69	0.55
POLGB 2.75 25/04/28 0428	Apr-28	4.64	38	65	75	2.10	0.43
POLGB 5.75 25/04/29 0429	Apr-29	4.63	52	86	100	2.09	0.47
POLGB 5 25/4/37 0437	Apr-37	4.75	66	97	98	2.21	0.36

Hungary

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
HGB 6.75 22/08/14 14/D	Aug-14	2.69	0	39	59	0.42	7.27
HGB 8 12/2/15 15/A	Feb-15	2.85	-1	59	85	0.58	3.39
HGB 7.75 24/08/15 15/C	Aug-15	3.13	9	85	100	0.86	2.45
HGB 5.5 12/2/16 16/C	Feb-16	3.47	24	108	116	1.20	1.98
HGB 5.5 22/12/16 16/D	Dec-16	3.96	48	142	163	1.69	1.60
HGB 6.75 24/2/17 17/B	Feb-17	4.02	52	149	178	1.75	1.54
HGB 6.75 24/11/17 17/A	Nov-17	4.33	64	163	188	2.06	1.37
HGB 4 25/04/18 18/B	Apr-18	4.54	63	159	181	2.27	1.25
HGB 5.5 20/12/18 18/A	Dec-18	4.60	58	156	183	2.33	1.14
HGB 6.5 24/6/19 119/A	Jun-19	4.81	71	169	182	2.54	1.14
HGB 7.5 12/11/20 20/A	Nov-20	5.05	73	171	188	2.78	0.98
HGB 7 24/06/22 22/A	Jun-22	5.35	72	163	187	3.08	0.89
HGB 6 24/11/23 23/A	Nov-23	5.42	53	135	152	3.15	0.76
HGB 5.5 24/06/25 25/B	Jun-25	5.60	53	126	134	3.33	0.69
HGB 6.75 22/10/28 28/A	Oct-28	6.06	101	156	165	3.79	0.67

South Africa

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
SAGB 8.75 21/12/14 R201	Dec-14	6.31	10	-26	-27	0.27	9.55
SAGB 13.5 15/09/15 R157	Sep-15	6.79	14	-23	-21	0.75	5.22
SAGB 8.25 15/09/17 R203	Sep-17	7.61	5	-25	-22	1.57	2.59
SAGB 8 21/12/18 R204	Dec-18	7.86	-2	-27	-21	1.82	2.08
SAGB 7.25 15/01/20 R207	Jan-20	8.12	1	-22	-16	2.08	1.79
SAGB 6.75 31/03/21 R208	Mar-21	8.25	-7	-25	-20	2.21	1.53
SAGB 7.75 28/02/23 2023	Feb-23	8.38	-14	-29	-24	2.34	1.35
SAGB 10.5 21/12/26 R186	Dec-26	8.49	-24	-35	-33	2.45	1.18
SAGB 7 28/02/31 R213	Feb-31	8.84	-4	-22	-21	2.81	0.98
SAGB 6.25 31/03/36 R209	Mar-36	9.00	7	-15	-17	2.96	0.88
SAGB 8.5 31/01/37 2037	Jan-37	9.07	19	-7	-9	3.03	0.95
SAGB 6.5 28/02/41 R214	Feb-41	9.06	17	-9	-10	3.03	0.86

Czech Republic

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
CZGB 3.8 04/15	Apr-15	0.05	-24	1	-2	0.04	0.05
CZGB 3.4 01/09/15 60	Sep-15	0.08	-32	12	17	0.07	0.06
CZGB 6.95 26/1/2016 S34	Jan-16	0.18	-26	25	23	0.17	0.10
CZGB 0.5 28/07/16 3Y	Jul-16	0.36	-15	28	12	0.35	0.16
CZGB 4 11/4/17 51	Apr-17	0.55	-6	40	27	0.54	0.19
CZGB 4.6 18/8/18	Aug-18	0.86	-1	45	49	0.85	0.22
CZGB 5 11/04/19 56	Apr-19	1.06	-11	55	55	1.05	0.23
CZGB 1.5 29/10/19 6Y	Oct-19	1.32	21	61	63	1.31	0.25
CZGB 3.75 12/9/20 46	Sep-20	1.52	34	76	76	1.51	0.27
CZGB 3.85 29/09/21 61	Sep-21	1.77	45	86	89	1.76	0.27
CZGB 4.7 12/9/22 52	Sep-22	1.91	50	91	92	1.90	0.27
CZGB 5.7 25/05/24 58	May-24	2.12	56	96	92	2.11	0.27
CZGB 2.5 25/08/28 15Y	Aug-28	2.80	63	91	91	2.79	0.24
CZGB 4.2 4/12/36 49	Dec-36	3.27	96	132	121	3.26	0.22
CZGB 4.85 26/11/57	Nov-57	4.04	167	242	225	4.03	0.21

Israel

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
ILGOV 4.5 30/01/15	Jan-15	0.70	2	25	31	0.17	0.85
SHAHAR 6.5 31/1/16 2683	Jan-16	0.85	-3	20	-3	0.32	0.48
ILGOV 2.5 31/05/16 0516	May-16	0.99	-3	20	18	0.46	0.48
ILGOV 4.25 31/08/16 0816	Aug-16	1.10	0	23	21	0.57	0.49
ILGOV 5.5 28/2/17	Feb-17	1.35	6	29	22	0.82	0.51
ILGOV 4 31/01/18 0118	Jan-18	1.77	9	31	23	1.24	0.52
ILGOV 6 28/02/19	Feb-19	2.18	13	33	24	1.65	0.54
ILGOV 5 31/01/20	Jan-20	2.56	16	35	28	2.03	0.56
ILGOV 5.5 31/01/22 0122	Jan-22	3.01	28	47	37	2.48	0.47
ILGOV 4.25 31/03/23 0323	Mar-23	3.73	25	44	34	3.20	0.63
ILGOV 6.25 30/10/26	Oct-26	4.52	33	52	44	3.99	0.72
ILGOV 5.5 31/01/42 0142	Jan-42	7.62	73	90	91	7.09	1.18

Turkey

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
TURKGB 0 06/11/14	Jun-14	11.25	-	37	-47	0.25	58.27
TURKGB 11 06/08/14	Aug-14	10.55	-	-17	-48	-0.45	31.42
TURKGB 0 06/08/14	Aug-14	11.05	-	27	15	0.05	32.94
TURKGB 7.5 24/09/14	Sep-14	11.02	-	30	-39	0.02	24.08
TURKGB 0 11/19/14	Nov-14	11.23	-	43	-38	0.23	18.72
TURKGB 6.5 07/01/15	Jan-15	10.97	-	36	-37	-0.03	15.20
TURKGB 0 25/03/15	Mar-15	11.51	-	59	-20	0.51	12.87
TURKGB 5 13/05/15 2Y	May-15	10.94	-	41	-15	-0.06	10.55
TURKGB 8.3 07/10/15	Oct-15	10.48	-	6	-12	-0.52	7.75
TURKGB 9 27/01/16	Jan-16	10.46	-	6	-6	-0.54	6.38
TURKGB 10.7 02/24/16	Feb-16	10.45	-	8	-5	-0.55	6.15
TURKGB 9 08/03/17 5YR	Mar-17	10.14	-	-12	2	-0.88	3.96
TURKGB 6.3 14/02/18	Feb-18	10.05	-	-12	4	-0.97	2.99
TURKGB 8.3 20/06/18	Jun-18	10.03	-	-13	4	-1.00	2.90
TURKGB 8.8 11/14/18	Nov-18	10.09	-	-7	9	-0.93	2.76
TURKGB 10.5 15/01/20	Jan-20	10.09	-	-2	12	-0.93	2.34
TURKGB 9.5 12/01/22	Jan-22	10.13	-	41	48	-0.89	1.81
TURKGB 8.5 14/09/22	Sep-22	10.08	-	7	18	-0.94	1.70
TURKGB 7.1 08/03/23	Mar-23	10.02	-	29	35	-1.00	1.53
TURKGB 8.8 27/09/23	Sep-23	10.22	-	20	26	-0.80	1.69

Mexico

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
MBONO 7 19/06/14 M	Jun-14	3.44	-36	43	42	0.65	15.82
MBONO 9.50 18/12/14 MI10	Dec-14	3.56	-29	56	60	0.77	5.16
MBONO 6 18/06/15 M	Jun-15	3.76	-23	62	67	0.97	3.23
MBONO 8 17/12/15 M10	Dec-15	3.91	-27	61	68	1.12	2.45
MBONO 6.25 16/06/16 M	Jun-16	4.03	-37	53	59	1.24	1.96
MBONO 7.25 15/12/16 M10	Dec-16	4.25	-34	58	63	1.46	1.73
MBONO 5 15/06/17 M	Jun-17	4.37	-44	49	57	1.58	1.49
MBONO 7.75 14/12/17 M10	Dec-17	4.73	-22	71	75	1.94	1.47
MBONO 4.75 14/06/18 M	Jun-18	4.99	-23	69	76	2.20	1.33
MBONO 8.5 13/12/18 M 10	Dec-18	5.08	-25	71	83	2.32	1.31
MBONO 8 11/06/20 M	Jun-20	5.53	-34	64	78	2.74	1.13
MBONO 6.5 10/06/21 M	Jun-21	5.75	-44	57	71	2.96	1.01
MBONO 6.5 09/06/22 M	Jun-22	6.01	-37	65	72	3.22	0.96
MBONO 8.0 07/12/23 M20	Dec-23	6.15	-38	66	73	3.36	0.90
MBONO 10 05/12/24 M20	Dec-24	6.17	-41	65	76	3.38	0.88
MBONO 7.5 03/06/27 M20	Jun-27	6.47	-62	51	59	3.68	0.77
MBONO 8.5 31/05/29 M 20	May-29	6.69	-55	58	65	3.90	0.75
MBONO 7.75 29/05/31 M20	May-31	6.83	-62	55	65	4.04	0.71
MBONO 10 20/11/36 M30	Nov-36	7.09	-39	76	83	4.30	0.68

Colombia

Bond Code	Maturity	Yield (%)	ASW (bp)	$ASW (bp)	$ASW – 1M ago (bp)	Yield vs 3M FX SWAP (%)	Yield/MD
COLTES 9.25 14/05/14 B	May-14	3.46	27	24	149	0.82	27.77
COLTES 13.5 12/09/14 B	Sep-14	3.55	17	6	103	0.91	7.98
COLTES 8 28/10/15 SERIES B	Oct-15	4.57	36	51	126	1.93	3.15
COLTES 7.25 15/06/16 B	Jun-16	4.97	43	64	146	2.33	2.57
COLTES 11.25 24/10/18 B	Oct-18	5.78	85	108	178	3.14	1.63
COLTES 5 21/11/18 B	Nov-18	5.62	39	66	155	2.98	1.41
COLTES 7 09/11/19	Sep-19	5.92	66	96	170	3.28	1.37
COLTES 11 24/07/20 B	Jul-20	6.12	91	118	188	3.48	1.36
COLTES 7 04/05/22	May-22	6.28	55	88	150	3.64	1.09
COLTES 10 24/07/24 B	Jul-24	6.42	47	83	141	3.78	0.99
COLTES 7.5 26/08/26	Aug-26	7.13	15	55	59	4.76	0.93
COLTES 6 28/04/28 B	Apr-28	6.98	-22	24	31	-	0.82