20140123-巴黎银行证券-EM_ASW_MONITOR_15页_1mb

EM STRATEGY Summary: ASW Monitor (23 January 2014)

Core Content

This report provides an overview of the Asset Swap (ASW) dynamics across several emerging market (EM) regions, including CEEMEA, Asia, LATAM, and specific countries within these regions. It highlights the performance of cash bonds, credit spreads, and the relative attractiveness of bonds in terms of yield and $ASW levels.

Main Points and Key Information

CEEMEA Region

• Cash Bonds: CEE cash bonds outperformed again, with credit spreads increasing slightly. Poland's Eurobonds are near the cheapest levels compared to POLGBs.
• SAGBs: SAGBs experienced a recent sell-off but outperformed swaps. Uridashi activity remains low, and USD liquidity demand is stable, keeping SAGB's rich in $ASW terms.
• TURKGBs: TURKGBs haven't cheapened enough in $ASW terms to attract new international investors, although they are among the cheapest in the region.

Asia Region

• Sovereign CDS: Asia sovereign CDS have continued to widen, except for Indonesia, which has tightened by 10bps since the beginning of the year.
• China CDS: China CDS have widened significantly by 19bps due to increased credit default potential.
• Thailand: The political crisis continues, with foreign portfolio flows mildly negative. Investors are hedging with FX and CDS. The offshore-onshore FX forward spread has tightened after reaching historic extremes.
• Malaysia and Korea: Malaysian bonds offer the best spread to USD Libor in the very front end, while Korean bonds offer the best spread in the belly sector.

LATAM Region

• Brazil: Brazilian bonds offer the highest spread against USD Libor in LATAM for equivalent tenors. The recent IPCA print for December and data from EPFR indicate net redemptions in local bonds.
• COLTES: The spread against Mbono for 3m FX-hedged bonds continues to tighten and reaches recent lows.

Regional ASW Curves and Tables

CEEMEA 5Y Government vs. 3M FX Swap

• Chart 16 shows the evolution of CEEMEA 5Y government bonds against 3M FX swaps.

ASIA 5Y Government vs. 3M FX Swap (10dma)

• Chart 18 provides the ASIA 5Y government bond curve against 3M FX swaps over a 10-day moving average.

LATAM 5Y Government vs. 3M FX Swap

• Chart 20 shows the LATAM 5Y government bond curve against 3M FX swaps.

CEEMEA 5Y Government ASW

• Chart 17 displays the ASW levels for CEEMEA 5Y government bonds.

ASIA 5Y Government ASW

• Chart 19 outlines the ASW levels for ASIA 5Y government bonds.

LATAM 5Y Government ASW

• Chart 21 presents the ASW levels for LATAM 5Y government bonds.

Country-Specific Data

Poland

• Table 1 shows bond details and $ASW levels for various maturities, with $ASW levels increasing over time and yield/MD decreasing.

Hungary

• Table 2 provides similar data, with increasing $ASW levels and decreasing yield/MD for different bond maturities.

South Africa

• Table 3 lists bond details and $ASW levels, with increasing $ASW and yield/MD levels.

Czech Republic

• Table 4 includes bond details and $ASW levels, with a trend of increasing $ASW and decreasing yield/MD.

Israel

• Table 5 details bond information and $ASW levels, showing a trend of increasing $ASW and yield/MD levels.

Turkey

• Table 6 outlines bond details and $ASW levels, with increasing $ASW and yield/MD levels.

Mexico

• Table 7 provides bond details and $ASW levels, with a trend of decreasing $ASW and increasing yield/MD.

Colombia

• Table 8 lists bond details and $ASW levels, showing decreasing $ASW and increasing yield/MD.

Brazil

• Table 9 includes bond details and $ASW levels, with decreasing $ASW and increasing yield/MD.

Chile

• Table 10 provides bond details and $ASW levels, with decreasing $ASW and increasing yield/MD.

Thailand

• Table 11 details bond information and $ASW levels, with a trend of increasing $ASW and yield/MD levels.

South Korea

• Table 12 includes bond details and $ASW levels, with a trend of increasing $ASW and yield/MD levels.

Summary of Trends

• CEEMEA: Poland's Eurobonds are among the cheapest, while SAGBs remain rich in $ASW terms. TURKGBs are relatively cheap but haven't attracted enough international investors.
• Asia: China's CDS have widened significantly, while Indonesia's have tightened. Malaysia and Korea bonds show favorable spreads against USD Libor.
• LATAM: Brazil bonds offer the highest spread against USD Libor, and COLTES spreads against Mbono are tightening.
• Individual Countries: All countries show varying trends in $ASW levels and yield/MD, with some showing increasing $ASW and others decreasing. The overall trend indicates a shift in market dynamics and investor behavior.