20170814-法国巴黎银行-CEEMEA_sovereign_credit_navigator_22页_365kb

CEEMEA Sovereign Credit Navigator – 14 August 2017 Summary

Core Content Overview

This report provides an analysis of CEEMEA (Central and Eastern Europe, Middle East, and Africa) sovereign credit performance for the week of 14 August 2017. It highlights the movement in Z-spreads, CDS basis, and relative value opportunities across various sovereign bonds, with a focus on recent issuance and market dynamics.

Market Performance Summary

• Overall Trend: CEEMEA sovereigns ended the week 14bp wider, driven by a general risk-off tone due to geopolitical events.
• High-Beta Names: SSA (Sub-Saharan Africa) sovereigns were the most affected, with an average widening of 25bp. Angola and Gabon were the weakest performers, widening by up to 39bp.
• Low-Beta CEE: The Central Eastern Europe region outperformed, but still widened by an average of 7bp.
• Outperformer: Kenya was the only sovereign that tightened by 14bp, attributed to the election outcome.

Key Issuance and Outlook

• Recent Issuance:
  • Iraq issued a USD 1bn deal.
  • Gabon issued a USD 200mn tap.
• Pipeline Growth: September is expected to see a flurry of new deals.
• Policy Outlook:
  • Minutes from the ECB and Fed for July will be released this week.
  • No major new developments are anticipated at this stage.
• Market Conditions:
  • Ongoing inflows.
  • Low issuance in recent weeks.
  • Low US rate volatility.
• Expected Trend: The slow grind tighter is expected to resume this week.

Top Recommendations

• Buy Recommendations:
  • Turkey '45s
  • Ghana '30s
  • Turkey 5y CDS basis

Z-Spread Changes ($ Bonds)

1W Outperformers

1W Underperformers

CDS Basis for $ Bonds

• Russia, South Africa, Turkey: All three sovereigns had a $0 CDS basis.

Relative Value Opportunities – Russia, Turkey, South Africa

• Differential Analysis:
  • Russia 5% '20: Z-spreads widened by -27bp (11/08) and -15bp (3m avg).
  • South Africa 5.5% '20: Z-spreads widened by -17bp (11/08) and -32bp (3m avg).
  • Turkey 7% '20: Z-spreads widened by -56bp (11/08) and -61bp (3m avg).
• Relative Value Analysis:
  • Shows 3m Z-spread Z-scores for each pair, indicating the relative value of bonds.
  • A green cell indicates that the 'buy' bond is historically wide relative to the 'sell' bond.
  • Includes data on bond issuance, with 'o' for old and 'n' for new in relation to issuance date.

€ vs $ Comparison

Key Insights

• Geopolitical Impact: The week started with a strong performance as tensions with North Korea eased.
• Credit Strategy: The report suggests a continuation of the tightening trend, with a focus on buying specific bonds and CDS basis.
• Rating Reviews: Egypt and Romania had rating reviews on 18 August, with Moody's assigning ratings of B3 and Baa3 respectively.
• Market Dynamics: The market is influenced by ongoing inflows, low issuance, and US rate volatility.
• Relative Value Opportunities: The report highlights potential trades based on Z-spread differentials and CDS basis.

Conclusion

The report outlines a mixed performance across CEEMEA sovereigns, with some regions showing widening spreads and others tightening. It emphasizes the importance of monitoring upcoming ECB and Fed minutes and highlights specific sovereigns and bonds that are recommended for investment based on current market conditions and relative value analysis.