20140305-法国巴黎银行-EM_ASW_Monitor_15页_999kb

EM STRATEGY Summary

Core Content

This document provides an analysis of Emerging Market (EM) Asset Swap (ASW) spreads across different regions, including CEEMEA, ASIA, LATAM, and specific countries within each region such as Poland, Hungary, South Africa, the Czech Republic, Israel, Turkey, Mexico, Colombia, Brazil, Thailand, and South Korea. The focus is on the performance of bonds in terms of their ASW spreads, the impact of FX volatility, and the overall market conditions affecting these spreads.

Main Points

• CEEMEA:

  • HGBs (Hungarian Government Bonds) have cheapened further in ASW terms, with HGB 20/A offering attractive spreads to both foreign and domestic investors.
  • SAGBs (South African Government Bonds) have remained stable, while swaps have outperformed, leading to cheaper bonds in ASW and $ASW terms.
  • POLGB (Polish Government Bonds) have shown stable spreads despite PLN volatility, outperforming other CEEMEA bonds during the sell-off.

• ASIA:

  • Local currency and USD ASW spreads have largely remained unchanged over the past two weeks.
  • USD ASW spreads in Malaysia and Singapore have tightened slightly, with MGS 3.314 Oct 17s tightening by 15 bps.
  • Korean and Malaysian bonds continue to offer the best $ASW spreads in the front end to belly sector.
  • It is expected that local currency and USD ASW spreads will tighten across Asia.

• LATAM:

  • Mexico local assets experienced low volatility and stable valuations. Dec18s is the cheapest bond on the curve with decent liquidity.
  • COLTES (Colombian Government Bonds) have been trading poorly due to EM risk-off sentiment, especially in the long-end where spreads widened by 10 bps or more since the last report, and the curve steepened in ASW terms.

Key Information

ASW Spread Trends

Regional Analysis

CEEMEA

• HGBs have been cheapening in ASW terms, while the HUF (Hungarian Forint) has remained in a range.
• SAGBs have remained stable, with swaps outperforming and cheapening bonds in both ASW and $ASW terms.
• POLGB spreads have remained stable despite increased PLN volatility and have outperformed other CEEMEA bonds during the sell-off.

ASIA

• Local currency and USD ASW spreads have been largely unchanged.
• USD ASW spreads in Malaysia and Singapore have tightened slightly.
• Korean and Malaysian bonds offer the best $ASW spreads in the front end to belly sector.
• Expectations are for continued tightening of local currency and USD ASW spreads in Asia.

LATAM

• Mexico local assets have shown low volatility and stable valuations.
• Dec18s is the cheapest bond on the curve with decent liquidity.
• COLTES has been trading poorly, with widened spreads in the long-end and a steepened curve in ASW terms.

Conclusion

The document highlights the relative performance of bonds in different EM regions, emphasizing the trend of tightening spreads in certain markets and the impact of FX volatility. It also points to specific bonds that are currently attractive in terms of spreads and liquidity, while noting the challenges faced by others due to market sentiment and increased volatility.