货币互换监测：反向资产互换提供的收益差持续压缩

Asia Asia Macro StrategyNotes CCS monitor: Pick-up offered by reverseasset swaps to keep compressing Bryant Xu We have been highlighting over the past month how USD assets swapped back tolocal currency - let's call it thereverse asset swap- has been yielding more thanlocal government bonds in markets like Thailand and China. Domestic assetmanagers in both THB and CNH markets (see here, here and here) have had anopportunity to enhance their local currency returns by investing in USTs (or otherDM bonds) and swapping them back into local currency. Strategist+65-6423 5558 Jalaj SinghResearch Associate This past week, however, we have seen the pick-up in yield from these reverseASWs compress significantly in both THB and CNH markets, driven by distinctunderlying factors. nIn Thailand, the 20Y ThaiGB has sold off by 35bps over the past week; the5Y ThaiGB more like 15bp. Interestingly, foreign investors have been netbuyers - though in small volumes - during this period (Figure 1). We wouldattribute the sell-off to a rotation by onshore asset managers away fromThaiGBs to the more attractive reverse ASWs to increase THB returns.While the pick-up offered by reverse ASW has compressed as a result; but10Y UST swapped into THB, for example, is still offering an all-in yield of1.80%, which is 31bps higher than 10Y ThaiGB. Note that this pick-up ismore attractive for some European government yields (swapped into THB),so there remains an incentive for Thai domestic investors to continue thisrotation. nIn the CNH market, the compression in the pick-up offered by the reverseASW has been mostly due to a rally in CNH CCS. This rally is largely fuelledby an increase in dim sum bond issuances from non-Chinese entities andthe corresponding flows to swap CNH proceeds into USD, i.e., receive CNHCCS (Figure 2). We previously highlighted that a significant amount of dimsum bonds were scheduled to mature in September. The strong demandfrom existing dim sum bond investors to roll their investments, combinedwith a subdued supply of dim sum bonds from Chinese issuers, iseffectively attracting non-Chinese entities to issue dim sum bonds (andsubsequently receive CNH CCS). Note that non-Chinese issuers are stillable to realize approximately 30 bps in financing cost savings by issuing dimsum bonds and swapping them into USD, compared with directly issuingUSD bonds. Asia CCS updates We share a few observations on Asia's CCS markets: nCCS fixed rates generally declined over the past two weeks, largely drivenby a rally in IRS markets, even as the Xccy basis has remained steady orincreased in most places. The exceptions have been THB where sell-off inIRS drove the underperformance and MYR where an increase in the Xccybasis outweighed small IRS gains. nASW trades in Asia generally underperformeddriven by a rally in CCSrates (ASW trades involve receiving local government bond rates andpaying CCS). Local bonds delivered small gains in most markets, with theexceptions of THB and MYR. Cross-currency swap monitor Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP CCS seasonality monitor ASW monitor for USD-based investors Figure 21: Asset Swap (ASW) pick-up over floating SOFR rate Figure 22: Asset Swap (ASW) all-in rates in USD Figure 23: Asset Swap (ASW) pick-up over UST ASW monitor for EUR-based investors Figure 24: Asset Swap (ASW) pick-up over floating ESTR rate Figure 25: Asset Swap (ASW) all-in rates in EUR Figure 26: Asset Swap (ASW) pick-up over Bund ASW pick-up over SOFR/ESTR for 5-year Asian GBs Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Intra Asia ASW monitor Figure 33: Intra Asia Asset Swap (ASW) all-in rates Figure 35: Percentile of Intra Asia Asset Swap (ASW) pick-up EMTN monitor Source : Deutsche Bank, Bloomberg Finance LP Balance sheet hedge monitor for USD based MNCs Balance sheet hedge monitor for EUR-based MNCs Asia Credit issuance & maturity monitor Source : Deutsche Bank, Bloomberg Finance LP, Bondradar Appendix 1 Important Disclosures *Other information available upon request *Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from localexchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies,and other sources. For further information regarding disclosures relevant to Deutsche Bank Research, please visit our globaldisclosure look-up page on our website at https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from withinthis report, important risk and conflict disclosures can also be found at https://research.db.com/Research/Disclosures/Disclaimer. Investors are strongly encouraged to review th