ccs监测：结束5年期sgd交叉货币基差的收方交易

Bryant XuStrategist+65-6423 5558 Even as USD liquidity continues to tighten– with reverse repo balances largely rundown and the Fed pushed into ending its Quantitative Tightening program –we seevery little reaction in Asian Xccy basis markets. This likely stems from asubstantially long USD position by Asian corporates. With the US Treasury's TGA Jalaj Singh Research Associate With the above in mind – and due to Singapore-specific factors (listed below) – weare closing our 5Y SGD Xccy basis trade,initiated in mid-July with a receiverecommendation. Our initial thesis was that a near record-high 5Y SGD Xccy basisoffered an attractive entry point. This was further supported by an anticipated 2Hslowdown in USD bond issuance by Singaporean entities (reducing pay SGD Xccybasis flows) and an expected increase in SGD bond issuance by foreign entities nUnexpected surge in Singaporean USD bond issuance. Contrary to our2H slowdown expectation and past seasonality, USD bond issuance bySingaporean entities unexpectedly re-accelerated(Figure 2). YTD issuanceis 40% higher than the last five-year average, indicating stronger-than- Source : Deutsche Bank, Bloomberg Finance LP Foreign SGD bond issuance has been sluggish since August(Figure 3),defying historical seasonality. We attribute this muted activity partly to the nFlow dynamics not supporting receive bias.Hedge fund engagement inthe SGD Xccy basis market has been light this year, with lower averageforward-starting SGD Xccy basis volume YoY (Figure 4), which suggests alack of conviction in fading its richness. While spot-starting SGD Xccy basisvolume picked up over the last three months, particularly in shorter tenors nWe have now entered adverse year-end seasonality period.Historically,the SGD Xccy basis, mirrors its DM counterparts, typically spiking in October/November before softening in December. This pattern is largelyinfluencedby year-end USD liquidity dynamics.Moreover,potentialcorporate balance sheet hedging flows could exert additional upward Given these developments and the persistent sideways movement of the 5Y SGDXccy basis, we have decided to close our receive position. Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP 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 Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Balance sheet hedge monitor for USD based MNCs Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LPNote: Equals to the USD fixed rate in synthetic fixed-to-fixed CCS with local currency leg fixed at 0%. Balance sheet hedge monitor for EUR-based MNCs Source : Deutsche Bank, Bloomberg Finance LP Asia corporate bond issuance & maturity monitor Source : Deutsche Bank, Bloomberg Finance LP, Bondradar Source : Deutsche Bank, Bloomberg Finance LP, Bondradar 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/ Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, theundersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively 'DeutscheBank'). Though the information herein is believed to be reliable and has been obtained from public sources believed to bereliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to third-party websites in thisreport are provided for reader convenience only. Deutsche Bank neither endorses the content nor is responsible for the If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report, oris included or discussed in another communication (oral or written