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Latam Fixed Income Strategy [PDF]
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Latam Fixed Income Strategy [PDF]
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Apr 12, 2018 -
Latam
Fixed Income Strategy.
Latam
External Bonds and CDS Tracker. 1. External bonds & CDS. April 12 .....
Colombia
. 2. Amount outstanding.
Latam Fixed Income Strategy Latam External Bonds and CDS Tracker April 12, 2018
External bonds & CDS
CDS
USD Basis Points
INTERNATIONAL BONDS
BRL
Brazil Amount outstanding
Modified duration
Last price
(USD Billions)
(Years)
(% a.a.)
0.7 0.9 1.4 0.6 0.1 2.7 2.2 1.0 4.3 0.7 2.2 0.8 3.0 0.2 1.5 1.9 2.5 3.6 3.0 -
3.0 4.4 6.2 1.4 1.6 2.6 4.3 4.8 5.7 5.3 6.4 6.3 7.6 7.4 9.4 10.8 12.4 13.8 13.9 -
6.34 7.53 8.02 2.06 1.91 3.30 3.77 3.96 4.28 4.13 4.52 4.54 4.90 5.26 5.68 5.70 5.78 5.82 5.82 61 80 104 133 166 216 268
Jan-22 Jan-24 Jan-28 Oct-19 Jan-20 Jan-21 Jan-23 Apr-24 Jan-25 Feb-25 Apr-26 May-27 Jan-28 Mar-30 Jan-34 Jan-37 Jan-41 Jan-45 Feb-47 1Y 2Y 3Y 4Y 5Y 7Y 10Y
Δ1D
Δ1W
Δ1M
-32 -14 -19 -3 -4 -1 0 -1 -1 -8 -2 0 2 0 0 0 0 3 0 2 0 0 0 0 -1 -1
-60 -41 -42 -8 -17 -2 0 -10 -1 1 0 0 4 6 0 -6 -6 2 -1 3 3 2 2 3 2 1
-185 -85 -91 -32 -37 12 13 -1 6 8 3 -5 9 7 9 4 -4 5 -4 18 17 20 21 22 17 14
Δ1Q
Δ1H
Δ1Y
-218 -59 -89 24 22 76 42 24 30 29 23 34 31 42 35 23 28 36 33 6 5 1 -6 -14 -28 -21
-313 -173 -188 -1 -58 9 -17 -26 -6 -22 -18 -3 -7 -11 -14 4 8 5 6 -12 -27 -46 -60 -70 -50
(basis points)
-215 -69 -93 31 4 59 45 18 39 26 31 15 35 39 37 36 35 38 37 19 24 26 23 21 19 26
Prices as of 15:28 EST
Source: Bloomberg (BGN, CBIN), Itaú
INTERNATIONAL BONDS
USD
CDS
Basis Points
Mexico Amount outstanding
Modified duration
Last price
(USD Billions)
(Years)
(% a.a.)
2.2 3.3 2.5 2.7 0.3 3.2 2.6 1.2 0.8 1.8 3.3 4.5 3.0 3.0 2.0 2.5 2.7 -
3.6 4.9 5.9 6.5 5.7 7.4 8.0 9.0 9.8 10.6 12.5 14.6 14.3 15.2 15.6 15.7 17.8 -
3.13 3.44 3.74 3.83 3.75 3.98 4.14 3.67 4.57 4.65 4.96 4.85 4.88 4.83 4.78 4.86 5.55 35 44 58 78 103 137 178
Mar-22 Oct-23 Jan-25 Jan-26 May-26 Mar-27 Jan-28 Aug-31 Apr-33 Sep-34 Jan-40 Mar-44 Jan-45 Jan-46 Jan-47 Feb-48 Oct-10 1Y 2Y 3Y 4Y 5Y 7Y 10Y
Source: Bloomberg (BGN, CBIN), Itaú
Δ1D
Δ1W
-3 -2 -2 -2 -2 -2 3 0 -1 0 -1 -1 -1 -1 -1 3 -1 2 2 1 1 1 1 1
-2 0 -6 -2 -2 -8 0 0 0 -3 -5 -6 -4 -6 -5 -3 -5 0 0 -1 0 -1 -2 -2
Δ1M
Δ1Q
Δ1H
Δ1Y
59 38 39 31 20 33 3 36 40 27 19 20 18 12 14 7 -3 -11 -13 -12 -14 -22 -22
24 4 21 16 -9 13 -34 8 0 4 -2 -8 1 -5 -15 4 -4 -14 -21 -27 -35 -25
(basis points)
5 -20 -20 -14 -4 -17 -14 12 1 -2 -18 -20 -19 -17 -19 -40 -17 -2 -3 -2 0 -1 -4 -5
39 25 25 23 17 23 25 17 27 31 13 11 9 10 12 13 10 5 2 3 5 5 -1 3
Prices as of 15:29 EST
1
CDS
CLP USD Basis Points
INTERNATIONAL BONDS
Chile Amount outstanding
Modified duration
Last price
(USD Billions)
(Years)
(% a.a.)
0.7 1.5 0.6 0.5 0.0 0.9 0.6 0.7 0.5 0.5 0.5 0.8 2.0 0.5 1.5 -
0.7 2.0 3.4 9.3 10.1 11.0 13.0 2.2 3.2 4.2 6.2 6.8 8.3 15.7 17.1 -
3.06 3.46 3.86 4.87 4.95 5.08 5.21 2.85 3.07 3.16 3.37 3.37 3.58 3.87 3.99 11 17 24 33 46 71 83
Jan-19 Jun-20 Mar-22 Jan-32 Jan-34 Mar-35 Jan-43 Aug-20 Sep-21 Oct-22 Mar-25 Jan-26 Feb-28 Oct-42 Jun-47 1Y 2Y 3Y 4Y 5Y 7Y 10Y
Δ1D
Δ1W
5 -1 -2 -1 -1 0 0 0 0 0 3 0 5 1 3 1 -1 0 1 0 0 1
6 -4 -7 -3 -3 -3 -2 -1 0 2 2 3 11 1 3 1 -2 -3 -1 -3 -2 -11
Δ1M
Δ1Q
Δ1H
Δ1Y
-11 -11 -12 3 0 1 -15 96 96 86 66 62 21 26 -2 -5 -6 -9 -10 -14 -23
7 23 36 66 67 74 63 76 74 65 56 52 18 -14 -22 -28 -30 -35 -44
(basis points)
4 -6 -10 -13 -13 -13 -13 1 -3 7 2 1 -1 -13 -11 2 2 2 3 3 2 -8
-9 -13 -15 -5 -8 -5 -16 53 59 55 52 44 29 29 0 -2 -1 3 2 0 -5
Prices as of 15:28 EST
Source: Bloomberg (BVAL, CBIN), Itaú
CDS
USD Basis Points
INTERNATIONAL BONDS
COP
Colombia Amount outstanding
Modified duration
Last price
(USD Billions)
(Years)
(% a.a.)
1.5 3.1 6.2 1.2 1.0 2.0 0.8 2.0 1.0 2.1 1.0 1.5 0.1 2.4 0.0 0.3 1.8 2.5 2.5 4.0 -
0.5 1.9 4.5 5.9 8.5 0.9 1.7 3.0 4.5 5.0 4.8 6.3 6.4 7.4 6.8 8.9 11.4 12.8 13.9 14.5 -
4.26 5.18 6.02 6.36 6.52 2.73 2.82 3.19 3.54 3.75 3.86 3.91 5.57 4.05 3.95 4.75 4.97 4.94 4.89 4.87 26 37 53 75 99 138 176
Oct-18 Jul-20 Jul-24 Aug-26 Jun-32 Mar-19 Feb-20 Jul-21 Mar-23 Feb-24 May-24 Jan-26 Feb-27 Apr-27 Mar-28 Jan-33 Sep-37 Jan-41 Feb-44 Jun-45 1Y 2Y 3Y 4Y 5Y 7Y 10Y
Source: Bloomberg (BVAL, CBIN), Itaú
Δ1D
Δ1W
Δ1M
-2 -1 1 1 -1 -4 1 0 0 0 0 0 5 2 1 -3 0 0 0 2 0 1 0 0 -1 -1 -1
-15 -15 -12 -11 -3 -7 -2 1 -1 3 -12 -6 -3 0 -2 -2 -3 -4 -5 1 -2 -2 -3 -2 -3 -3 -4
-18 -27 -37 -41 -17 5 -7 1 0 -9 -1 -9 99 -11 -10 5 -84 -9 -13 -13 2 4 4 5 2 0 -4
Δ1Q
Δ1H
Δ1Y
85 72 69 58 48 57 38 53 36 36 -30 10 14 9 8 -6 -8 -12 -15 -20 -38 -43
-94 -60 -42 -19 89 53 39 30 29 21 25 22 22 19 -78 -17 -10 -10 -8 -11 -15 -21 -28 -37 -49 -51
(basis points)
-19 -15 -5 -5 -12 12 40 42 43 41 53 40 65 39 36 -18 32 30 25 26 3 2 6 8 7 1 -4
Prices as of 15:28 EST
2
Credit default swaps CDS MEXICO
CDS BRAZIL 200
300
180 250 CDS Spreads (bps)
CDS Spreads (bps)
160 200 150 100
140
120 100
Last a day before a week before a month before
50
80 Last A day before A week before A month before
60 40 20
0 1Y
2Y
3Y
4Y
5Y
7Y
1Y
10Y
170
80
150 CDS spreads (bps)
90
CDS Spreads (bps)
100
190
70 60 50 40 30
0 1Y
2Y
3Y
4Y
5Y
7Y
140
Last A day before A week before A month before
50 30 10 1Y
2Y
3Y
141
200 180
bps
10Y
160 144
140
115
120 103102 103
100 87 88
80 75 57
99 73
60
64 65
60
7Y
Last A day before A month before
166 166
107
80
5Y
LatAm spreads (5-year)
126 126
100
4Y
Source: Bloomberg (CBIN), Itaú
136
120
10Y
70
10Y
Last A day before A month before
160
7Y
90
Aggregates spreads (5-year) bps
5Y
110
Source: Bloomberg (CBIN), Itaú
180
4Y
130
Last A day before A week before A month before
10
3Y
CDS COLOMBIA
CDS CHILE
20
2Y
Source: Bloomberg (CBIN), Itaú
Source: Bloomberg (CBIN), Itaú
100
97
74 71
46 46 43
40 20
40 Emerging Markets
Latam
EM Asia
Source: Bloomberg (CBIN), Itaú
CEEMEA (ex-Ukraine)
0 Brazil
Chile
Mexico
Peru
Colombia
Source: Bloomberg (CBIN), Itaú
3
USD Bonds: Spread Over Treasury Brazil
Last
Δ1D
Δ1W
Δ1M
Δ1Q
Δ1H
Δ1Y
-6 -6 -6 -4 -7 -14 -7 -6 29 33 -6 -2 -5 -4
-6 -3 -13 2 -3 -1 -1 0 36 44 -1 -2 -4 3
7 10 -1 5 8 9 5 -2 45 50 13 13 3 10
25 15 -11 10 -4 2 -14 40 50 10 15 13 15
2 -26 -39 -35 -31 -32 -34 -19 12 32 -9 -12 -4 8
-82 -95 -94 -107 -73 -89 -80 -61 -20 -56 -48 -24 -13
FIXED TENORS
(basis points)
Jan-21 Jan-23 Apr-24 Apr-24 Jan-25 Feb-25 Apr-26 May-27 Mar-30 Jan-34 Jan-37 Jan-41 Jan-45 Feb-47
Source: Bloomberg (BGN), Itaú
84 112 123 123 151 135 172 172 240 278 277 281 281 278
Prices as of 15:28 EST
4
Mexico
Last
Δ1D
Δ1W
Δ1M
Δ1Q
Δ1H
Δ1Y
-8 -7 -8 -7 -8 -8 -3 -6 -6 -5 -6 -6 -6 -6 -6 -2 -5 -120 -8 -7 -8 66
-6 -3 -8 -3 -3 -8 0 0 0 -2 -4 -4 -1 -3 -2 0 -2 -119 -6 -3 -5 21
1 -22 -18 -12 -2 -15 -11 16 6 3 -12 -12 -11 -9 -10 -32 -8 -23 -7 -23 -14 6
6 -5 -4 -6 -12 -6 -4 -10 1 5 -10 -10 -11 -10 -7 -6 -10 -3 20 7 -7 -1
-11 -27 -22 -27 -37 -21 -43 -8 -1 -6 -8 -5 -6 -10 -8 -15 5 -22 -33 -29 -1
-57 -68 -46 -47 -71 -45 -82 -38 -42 -26 -23 -28 -16 -20 -31 -150 -79 -88 -55 -12
CONSTANT MATURITY
FIXED TENORS
(basis points)
Mar-22 Oct-23 Jan-25 Jan-26 May-26 Mar-27 Jan-28 Aug-31 Apr-33 Sep-34 Jan-40 Mar-44 Jan-45 Jan-46 Jan-47 Feb-48 Oct-10 1Y 4Y 5Y 7Y 10Y
55 74 96 103 94 116 130 79 168 175 200 185 187 181 174 182 251 -11 61 77 109 171
5
Chile Last
Δ1D
Δ1W
Δ1M
Δ1Q
Δ1H
Δ1Y
-5 -5 -5 -3 -6 -4 -2 -5 -5 -5 -5 -1
-5 -4 -2 1 2 3 6 -6 -3 -1 2 9
-6 -8 4 3 2 -6 -3 -9 -1 2 2 0
20 26 25 22 14 7 9 20 22 22 14 21
21 23 19 6 4 -8 4 15 13 8 2 9
-17 -13 -13 -11 -11 -6 -33 -30 -26 -18 -5
CONSTANT MATURITY
FIXED TENORS
(basis points)
Aug-20 Sep-21 Oct-22 Mar-25 Jan-26 Oct-42 Jun-47 3Y 4Y 5Y 7Y 10Y
45 54 52 59 57 88 96 52 53 54 59 78
Prices as of 15:28 EST
Source: Bloomberg (BVAL), Itaú
Colombia Last
Δ1D
Δ1W
Δ1M
Δ1Q
Δ1H
Δ1Y
-7 -2 -6 -6 -6 -6 -6 -1 -4 -5 -5 -5 -5 -2 -83 -68 -41 -19 -13 -96 -3
-9 -6 -3 -5 0 -14 -7 -4 0 -2 -2 -2 -3 3 -126 -113 -85 -62 -21 -3 -3
1 -14 -5 -3 -11 -1 -7 102 -9 -7 -79 -2 -5 -6 -3 -14 -7 -5 -8 -9 -27
-14 9 8 12 13 23 11 36 11 8 8 8 4 5 -20 -21 -9 3 14 -65 30
24 0 -5 -10 -14 -5 -20 -1 -18 -17 -27 -18 -19 -17 -124 -120 -92 -65 -21 -25 13
0 -41 -48 -46 -41 -47 -39 -36 -36 -35 -52 -38 -32 -28 -198 -190 -155 -123 -73 -51 -1
CONSTANT MATURITY
FIXED TENORS
(basis points)
Mar-19 Feb-20 Jul-21 Mar-23 Feb-24 May-24 Jan-26 Feb-27 Apr-27 Mar-28 Sep-37 Jan-41 Feb-44 Jun-45 1Y 2Y 3Y 4Y 5Y 7Y 10Y
65 50 67 87 103 112 110 276 123 112 203 197 189 186 65 55 68 80 111 118 197
Source: Bloomberg (BVAL), Itaú
Prices as of 15:28 EST
6
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