Quantitative Report

EM Quantitative Chartbook Weekly Report

July 17 2015 By Research & Strategy Team

Below we produce the Par Equivalent CDS spread metrics in order to assess the credit relative value and identify the bonds that are cheap or expensive relative to what we describe as a theoretical fair value curve. Graphs and tables below show results of these calculations for Venezuela, PDVSA, Ukraine, Russia, Argentina, Panama, Turkey, Ecuador, Mexico and Brazil.

Quantitative Report

EM Quantitative Chartbook Weekly Report

July 9 2015 By Market Research & Strategy Team

Below we produce the Par Equivalent CDS spread metrics in order to assess the credit relative value and identify the bonds that are cheap or expensive relative to what we describe as a theoretical fair value curve. Graphs and tables below show results of these calculations for Venezuela, PDVSA, Ukraine, Russia, Argentina, Panama, Turkey, Ecuador, Mexico and Brazil.

• We favor  the new VENZ’18 , VENZ’19, VENEZ’20 VENEZ’24 andVENZ’38, due to its cheapness to the curve in PECS Terms, respectively with  bps, 609bps, 496 bps, 250 bps, 236 bps, and  276 bps of upside in PECS Terms.

• On the PDVSA curve PDVSA’21, PDVSA’24, PDVSA’26, PDVSA’27 and PDVSA’37 are the cheap to fair value bonds, respectively with 395 bps, 455 bps, 316 bps , 263 bps and 410 bps of upside in PECS Terms.

• RUSSIA’22 is relatively cheap with 22 bps of upside in PECS Terms according to our model.

• In Ukraine, we like especially UKR’16 new, UKR’21, UKR’22 and UKR’23 with 582 bps, 192 bps, 148 bps and 160 bps respectively.

• Argentina: Bonar’17, Bonar’24 and the USD Par 2 1/2 are relatively cheap at this point, but with not that much upside in PECS terms, with 23 bps, 65 bps and 19 bps respectively.

• Panama: The ’24 seems slightly cheap with 36 bps.

• Ecuador: The ’20 appear to be slightly cheap with 79 bps.

• Mexico: we like the ‘22 old, ‘40  and ‘45 with 22 bps, 23 bps and 24 bps respectively.

• In Brazil we like the ‘24, ‘34  and ‘40 with 27 bps , 31 bps and 32 bps of upside in PECS Terms.

 

Quantitative Report

EM Quantitative Chartbook Weekly Report

July 2 2015 By Market Research & Strategy Team

Below we produce the Par Equivalent CDS spread metrics in order to assess the credit relative value and identify the bonds that are cheap or expensive relative to what we describe as a theoretical fair value curve. Graphs and tables below show results of these calculations for Venezuela, PDVSA, Ukraine, Russia, Argentina, Panama, Turkey, Ecuador, Mexico and Brazil.

• We favor  the new VENZ’18 , VENZ’19, VENEZ’22, VENEZ’23, VENEZ’24, VENEZ’34 and VENZ’38, due to its cheapness to the curve in PECS Terms, respectively with 609 bps, 496bps, 206 bps, 256 bps, 236 bps, 217 bps and  276 bps of upside in PECS Terms.

• On the PDVSA curve, PDVSA’16, the old PDVSA’17, PDVSA’21 and PDVSA’37 are the cheap to fair value bonds, respectively with 624 bps, 250 bps, 395 bps and 222 bps of upside in PECS Terms.

• RUSSIA’20 is relatively cheap with 27 bps of upside in PECS Terms according to our model. In Ukraine, we like especially UKR’20 and UKR’22.

• In Ukraine, we like especially UKR’20 and UKR’22.

• Argentina: Bonar’17 and Bonar’24 are relatively cheap at this point, but with not that much upside in PECS terms, with 35 bps and 24 bps respectively.

• Ecuador: The ’30 appear to be slightly cheap with 68 bps.

• Mexico: we like the ‘25, ‘40  and ‘44 with 24 bps, 22 bps and 22 bps respectively.

• In Brazil we like the ‘34 with 27 bps of upside in PECS Terms.

 

Quantitative Report

EM Quantitative Chartbook Weekly Report

June 25 2015 By Market Research & Strategy Team

Below we produce the Par Equivalent CDS spread metrics in order to assess the credit relative value and identify the bonds that are cheap or expensive relative to what we describe as a theoretical fair value curve. Graphs and tables below show results of these calculations for Venezuela, PDVSA, Ukraine, Russia, Argentina, Panama, Turkey, Ecuador, Mexico and Brazil.

• We favour VENEZ’16, the new VENZ’18 , VENZ’19, VENEZ’20, VENEZ’22, VENEZ’23, VENEZ’27 and VENZ’34, due to its cheapness to the curve in PECS Terms, respectively with 177 bps, 425 bps, 246 bps, 148 bps, 124 bps, 256 bps, 182 bps,s and  217 bps of upside in PECS Terms.

• On the PDVSA curve, PDVSA’16, the old and new PDVSA’17, PDVSA’22, PDVSA’24 and PDVSA’35 are the cheap to fair value bonds, respectively with 158 bps, 655 bps, 107 bps, 259 bps, 285 bps and 169 bps of upside in PECS Terms.

• RUSSIA’23 is cheap with 36 bps of upside in PECS Terms according to our model. In Ukraine, we like the belly of the curve.

• Argentina: USD Par is cheap through the lens of PECS valuation. Yet, they offer little upside at this point.

• Ecuador: The ’15 appears to be slightly cheap respectively with 21 bps of upside in PECS Terms.  Mexico: we like the ‘21 and ‘23. In Brazil we like the ‘23, ’24 andf ‘the new 24 with 43 bps, 28 bps and 30 bps of upside in PECS Terms.

 

 

 

 

 

 

 

 

 

 

 

Quantitative Report

EM Quantitative Chartbook Weekly Report

June 17 2015 By BancTrust&Co. Market Reseach & Strategy

Below we produce the Par Equivalent CDS spread metrics in order to assess the credit relative value and identify the bonds that are cheap or expensive relative to what we describe as a theoretical fair value curve. Graphs and tables below show results of these calculations for Venezuela, PDVSA, Ukraine, Russia, Argentina, Panama, Turkey, Ecuador, Mexico and Brazil.

• We favour VENEZ’16, the new VENZ’18 , VENZ’19, VENEZ’20, VENEZ’22, VENEZ’23, VENEZ’24, VENEZ’26 and VENZ’31, due to its cheapness to the curve in PECS Terms, respectively with 87 bps, 266 bps, 112 bps, 459 bps, 121 bps, 375 bps, 110 bps, 281 bps and  223 bps of upside in PECS Terms.

• On the PDVSA curve, PDVSA’16, the old PDVSA’17, PDVSA’22, PDVSA’26 and PDVSA’35 are the cheap to fair value bonds, respectively with 130 bps, 557 bps, 162 bps, 262 bps and 211 bps of upside in PECS Terms.

• RUSSIA’22 is cheap with 35 bps of upside in PECS Terms according to our model. In Ukraine, we like the belly of the curve.

• Argentina: USD Par is cheap through the lens of PECS valuation. Yet, they offer little upside at this point.

• Ecuador: The ’15 , ‘20, ’24  appear to be slightly cheap respectively with 21 bps, 49 bps, and 27 bps of upside in PECS Terms. Mexico: we like the ‘21 and ‘23. In Brazil we like the ‘20 with 18 bps of upside in PECS Terms.

 

 

 

 

 

 

 

 

 

 

 

  • Monday, September 25 2017
    Venezuela:

    - Last Friday, the government of Canada announced economic sanctions on key Venezuela’s officials which affects 40 individuals who have played a key role in Maduro´s regime. In detail, these sanctions prohibit any person in Canada or any Canadian outside the country to have any type of economic relation with these members of the Venezuelan government. We see that the consequences of this sanctions are very similar to those applied by the United States government, affecting only individuals, reason why we do not expect the conse

    Read More >>
  • Thursday, September 21 2017

    Venezuela:

    - Yesterday rumors started of the country being late on the payment of an USD185mn coupon of the VENZ27, which had to be canceled on September 15. Nevertheless, near the end of the day the national public credit office said that it sent the money on time to the corresponding financial institutions and the delay is due to "operational changes" in order to make future financial transactions effective. Furthermore, the credit institution reiterated Venezuela’s commitment in paying its debt and ca

    Read More >>
  • Tuesday, September 19 2017
    Venezuela:

    - According to some new information, it seems that PetroChina Americas is revising its oil for cash agreements with PDVSA after the US sanctions were imposed, which would made them unable to act as an agent to commercialize Venezuelan crude. In detail, there is no change –as the sanctions detailed- in the ongoing contracts; the effect comes for the intention to renew or to extent the terms of the existence contracts. Read More >>

  • Friday, August 25 2017
    Venezuela

    -Yesterday, it was known that some representatives of the Venezuelan government has been trying to reach a general agreement in China that comprises the creation of a sub-fund for the repurchase of Venezuelan debt –sovereign and PDVSA’s- which will allow the government to take advantage of the savings made when buying at discount the bonds with maturities in 2017 and 2018, savings are calculated around USD700mn. The final strategy will be to swap at maturity the bonds that are repurchase for new PDVSA’s debt with maturities

    Read More >>

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