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.

 

 

 

 

 

 

 

 

 

 

 

  • Tuesday, January 16 2018

    Venezuela:

    - Yesterday the President Nicolas Maduro gave its yearly speech which should be something close to the state of the union and that according to the constitution should be presented in front of the National Assembly. However, this year and arguing the illegality of the National Assembly, the decision was to give his speech in front of the National Constituent Assembly. In detail, more than a state of the union this was one of the usual speech of the President with not much data to collect. Among

    Read More >>
  • Monday, January 15 2018

    Venezuela:

    - The dialogue meeting held in the Dominican Republic between members of the opposition and the government last weekend culminated again without any results. International mediators indicated that although some agreements were reached, several points remain pending and both parties will meet again this Thursday, January 18. In our opinion, it was expected that results would not be achieved,as we have been saying we believe that the most likely to happen is that the negotiation rounds will culmin

    Read More >>
  • Friday, January 12 2018

    Venezuela:

    - The National Electoral Council (CNE in Spanish) announced that it has approved the schedule for the validation of political parties that did not participate in the last municipal elections which it will take place on 27 and 28 of January. The process will be carried out to comply with the order of the National Constituent Assembly (ANC), which has as its sole purpose to be another obstacle for the opposition. We believe that at the moment the attention is focused on the negotiations in the Dom

    Read More >>
  • Thursday, January 11 2018

    Venezuela:

    - The situation regarding Venezuela’s debt with Brazil received yesterday two mixed updates, as the Brazilian Ministry of Finance reported that the first paid an old debt but that it is still in arrears with another payment. In detail, the ministry informed that Venezuela paid USD262.5mn – corresponding to the May-August period of 2017 – on 5 January as part of their commitments under the Reciprocal Credit and Payments Agreement (CCR), which is part of the benefits of the Latin American In

    Read More >>

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