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.

 

 

 

 

 

 

 

 

 

 

 

  • Thursday, May 25 2017
    Venezuela:

    - During a televised press conference, the top Public Prosecutor Luisa Ortega Diaz addressed several events regarding the wave of protests in Venezuela. In detail, the prosecutor denounced the possession of arms by the population despite the current ban by the Ministry of Interior, the performance of state security forces and military trials of civilians. One of the statements with greatest impact referred to the cause of death of a young opposition demonstrator product of a metal projectile fired by an official of the Bolivarian

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  • Wednesday, May 24 2017
    Venezuela

    - Finance Minister Ramon Lobo and the Executive Board of the Central Bank of Venezuela (BCV in Spanish) announced the start of operations of the new FX system DICOM. The system will work through two weekly auctions (the first one will take place tomorrow) and a bands’ system where the FX rate will fluctuate – the starting rate has not been announced yet. The official rate will be the lowest offered by those who are adjudicated, but a “contingent” auction will take place in case that such rate exceeds the upper band establis

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  • Tuesday, May 23 2017
    Venezuela:

    - For today, the new FX scheme, DICOM, is set to begin operations, and yesterday the Minister of Foreign Trade and International Investment, Jesus Faria, assured that the main goal is to reduce the impact of the parallel dollar and to increase the assignment of currency for business. It is expected that today further details of the mechanism will be disclosed from the facilities of the Central Bank of Venezuela (BCV for its words in Spanish), so stay tuned for more.

    Argentina:

    - The US Treasury Secretary, Steven Mnuchin, told the Senate yesterday that regulators would review Rosneft’s stake of Citgo Petroleum Corp., this as concerns have emerged over possible control from the Russian company in case that PDVSA fails to make payments on the bonds guaranteed by Citgo’s collateral. Senators raised their concerns – regarding Rosneft’s “control of a major US energy supplier” – on what they consider a national security matter to Mnuchin, who heads the Committee on Foreign Investment in the Unite

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