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.

 

 

 

 

 

 

 

 

 

 

 

  • Wednesday, November 15 2017

    Venezuela:

    - Amid uncertainty after the investors meeting, the attention continues to be on the interest payments which grace period expired this week (PDV’27, VENZ’19 and VENZ’24) and the call for default for both Venezuela and PdVSA. In this sense, the ISDA which is in charge since last week of assessing a credit default decision over the PDV’17 payment (which also arrived later than the day expected) said that they will meet again on Thursday with a deadline until Friday to make any decision on

    Read More >>
  • Tuesday, November 7 2017

    Venezuela:

    - The selloff in sovereign and quasi-sovereign curves continued yesterday, with the first leading with an average 11.47% drop – thanks mostly to the whopping correction of both VENZ’18, as the old fell 51.73% and the new decreasing 48.64%. Meanwhile, the PDVSA curve closed the day with a -4% average result. This situation is likely to continue, in our view, for as long as payments of coupons in grace period are not being made, situation aggravated by the closeness of the deadlines of each gr

    Read More >>
  • Thursday, November 2 2017

    Venezuela:

    - After yesterday’s comments of the Depository Trust Company of Venezuela’s bond payments, confirming the transaction and extra official information about some holders that already received payment on 2020 bond, the Venezuelan bonds showed positive movements. In this sense, we can use the PDV’20 experience to expect a similar process for the funds of the PDVSA 2017N to matured today for a total amount of USD1.170mn between principal and interest, with an announcement of the payment during

    Read More >>
  • Wednesday, November 1 2017

    Venezuela:

    - Until today 01 January 2017, will be held the process to postulate for the municipal elections, which are expected for around 10 December. However, there is no clear information on the ongoing process and the opposition response has not been clear either. In detail, seven opposition parties has decided to not participate in the next electoral process, however we do not discard that some of its member could –at the very last minute- decide that they will participate as an independent candidat

    Read More >>

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