Latam Fixed Income Strategy [PDF]

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