Deutsche Bank-Asia Macro Strategy Notes CCS monitor Capitalizing on nega...-117223021

T2se3r0Ot6kwoPaT2se3r0Ot6kwoPaDistributed on: 13/08/2025 04:10:08 GMTDistributed on: 13/08/2025 04:10:08 GMT13 August 2025Deutsche BankResearch Asia Fixed Income Asia Macro Strategy Notes Date CCS monitor: Capitalizing on negative synthetic credit spreadAsia CCS updatesThe Asia Macro landscape has continued to be active into the summer period, and beyond the August 1st deadline for tariffs.nCCS fixed rates in Asia have generally declined over the past two weeks, mostly driven by a rally in IRS markets, even as the Xccy basis has largely held steady or even risen in most places. The exceptions have been KRW and CNH, with the underperformance in KRW in particular driven by the sell off in IRS more than offsetting the decline in Xccy basis.nASW trades in Asia have generally underperformed during this period, except in KRW. The CCS rally has made ASW trades challenging (ASW trades involve receiving local government bond rates and paying CCS), even though local bonds have held up well, delivering small gains in most markets except CNH and IDR. KRW ASW did relatively the best, driven by a rally in local government bonds and a sell-off in CCS.Figure 1:The decline in CCS fixed rates over the past fortnight has been driven mostly by a rally in IRS...-25-20-15-10-5051015IDRTHBINRSGDMYRPHPCNHKRWNet change over last two weeks5Y Xccy basis*5Y IRS5Y CCS*bpsSource :Deutsche Bank, Bloomberg Finance LP; Note: *We construct the implied Xccy basis for CCS markets where floating-to-floating swaps are not directly available ; and implied CCS fixed rate for markets where fixed-to-floating swaps are not directly available.Figure 2: ...causing ASWs to underperform in most of the region-15-10-5051015202530IDRINRTHBMYRSGDCNHPHPKRWNet change over last two weeks5Y GB yield5Y CCS (inverted change^)5Y ASW spreadbpsSource :Deutsche Bank, Bloomberg Finance LP; Note: ^The grey bar represents inverted change in CCS fixed rates. Negative bar = increase in CCS fixed rate.Bryant XuStrategist+65-6423 5558Jalaj SinghResearch AssociateDeutsche Bank AG/SingaporeIMPORTANT RESEARCH DISCLOSURES AND ANALYST CERTIFICATIONS LOCATED IN APPENDIX 1. UNTIL 19th MARCH 2021 INCOMPLETE DISCLOSURE INFORMATION MAY HAVE BEEN DISPLAYED, PLEASE SEE APPENDIX 1 FOR FURTHER DETAILS.13 August 2025Asia Macro Strategy NotesPage 2Deutsche Bank AG/SingaporeIntroducing the CCS carry monitorWe are enhancing our CCS analytics offering with a carry monitor. This new monitor quantifies the carry and rolldown per month of receiving forward CCS trades. It includes fixed-to-floating cross currency swaps for CNH, INR, and KRW, and floating-to-floating cross currency swaps for SGD, THB, MYR, EUR, AUD, and JPY.Receiving 5Y CCS in CNH, INR, and KRW is for the moment yielding positive carry, while receiving Xccy basis swaps in SGD and THB is yielding negative carry. This carry varies across different tenors and forward starting periods.Figure 3: Carry and rolldown for receiving CCS trades3m1Y3m2Y3m3Y3m5Y1Y1Y1Y2Y1Y3