亚洲宏观策略笔记-CCS 监测：关于 CNH CCS 的三大常见问题解答-CCS monitor Your top 3 CNH CCS

Summary of the Conference Call Notes Industry Overview - The conference call focuses on the Asia Cross Currency Swap (CCS) market, particularly in relation to the CNH (Chinese Yuan) and other Asian currencies as the August 1st tariff deadline approaches [1][9]. Key Points and Arguments CCS Market Performance - The CCS market in Asia showed mixed performance over the past two weeks, with a general decline in CCS fixed rates, except for CNH and THB [1][9]. - The decline in CCS fixed rates was primarily driven by an Interest Rate Swap (IRS) rally, with notable exceptions in KRW where Xccy basis tightening offset the IRS sell-off [9]. ASW Trades - Asset Swap (ASW) trades in Asia generally underperformed, particularly in CNH, KRW, and PHP, due to local government bond sell-offs [9]. - The ASW spread tightened in THB and IDR due to a government bond rally, although the CCS rally partially eroded ASW trade performance in IDR [9]. Dim Sum Bond Supply - Non-China issuers' dim sum bond supply is exceptionally strong year-to-date, 37% higher than the average of the last three years [10][22]. - There has been a notable increase in long-dated dim sum bond issuance from non-China entities, with the average tenor historically at 4.3 years [11]. - The primary driver for this strong supply is the financing cost advantage gained by swapping dim sum bonds into USD compared to direct USD issuance, estimated at approximately 40bps in savings [12][24]. Demand for Dim Sum Bonds - Continued strong demand for dim sum bonds is anticipated, driven by "yield hunting" behavior of mainland Chinese investors, who find dim sum bonds appealing due to higher yields and no direct FX risk [13]. Implied-Realized Vol Differential - The implied-realized vol differential is debated as a signal for receiving CNH CCS trades. While it shows some empirical usefulness, its correlation with future issuance is weak [16][17][30]. Statistical Insights - When the implied-realized vol differential falls below -10bps, it tends to be followed by strong dim sum bond issuance. More negative differentials correlate with larger CNH CCS declines [16][32]. Additional Important Insights - The conference notes highlight the importance of the southbound Bond Connect program, which is expected to increase access for mainland market participants and boost dim sum bond demand [13]. - The CCS market's performance is closely monitored, with various figures and data points provided to illustrate trends and changes in the market [1][9][10][12][13]. This summary encapsulates the key insights and data points discussed in the conference call, providing a comprehensive overview of the current state and trends in the Asia CCS market and dim sum bond supply.