20180427-法国巴黎银行-EM_STRATEGY_PLUS_30页_1mb

报告摘要

EM Strategy Summary - 27 April 2018

Core Content

This document outlines the Emerging Markets (EM) strategy insights and positions from the BNP Paribas EM Strategy Team, focusing on key themes from the IMF/World Bank Spring Meetings and market developments across various regions. It includes analysis of interest rates, FX positioning, options, and credit strategies in major EM markets such as India, China, South Africa, Argentina, and Latin America (Latam).

Main Themes and Insights

Global Growth Outlook

Positive Sentiment: The global growth outlook remains buoyant, with inflation pressures well contained.
Concerns: Investors are worried about potential worsening of Sino-US trade relations and the high valuations of EM assets.
Monetary Policy: The G4 central banks (US, Japan, EU, China) are not expected to surprise with tightening policies, which is seen as manageable.
US Yield: The rise in US funding costs has been a key factor in recent EM weakness. The 10y US Treasury yield touched 3% in the past week.

FX Positioning

BRL Oversold: The USDBRL positioning score indicates that the NDF market has been a consistent explanatory factor for BRL depreciation, suggesting the currency is oversold.
COP Overbought: The COP NDF market is overcrowded toward short USD positions, indicating potential for a correction.
Key Positions: The team is short USDBRL via 3m NDF and long USDCLP via 3m NDF. Other positions include short USDPEN and long BRL against a basket of currencies.

Options Strategy

USDTRY Call: A 3-month USDTRY 25-delta call was bought and taken profit.
USDINR Put Spread: A 1-month USDINR put spread (64 vs 65, 1X1) was rolled into a fresh 1m position.
USDBRL CS: Long positions in USDBRL CS with maturities 08-Nov-18 and 23-Aug-18, with small gains recorded.

Credit Strategy

Jun19 UDIBonos: A long position in Jun19 UDIBonos was closed with a loss of 145 bp.
Argentina 5Y CDS: A buy on Argentina 5Y CDS vs sell on Brazil/Mexico/Colombia CDS was initiated, showing a positive 32 bp P/L.

Regional Analysis

India

Take Profit: The team took profit on the INR 5y NDOIS recommendation as the market approached the target of 7%.
Market Conditions: The Indian bond market is under pressure, with a tightening bias in monetary policy. The RBI has been actively buying bonds, suggesting intervention to stabilize the market.
Positioning: Offshore swaps remain in discount to onshore swaps, indicating continued interest in NDOIS.

China

RRR Cut Impact: The RMB index rose to its highest level since May 2016, despite the RRR cut. The team expects a correction.
Liquidity: Interbank liquidity is expected to remain stable following the RRR cut. SHIBOR fell below 4%, indicating reduced demand for interbank credit.
Foreign Investment: Overseas investors increased their holdings of CGBs to 10% of the total outstanding amount, suggesting continued inflows.
FX Dynamics: Foreign investors are FX short/RMB long, while domestic exporters/importers reduced FX sales. The PBoC may need to intervene if the RMB continues to rise.

South Africa

Labour Unrest: A mix of legislative and wage disputes has increased the risk of labour unrest. Public-sector unions are at a breaking point with the government over wages.
Strike Activity: A national bus strike is ongoing, with negotiations showing signs of resolution.
Political Dynamics: President Cyril Ramaphosa faces a delicate balancing act between improving labor relations and managing internal ANC tensions.
Key Events: Public-sector wage talks resume on 3 May, and the national minimum wage is likely to be delayed until June.

Argentina

Fiscal Trap: Argentina is in a fiscal trap and needs a strong fiscal adjustment or a significant depreciation of the ARS.
FX Intervention: FX intervention is viewed as a temporary fix rather than a long-term solution.
Carry Trade: Carry alone may not be a compelling reason for investment in a deteriorating financial environment.

Latam

Chile: The central bank is expected to keep the overnight rate unchanged at 2.5%, based on recent inflation trends.
Colombia: The CPI for April will be closely watched, as it may influence further rate cuts. The team remains in a flattener position on IBR 9m vs 18m.

Summary of Trade Recommendations

Asia

India: Take profit on INR 5y NDOIS at 6.87%.
China: No new trade recommendations this week.

CEEMEA

No New Recommendations: The team did not make any new trade recommendations for the region.

Latam

No New Recommendations: The team did not make any new trade recommendations for the region.

Key Risks

Sino-US Trade Relations: Further deterioration could impact EM markets.
US Domestic Policy: Unpredictability in US administration policies poses a risk.
Labour Unrest in South Africa: Public-sector and bus strikes could disrupt economic activity.
FX Market Volatility: High positioning in EM markets and potential corrections in currencies like BRL and COP.