德银-新兴市场-投资策略-新兴市场宏观与策略聚焦-20180216-18页_3mb
报告摘要
EM Macro and Strategy Focus - 16 February 2018
Core Content Overview
This document provides a summary of the latest economic and market highlights for Emerging Markets (EM) as of 16 February 2018, including key trades, economic releases, and bond auctions. It outlines the current market outlook, strategies, and expectations for various EM countries across FX, Rates, and Credit markets.
Main Points
Top Trades
FX Trades
- Hungary: Sell EUR/HUF (Maintain), Chg Target on 15 Feb 18, Entry: 311.12, Current: 311.63, Target: 305.00, Stop: 315.50
- Israel: Buy EUR/ILS (Maintain), Chg Target on 15 Feb 18, Entry: 4.11, Current: 4.41, Target: 4.50, Stop: 4.18
- Poland: Sell EUR/PLN (Maintain), Chg Target & Stop on 24 Jan 18, Entry: 4.31, Current: 4.16, Target: 4.10, Stop: 4.20
- South Africa: Buy 9m 11.15 USDZAR digital put (Maintain), Initiation on 08 Feb 18, Entry: 16.00%, Current: 25.00%
- Turkey: Buy 3m 3.65 USDTRY digital put (Maintain), Initiation on 10 Jan 18, Entry: 11.00%, Current: 15.00%
Rates Trades
- Czech Republic: 2Y2Y-5YSY IRS steeperer (Maintain), DV01 Neutral, Initiation on 18 Jan 18, Entry: 12.00, Current: 23.00, Target: 60.00, Stop: 0.00
- Hungary: 2Y2Y - 10Y IRS steeperer (New), DV01 Neutral, Initiation on 12 Feb 18, Entry: 56.00, Current: 58.00, Target: 100.00, Stop: 35.00
- Israel: 3Y fwd 1y receiver (New), DV01 Neutral, Initiation on 12 Feb 18, Entry: 1.42, Current: 1.42, Target: 1.20, Stop: 1.60
- Israel: 5YSY IRS vs USD (Maintain), Outright, Initiation on 13 Jan 17, Entry: -50.00, Current: 3.00, Target: 50.00, Stop: -25.00
- Poland: 2Y2Y IRS receiver (Maintain), Outright, Initiation on 07 Feb 18, Entry: 3.05, Current: 2.94, Target: 2.75, Stop: 3.20
- Brazil: Jan19 | Jul19 (Maintain), FRA, Initiation on 18 Jan 18, Entry: 8.45, Current: 7.98, Target: 7.00, Stop: 9.00
- Brazil: Pay Jan 25 Cupom Cambial (Maintain), Outright, Initiation on 18 Jan 18, Entry: 3.60, Current: 4.26, Target: 5.00, Stop: 3.00
- Colombia: Coltes 20s (Maintain), Outright, Initiation on 13 Jul 17, Entry: 5.78, Current: 5.34, Target: 5.00, Stop: 5.45
- Mexico: Buy MBONO 26 ASW (New), Outright, Initiation on 15 Feb 18, Entry: -43.00, Current: -40.50, Target: -70.00, Stop: -30.00
- Peru: Buy Soberanos 28s (Maintain), Outright, Initiation on 18 Jan 18, Entry: 4.72, Current: 4.81, Target: 4.20, Stop: 5.00
Credit Trades
- South Africa: Long 27s (New), Outright, Initiation on 14 Feb 18, Entry: 98.37, Current: 98.37, Target: 101.00, Stop: 97.75
- South Africa: 27s vs. 47s (Maintain), DV01-neutral, Initiation on 07 Dec 17, Entry: -69.50, Current: -69.00, Target: -90.00, Stop: -60.00
- Turkey: Switch to 24s from 6.25% 22s (Maintain), DV01-neutral, Initiation on 11 Oct 17, Entry: 49.50, Current: 45.00, Target: 20.00, Stop: 65.00
- Argentina: 23s vs. 5Y CDS (New), DV01-neutral, Initiation on 14 Feb 18, Entry: 6.00, Current: 6.00, Target: 25.00, Stop: -20.00
- Venezuela: Switch to 28s from 13.625% 18s (New), DV01-neutral, Initiation on 14 Feb 18, Entry: -13.16, Current: -13.16, Target: -8.00, Stop: -15.00
- Venezuela: Switch to 26s from PDVSA 12.75% 22s (New), DV01-neutral, Initiation on 14 Feb 18, Entry: -4.87, Current: -4.87, Target: 0.00, Stop: -6.00
Economic and Market Highlights
Key Figures and Insights
- Figure 1: Best and Worst FX Performance
- Figure 2: Best and Worst Rates Performance
- Figure 3: Manufacturing PMI Indices (PPP-weighted averages)
- Figure 4: EM Flows
- Figure 5: FX: Long Term & Short Term (Financial) Valuation (Positive value means overvalued)
- Figure 6: FX Carry: (3m interest differential / 3m implied vol)
- Figure 7: Rates: What's priced year-end '18 vs DB Forecasts
- Figure 8: Rates snapshot (10 yr carry vs. z-scores; 3m horizon)
Top Economic Releases
| Country | Release Date | Release (month) | Period | Previous | DB Expected | Consensus |
|---|---|---|---|---|---|---|
| Brazil | 2/19/2018 | Economic Activity (MoM) | Dec-17 | 0.50% | 0.70% | 0.90% |
| Peru | 2/19/2018 | Quarterly GDP (YoY) | Q4-2017 | 2.50% | 2.80% | 2.20% |
| Thailand | 2/19/2018 | Exports (customs) (YoY) | Jan-18 | 8.60% | 8.80% | 11.60% |
| Thailand | 2/19/2018 | GDP (YoY) | Q4-2017 | 4.30% | 4.10% | 4.30% |
| South Africa | 2/21/2018 | CPI (YoY) | Jan-18 | 4.70% | 4.50% | 4.50% |
| Hong Kong | 2/22/2018 | CPI (YoY) | Jan-18 | 1.70% | 2.60% | - |
| Brazil | 2/23/2018 | FGV CPI IPC-S (WE) | we-24-Feb-2018 | 0.60% | - | - |
| Brazil | 2/23/2018 | IBGE CPI IPCA - 15 (MoM) | Feb-18 | 0.39% | 0.45% | - |
| Mexico | 2/23/2018 | GDP Constant (YoY) | Q4-2017 | 1.80% | 1.70% | - |
| Mexico | 2/23/2018 | Global economic indicator (IGAE) (YoY) | Dec-17 | 1.5% | 2.0% | - |
| Russia | 2/23/2018 | S&P credit rating | - | -1.80% | -0.60% | - |
| Thailand | 2/23/2018 | Trade Balance | Jan-18 | USD-0.3bn | USD-0.3bn | USD0.6bn |
Bond Auctions
| Country | Submission Deadline (Local Time) | Code | Detail | Coupon | Maturity | Amount | Nominal Out'sg | Avg. Offer Size | Avg. Bid-Cover | Last Auction Date | Size Sold | Bid-Cover | Yield |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Brazil | 11:00 | EK0267055 | NTN-B | 6.00% | 15-May-23 | - | BRL 92bn | BRL 2.8bn | - | 8-Feb-18 | BRL 0.93bn | - | |
| Brazil | 11:00 | AQ6084794 | NTN-B | 6.00% | 15-Aug-28 | - | BRL 6.8bn | BRL 1.4bn | - | 8-Feb-18 | BRL 2.9bn | - | |
| Brazil | 11:00 | AQ6084752 | NTN-B | 0.00% | 1-Jan-22 | - | BRL 11bn | BRL 2.1bn | - | 8-Feb-18 | BRL 2.5bn | - | |
| Brazil | 11:00 | EK0169285 | NTN-F | 10.00% | 1-Jan-25 | - | BRL 74bn | BRL 0.81bn | - | 8-Feb-18 | BRL 0.77bn | - | |
| Brazil | 11:00 | AQ6084745 | NTN-F | 10.00% | 1-Jan-29 | - | BRL 5.3bn | BRL 0.79bn | - | 8-Feb-18 | BRL 0.51bn | - | |
| Chile | 12:45 | BNPDBC200318 | PDBC 30Days | - | 20-Mar-18 | CLP 200bn | - | - | - | 15-Feb-18 | CLP 140bn | 1.21x | |
| Israel | 10:30 | IL01142223 | Fixed | 0.50% | 31-Jan-21 | ILS 250mn | 2.9bn | - | - | 12-Feb-18 | ILS 250mn | - | |
| Israel | 10:30 | IL001141225 | Fixed | 1.25% | 30-Nov-22 | ILS 250mn | 5.7bn | - | - | 12-Feb-18 | ILS 250mn | - | |
| Israel | 10:30 | IL001139344 | Fixed | 2.00% | 31-Mar-27 | ILS 250mn | 11.9bn | - | - | 12-Feb-18 | ILS 250mn | - | |
| Israel | 10:30 | IL001141795 | CPI | 0.11% | 31-May-26 | ILS 180mn | 2.8bn | - | - | 12-Feb-18 | ILS 250mn | - | |
| Romania | 11:00 | ROMGB 2.3 | Fixed | 2.30% | 26-Oct-20 | RON 500mn | 4.3bn | - | - | 12-Feb-18 | RON 115mn | 1.88x | |
| South Korea | 10:40 | NDFB | 10Y re-issue | 2.38% | 10-Dec-27 | KRW 1.75tn | KRW 4.3tn | - | - | 22-Jan-18 | KRW 1.75tn | 2.695x | |
| Brazil | 11:00 | AL9338982 | LTN | 0.00% | 1-Apr-19 | - | BRL 92bn | BRL 2.8bn | - | 8-Feb-18 | BRL 0.93bn | - | |
| Brazil | 11:00 | AQ6084794 | LTN | 0.00% | 1-Apr-20 | - | BRL 6.8bn | BRL 1.4bn | - | 8-Feb-18 | BRL 2.9bn | - | |
| Brazil | 11:00 | AQ6084752 | LTN | 0.00% | 1-Jan-22 | - | BRL 11bn | BRL 2.1bn | - | 8-Feb-18 | BRL 2.5bn | - | |
| Brazil | 11:00 | EK0169285 | NTN-F | 10.00% | 1-Jan-25 | - | BRL 74bn | BRL 0.81bn | - | 8-Feb-18 | BRL 0.77bn | - | |
| Brazil | 11:00 | AQ6084745 | NTN-F | 10.00% | 1-Jan-29 | - | BRL 5.3bn | BRL 0.79bn | - | 8-Feb-18 | BRL 0.51bn | - | |
| Chile | 12:45 | BNPDBC220318 | PDBC 30Days | - | 22-Mar-18 | CLP 200bn | - | - | - | 15-Feb-18 | CLP 140bn | 1.21x | |
| Chile | 12:45 | BNPDBC220518 | PDBC 90Days | - | 22-May-18 | CLP 100bn | - | - | - | 14-Feb-18 | CLP 50bn | 2.0x | |
| Chile | 12:45 | BNPDBC220818 | PDBC 180Days | - | 22-Aug-18 | CLP 50bn | - | - | - | 31-Oct-17 | CLP 50bn | 1.60x | |
| Chile | 12:45 | BNPDBC150219 | PDBC 360Days | - | 15-Feb-19 | CLP 50bn | - | - | - | 15-Feb-18 | CLP 50bn | 2.10x | |
| Hungary | 10:00 | 2023B | Floating | - | 26-Jul-23 | HUF 20bn* | 108.3bn | - | - | 15-Feb-18 | HUF 50bn | 1.18x | |
| Hungary | 10:00 | POLGB 0 | Zero | 0.00% | 25-Jul-20 | - | 8.1bn | - | - | 8-Feb-18 | PLN 701mn | 1.63x | |
| Hungary | 10:00 | POLGB 0 | Floating | 1.81% | 25-Nov-22 | - | 30.5bn | - | - | 8-Feb-18 | PLN 1436mn | 2.10x | |
| Hungary | 10:00 | POLGB 2.5 | Fixed | 2.50% | 25-Jan-23 | - | 14.3bn | - | - | 8-Feb-18 | PLN 1435mn | 1.58x | |
| Hungary | 10:00 | POLGB 2 3/4 | Fixed | 2.75% | 25-Apr-28 | - | 7.3bn | - | - | 8-Feb-18 | PLN 698mn | 1.76x | |
| Hungary | 10:00 | POLGB 0 | Floating | 0.00% | 25-May-28 | - | 8.1bn | - | - | 8-Feb-18 | PLN 390mn | 1.68x | |
| Romania | 11:00 | ROMGB 5.85 | Fixed | 5.85% | 26-Apr-23 | - | 8.8bn | - | - | 12-Feb-18 | RON 387mn | 1.69x | |
| South Africa | 11:00 | R2030 | CPI | 1.88% | 31-Mar-29 | ZAR 300mn | 13.4bn | - | - | 9-Feb-18 | ZAR 415mn | 1.23x | |
| South Africa | 11:00 | R2033 | CPI | 1.88% | 28-Feb-33 | ZAR 300mn | 20.8bn | - | - | 9-Feb-18 | ZAR 165mn | 1.88x | |
| South Africa | 11:00 | R2046 | CPI | 2.50% | 31-Mar-46 | ZAR 300mn | 34.5bn | - | - | 9-Feb-18 | ZAR 95mn | 1.79x | |
| Turkey | 11:30 | TURKGB 0 | Floating | - | 5-Jun-24 | TRY 2bn* | 109bn | - | - | 14-Feb-18 | TRY 4.1bn | 1.51x | |
| Turkey | 11:30 | TURKGB 0 | Floating | - | 5-Jun-24 | TRY 2bn* | 109bn | - | - | 14-Feb-18 | TRY 4.1bn | 1.51x |
Key Economic Releases
| Country | Release (month) | Period | Time (London) | Time (NY) | Time (HK) | Previous | DB Expected | Consensus |
|---|---|---|---|---|---|---|---|---|
| Brazil | Economic Activity (MoM) | Dec-17 | 10:30 | 5:30 | - | 0.50% | 0.70% | 0.90% |
| Peru | Quarterly GDP (YoY) | Q4-2017 | - | - | - | 2.50% | 2.80% | 2.20% |
| Thailand | Exports (customs) (YoY) | Jan-18 | - | - | - | 8.60% | 8.80% | 11.60% |
| Thailand | GDP (YoY) | Q4-2017 | - | 10:30 | - | 4.30% | 4.10% | 4.30% |
| Thailand | Imports (customs) (YoY) | Jan-18 | - | - | - | 16.60% | 24.00% | 14.10% |
| Thailand | Trade Balance | Jan-18 | - | - | - | USD-0.3bn | USD-0.3bn | USD0.6bn |
| South Africa | CPI (YoY) | Jan-18 | 8:00 | 3:00 | - | 4.70% | 4.50% | 4.50% |
| South Africa | CPI (MoM) | Jan-18 | 8:00 | 3:00 | - | 0.50% | 0.40% | 0.40% |
| Hong Kong | CPI (YoY) | Jan-18 | - | 16:30 | - | 1.70% | 2.60% | - |
| Hong Kong | Unemployment Rate | Jan-18 | - | 16:30 | - | 2.90% | 2.90% | - |
| Israel | Services exports (YoY, sa) | Dec-17 | 11:00 | 6:00 | - | 12.80% | - | - |
| Mexico | Bi-weekly core CPI (MoM) | Feb-18 | 14:00 | 9:00 | - | - | - | - |
| Mexico | Mexico Bi-weekly CPI (MoM) | Feb-18 | 14:00 | 9:00 | - | 0.20% | - | - |
| Poland | M3 (and money supply) (YoY) | Jan-18 | 13:00 | 8:00 | - | 4.60% | 4.80% | - |
| Poland | Minutes of MPC meeting | - | 13:00 | 8:00 | - | - | - | - |
Summary of Key Information
- FX Performance: Highlights the best and worst performing currencies in the FX market, with specific focus on EMEA and LATAM.
- Rates Performance: Outlines the best and worst performing interest rates, emphasizing the use of different trade types like IRS and FRA.
- Credit Trades: Lists credit-related trades, including long and short positions in various EM countries.
- Economic Releases: Includes key economic indicators such as CPI, GDP, and industrial production for several countries.
- Bond Auctions: Provides details on upcoming bond auctions, including submission deadlines, coupon rates, maturity dates, and bid-cover ratios.
- Inflation Outlook: South Africa and Thailand are expected to see a slowdown in inflation due to base effects and currency strength.
- Market Expectations: The document emphasizes the importance of tracking economic data and market movements for strategic decision-making.
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