巴黎银行-新兴市场-外汇策略-南非：美元兑南非兰特看涨期权价差-20180813-9页_520kb

EM Strategy Desknote Summary

Core Content

This document outlines the strategy and outlook for the South African rand (ZAR) against the US dollar (USDZAR) from BNP Paribas. The focus is on the performance of a long 3-month USDZAR call spread with strike prices of 14.40 and 15.10, which has reached its price target of 15.10, resulting in a maximum payout of 3.5% (with a cost of 1.06%). The analysis includes both short-term and medium-term expectations for USDZAR, along with relevant economic and market context.

Main Views

Short-Term Outlook

• Price Target Achieved: The USDZAR price target of 15.10 was reached overnight, with the currency briefly topping 15.5 due to contagion effects from the Turkish lira's weakness.
• Volatility Expected: USDZAR is expected to remain volatile in the short term due to ongoing global geo-political trade tensions.
• Contagion Risk: South Africa is more vulnerable to external shocks, particularly from escalating tensions between the US, high-beta CEEMEA countries, and China. These risks are likely to stay elevated as the US mid-term elections approach on 6 November.
• Forced Selling Risk: Negative realised forward returns (now close to -20%) on a 3m and 6m basis pose the threat of forced selling, as stop-losses are triggered and losses are taken on previously profitable trades.

Medium-Term Outlook

• Fair Value Alignment: Over the medium term, USDZAR levels are expected to align with the BNP Paribas CLEER™ fair-value projections.
• Fair Value Estimate: CLEER™ model estimates the ZAR fair value at 14.4 by the end of 2018.
• Supporting Factors: Potential improvements in Q2 2018 growth (due on 4 September) and balance of payments data (due on 13 September) may support the ZAR.
• Domestic Factors: Stronger domestic economic data and clearer policy signals on land and mining are needed to drive more positive ZAR performance.
• CPI Impact: Higher CPI from sustained ZAR weakness could pose upside risk to the USDZAR fair value path.

Key Information

• Strategy Execution: The long 3m USDZAR call spread with strikes 14.40/15.10 has been exited with a maximum payout of 3.5%.
• Charts Mentioned:
  • Chart 1: Highlights negative realised ZAR returns, indicating potential balance-sheet constraints and forced selling.
  • Chart 2: Illustrates the expected alignment of USDZAR with CLEER™ fair value over the medium term.
• Disclaimer and Legal Information:
  • The document is a marketing communication and not independent research.
  • It is not intended to be used as investment advice and may not be suitable for all investors.
  • It may contain simulated performance data and is not a prospectus or public offering.
  • BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
  • The document is subject to legal disclosures in various jurisdictions, including the US, UK, France, Germany, Belgium, Ireland, Italy, Netherlands, Portugal, and Spain.

Important Disclosures

• Non-Independent Research: This document is non-independent research and may be subject to conflicts of interest.
• No Investment Advice: It does not offer investment, financial, legal, or tax advice.
• Simulated Performance: Performance data may be based on back-testing and is for illustrative purposes only.
• Market Risk: Transactions involving the discussed products may involve high risk and significant volatility.
• Legal Jurisdiction: The document is intended for professional clients and relevant persons, and may not be distributed to non-qualified individuals.
• Confidentiality: The information is provided on a confidential basis and must not be copied or distributed without prior consent.

Conclusion

The document reflects a strategic decision to take profit on a USDZAR call spread and provides a balanced view of both the current market conditions and medium-term expectations. It underscores the importance of domestic economic improvements and policy clarity in supporting the ZAR, while also highlighting the risks of external volatility and contagion. The legal and disclosure sections emphasize the non-advisory nature of the document and the potential for conflicts of interest.