20140502-法国巴黎银行-EM_Strategy_Plus_14页_1mb

报告摘要

EM Strategy Plus Summary - 2 May 2014

Core Content Overview

This report outlines the key views and asset allocation recommendations for emerging market (EM) strategies, focusing on interest rates, FX, and credit. It provides insights into market dynamics and trade recommendations for various countries and instruments.

Key Views and Asset Allocation

South Korea

The Bank of Korea (BoK) is willing to allow KRW appreciation but may not tolerate large rallies.
The central bank could revert to FX intervention or impose capital controls.
Recommendation: Receive 1y1y KRW NDIRS at 2.90%, targeting 2.65% with a stop-loss above 3.00%.
Carry is positive at 1.7bp per month.
The KRW has appreciated 3.7% against USD in the past month.
Real rates in KRW are the highest in the region.

USDCNH

Onshore spot is approaching the +2% limit of the trading band.
PBoC is expected to supply liquidity at this level, but a temporary holdback could lead to dislocation in CNH.
Recommendation: Sell front-dated NDFs and sell deep OTM USDCNH calls.
Avoid CNHNDF basis trades or naked cash positions due to high risk.
The 3m CNH-NDF spread is considered rich, and we suggest selling a 1y 6.90 strike USDCNH call to collect premia.

Chinese Rates

The 5y NDIRS is nearing the 4% target, and we are taking profit on this trade.
Recommendation: 1y5y curve flatteners at 34bp, targeting 12bp with a stop at 52bp.
The swap curve is closely correlated with the CGB curve, which has flattened.
The Chinese government is focused on stabilizing growth and reducing term funding costs.

Regional Recommendations

Brazil

Structurally bearish on the BRL but more positive in the short term.
Avoid the back end of the curve; trade the flatness of the belly.
Expect a steepening of the local USD curve.
Maintain a long USD position, but avoid overexposure.

Indonesia

Maintain a modest overweight allocation.
Expect range-bound markets in both bonds and FX.
Long THB versus short MYR.

Malaysia

Bearish on MYR.
Net FX reserves have fallen by USD 6bn due to capital outflows.
Recommend underweight duration in local rates and neutral stance on external debt.

Mexico

Neutral with regard to the US interest rate outlook.
The MXN is close to its fair price at 13.00.
Tactically maintain exposure to Mexico.

Poland

Recommend buying 5y maturing POLGBs (Jul18) at 3.45%, targeting 3.00% with a stop-loss at 3.70%.
Overweight local debt and recommend receiving the belly in local rates.

Hungary

Recommend buying 5y maturing HGBs (19A, FX hedged) at 4.50%, targeting 4.00% with a stop-loss at 4.75%.
Overweight local debt and recommend receiving the belly in local rates.

Thailand

Maintain an overweight allocation.
Recommend front-end steepeners (1y3y) and back-end flatteners (2y10y) in local rates.
Current account surplus supports the THB.

Turkey

Negative at current levels due to falling front-end rates and rising inflation.
Recommend buying TURKEY 41 and selling 3.2xTURKEY 04/18.
Position for curve flattening (1y5y x-ccy).

Russia

Recommend selling RUSSIA 43 and buying 1.8xRUSSIA 23.
Buy 5y Russian CDS with a tightened stop-loss.

New Recommendations

Trade	PV01/Notional	Entry Level	Target	Stop	Carry
Receive 1y1y KRW NDIRS	10K PV01	2.90%	2.65%	>3.00%	1.7bp
1y5y CNY NDIRS flattener	25K PV01	34bp	12bp	52bp	Flat
Buy POLGB Jul18	10k DV01	3.45%	3.00%	3.70%	-
Buy HGB 19A	10k DV01	4.50%	4.00%	4.75%	-

Market Outlook

April was a consolidation period for EM assets.
Individual performances varied, with KRW, BRL, and ZAR extending gains.
ETF inflows remained positive, but skewed towards hard-currency bonds.
The GBI EM global diversified index returned 0.2% for the month.
The US interest rate outlook is moribund, so EM trades remain largely about carry.

Upcoming Events

Local MPC meetings in South Korea, Philippines, Indonesia, and Malaysia next week.
CPI release in Turkey on Monday will be closely watched.
The BoK and PBoC will be key players in shaping market sentiment.

Risk Factors

Sell-off in US rates (especially if rate hike expectations are front-loaded).
BoK reacting to currency strength by imposing capital controls or adopting a more hawkish stance.
Dislocation in CNH market if PBoC does not supply unlimited liquidity at the top of the band.
Market liquidation turning disorderly could trigger wild moves in the CNH spot.

Conclusion

The report emphasizes a cautious approach to EM strategies, with a focus on curve flatteners, FX hedges, and strategic positions in local debt instruments. It highlights the importance of monitoring central bank actions and market liquidity dynamics, particularly in the context of potential rate changes and FX volatility. Overall, the risk-reward no longer favours a long USD view, and the emphasis is on tactical trading and managing exposure in a volatile environment.

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