20140801-巴黎银行证券-EM_Strategy_Plus_14页_839kb_839kb

EM Strategy Plus Summary

Core Content Overview

This document provides an analysis of emerging market (EM) strategies, focusing on FX, interest rates, and credit positions across Asia, CEEMEA, and Latin America (Latam). It includes trade recommendations, market views, and asset allocation insights based on current economic conditions and technical analysis.

Key Views and Asset Allocation

Asia FX: Return of Turbulence

• A pullback in Asian currencies is ongoing, with potential for further normalization.
• Recommendations:
  • Short USD/CNH: Stay short on the 3m forward, initiated at 6.27, targeting 6.20.
  • Long USD/KRW: Buy USD/KRW 1m NDF at 1030, targeting 1045 with a stop at 1020.
  • Buy USD/MyR on dips: Consider buying USD/MyR if it dips below 3.20.
  • Look to buy SGD NEER: If SGD NEER falls 0.5% below the mid-point, consider entering a long SGD trade.

Korea: USD/KRW

• Recommendation: Long USD/KRW 1m NDF at 1030, targeting 1045 with a stop at 1020.
• Reasoning: The KRW is expected to weaken in August due to seasonal factors and the BoK's stance on monetary policy.

CNY: 1y repo-NDIRS entering pay zone

• Recommendation: Pay 1y repo-NDIRS at 3.7%, targeting 4.15% with a stop at 3.5%.
• Reasoning: Despite a lower 14d repo rate, the market is entering the pay zone due to growth expectations and potential deposit rate reform.

Mexico: Short EURMXN

• Recommendation: Short EURMXN at 17.72, targeting 17.30 with a stop at 18.02.
• Carry: +2.7% per annum.
• Size: USD 5m.
• Reasoning: The recent move in EURMXN seems overreacted, with fair value at 13.02. The market is at 13.22, and the front-end of US rates is at three-year highs, which supports a bullish stance on MXN.

New Recommendations

Key Views and Asset Allocation Summary

FX

• Malaysia: Bearish, USD/MYR is in a downtrend, with a potential correction to 3.25.
• Indonesia: Neutral, with a trading range of 11500-11800. Overweight on IDR bonds.
• Thailand: Bullish, as THB has lagged regional peers and is benefiting from bond inflow rotation.
• Poland: Took profit on 5y and 10y POLGBs. Recommend receiving 2y2y forward.
• Hungary: Recommend FRA steepeners (9x12 vs 21x24).
• Turkey: Enter a 1y5y flattener at -35bp, targeting 0bp with a stop at 50bp.
• South Africa: Long USDZAR 3m call spread.
• Brazil: Recommend steepening positions, with a focus on 1s5s CLPxCAM.
• Mexico: Recommend short EURMXN due to overreaction, but long-term positive outlook.

Local Debt

• Indonesia: Overweight on IDR bonds due to fiscal reform, benign inflation, and favorable supply dynamics.
• Poland: Took profit on 5y and 10y POLGBs.
• Turkey: Overweight 5y local debt.
• Russia: Expect USDRUB to rise in the medium term; CBR will limit short-term volatility.
• Brazil: Long BEI (breakeven inflation) due to repressed administered prices.
• Mexico: Long UDIIs and TIIE 2y due to inflation risks.

Local Rates

• Poland: Recommend receiving 2y2y forward.
• Hungary: Steepening 9x12 vs 21x24 FRA.
• Turkey: Flattening of 1s5s x-ccy.
• Russia: Flatter x-ccy curve due to US sanctions and RUB weakness.
• Brazil: Steepening of the long-end of the curve.

External Debt

• South Africa: Overweight.
• Russia: Neutral.
• Brazil: Neutral at current prices.

Trade Review

Summary of Key Market Insights

• Asia: Risk sentiment is pulling back, with potential for further corrections. USD/KRW and USD/MyR are highlighted as bearish and neutral, respectively. The SGD NEER is seen as a potential entry point for a long trade.
• CEEMEA: Market stress is due to rising US rates and European sanctions. Short-term corrections are expected, and the focus is on taking profits and managing risk exposure.
• Latam: Mexico is seen as a positive long-term bet, but short-term overreaction suggests a short EURMXN position. Argentina's default and geopolitical risks are a concern, but the strategy remains long discount bonds.
• CNY: The 1y repo-NDIRS is entering the pay zone, with a recommendation to pay at 3.7% and target 4.15%.
• Overall: The market is expected to remain range-bound with some potential for corrections, and the strategy emphasizes a balanced approach across FX, interest rates, and credit instruments.