20140605-巴黎银行证券-EM_Strategy_Plus_16页_960kb
报告摘要
EM Strategy Plus Summary
Core Content
This document outlines the current Emerging Markets (EM) strategy and trade reviews for various countries, including Asia, CEEMEA, and Latin America (Latam). It highlights the market dynamics, asset allocations, and specific recommendations for currencies and bonds, with a focus on the risk-reward analysis and technical indicators.
Key Views and Asset Allocations
EM: Shakeout or another tantrum?
- High-beta currencies are under pressure, similar to last year's 'taper tantrum'.
- The driver is profit-taking after a strong performance.
- BRL, IDR, and INR are near critical psychological levels.
- Recommendation: A selective buying opportunity if core rates remain well behaved.
CNY NDIRS: Is it time for a cheeky pay?
- Growth in China is showing stabilisation signs.
- Rates have rallied significantly, but the move is not yet at extremes.
- Recommendation: Tactically pay the 1y NDIRS at $3.1%.
Mexico: Buy 2Y BEI
- El Niño probability is at 70%, which could lead to inflation surprises.
- Data mining on BEI dynamics reveals seasonality, with a peak in January and a bottom in May.
- Recommendation: Buy 2y BEI via long June 2016 UDlbonos versus paying 2y TIIE.
Trade Review
Active Positions
| Trade Description | PV01 / Notional | Entry Date | Entry Level | Current Level | Target Level | Stop Loss | P/L | P/L in USD |
|---|---|---|---|---|---|---|---|---|
| Pay DI Jan-21 | 10k USD | 2-Jun-14 | 12.03% | 12.35% | 12.35% | 11.80% | +32 bp | 320 |
| Pay 5y CLPxCAM | 5k USD | 2-Jun-14 | 4.24% | 4.25% | 4.58% | 4.00% | +1 bp | 5 |
| TRY 1s5s x-ccy steepener | 10k USD | 16-May-14 | 12 | 49 | 49 | -10 | +37 bp | 370 |
| Receive 18m IBR Swap | 5k USD | 29-May-14 | 4.65% | 4.72% | 4.37% | 4.85% | -7 bp | -35 |
| Buy ROMGB 07/17 | 10k USD | 21-Mar-14 | 4.37% | 3.60% | 3.50% | 4.00% | +77 bp | 770 |
| Buy POLGB 07/18 | 10k USD | 28-Apr-14 | 3.45% | 3.05% | 2.80% | 3.45% | +40 bp | 400 |
| Buy HGB 19/A | 10k USD | 28-Apr-14 | 4.50% | 3.65% | 3.70% | 4.30% | +85 bp | 850 |
| Steepener BRL DI Jan-16/Jan-17 | 10k USD | 8-Apr-14 | 29 | 35 | 50 | 15 | +8 bp | 80 |
| Receive 1y1y KRW NDIRS | 10k USD | 30-Apr-14 | 2.90% | 2.83% | 2.65% | 3.00% | +8 bp | 75 |
| Pay 5y5y HKD vs USD | 10k USD | 7-Feb-14 | 27 | 33.0 | 70 | 7 | +6.0 bp | 60 |
| Buy 3m USDTRY RKO 2.10/2.20 | 10k USD | 9-May-14 | 42bp | 67bp | - | - | 0.25 | 250 |
| Buy 3m USDTRY RKO 2.20/2.35 | 10k USD | 4-Jun-14 | - | - | - | - | - | - |
| Buy 2m USDZAR 10.65/11 call spread | 10k USD | 30-May-14 | 78bp | - | - | - | - | - |
| Sell 30-April 2015 USD/CNH call with strike 6.90 | 10k USD | 2-May-14 | 60bp | - | - | - | - | - |
| Buy 6m USDBRL 2.65 European digital call | 1m USD | 7-Feb-14 | 27% | - | - | - | - | - |
Key Recommendations
- Sell USD vs INR and IDR at front-end NDFs (1m NDF at 59.50 and 11920).
- Buy 3m USDTRY RKO 2.20/2.35.
- Buy 5y Indon CDS at 146bp, targeting 180bp.
- Buy 2y BEI via long June 2016 UDlbonos vs paying 2y TIIE.
- Buy 3m MYRTWD.
- Buy USDHUF and PLNHUF.
- Sell USDCLP and NZDCLP.
- Buy USDZAR call spread.
CEEMEA FI and FX
- Poland: Bullish, recommend long PLNHUF, buy POLGB Jul/18, target 2.8%.
- Hungary: Bearish, recommend long 2m EURHUF call spreads and long USDHUF spot.
- Turkey: Recommend buy USDTRY RKO 2.20/2.35, own USDTRY RKO.
- South Africa: Recommend buy 3m USDZAR RKO.
- Overall: Bull flattening in Poland and Hungary, most exposed are Turkey and South Africa.
Asia
- KRW, PHP, and INR are considered good currencies.
- MYR and THB are more flaky.
- RMB is caught in cross-currents, with carry trade and policy easing supporting it.
- Recommendation: Buy RMB with funding split between USD and EUR.
Latam
- Brazil: Recommend paying DI Jan-21 after a strong performance, targeting 3.1%.
- Chile: Recommend buying 5y swap CLPxCAM.
- Mexico: Recommend buying 2y BEI due to El Niño and inflation risk.
- Mexico's BEI dynamics show seasonality, with a peak in January and bottom in May.
Key Views
- EM rally is running on fumes, with profit-taking leading to correction.
- Core rates are well behaved, so buying opportunity is possible.
- CEEMEA is receiving due to low inflation and CPI breakevens.
- Asia is a mixed bag, with KRW, PHP, and INR being stars.
- RMB is still worth owning, but funding should be split.
Conclusion
- The EM strategy is tactical, with a focus on currencies and bonds.
- Profit-taking is the main driver of the correction.
- Buying opportunities are present in BRL, IDR, and INR if core rates remain well behaved.
- Mexico's BEI is seasonal, and buying 2y BEI is recommended.
- CEEMEA is bullish in Poland and Hungary.
- Asia is mixed, with KRW, PHP, and INR being strong performers.
- Latam is neutral, with Mexico being positive in the long term.
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