20171106-法国巴黎银行-GLOBAL_WEEKLY__EM_STRATEGY_PLUS_22页_2mb
报告摘要
EM Strategy Summary - 6 October 2017
Core Content
This document outlines the Emerging Markets (EM) strategy for the week of 6 October 2017, focusing on key economic and financial developments across various regions, including Asia, CEEMEA, and Latin America (Latam). It also highlights the upcoming IMF/World Bank annual meetings in Washington DC and the strategic recommendations from BNP Paribas and its partners.
Main Themes and Recommendations
IMF/World Bank Annual Meetings
- The meetings will bring together officials from G10 and EM countries.
- Key topics include the vulnerabilities of developing countries with high sovereign and corporate debt, the US Federal Reserve's balance sheet reduction, and the impact of fintech on global markets.
- BNP Paribas will host an Investor Roundtable on 13 and 14 October.
EM Strategy Team Insights
- Asia: No changes to trade recommendations. Key data releases include Singapore's policy meeting, Taiwan's September trade figures, and India's CPI on 12 October.
- CEEMEA: Focus on CPI inflation releases across the region. The Czech Republic and Hungary are expected to report slight increases in inflation, while Poland's final inflation rate is expected to remain at 2.2%. Egypt's CPI data is also anticipated.
- Latam: In Mexico, inflation is expected to fall, leading to a potential rate cut. In Brazil, the DI model suggests a risk premium embedded in the long end of the curve.
Key Recommendations
| Trade | PV01/Notional | Entry Level | Target | Stop | P/L | P/L kUSD |
|---|---|---|---|---|---|---|
| Receive DI Jan-23 (spread over US swaps) | USD 8k | 776 | 730 | 800 | -3 bp | -54 |
| Receive 18m TIIE in Mexico | USD 15k | 7.25% | 6.50% | 7.80% | -3 bp | -48 |
| Receive 2y2y fwd ZAR | USD 10k | 7.38% | 6.80% | 7.60% | -10bp | -100 |
| Receive Brazil DI Jan-20/21 FRA | USD 50k | 10.60% | 9.75% | 11.45% | -4 bp | -90 |
| Pay 1y2y TRY xccy steeperer | USD 10k | -44bp | 0bp | -60bp | -15bp | -150 |
| Sell 3m EURINR | USD 10mn | 78.54 | 76 | 79.6 | 1.21% | 121 |
| Sell 3m USDCNY NDF | USD 20mn | 6.9586 | 6.2 | 6.8 | 4.33% | 866 |
| Sell 3m ZAR vs. TRY | USD 15mn | 3.70 | 3.88 | 3.55 | 2.74% | 411 |
| Short USDCOP | USD 8mn | 2,971 | 2,820 | 3,080 | 0.57% | 46 |
| Short USDBRL | USD 10mn | 3.17 | 3.00 | 3.29 | -0.42% | -42 |
| Long USDARS | USD 10mn | 18.159 | -3.5% | 7.0% | 2.11% | 211 |
| Buy 3m USDINR ATMF put | USD 10m | 1.05% | 0.23% | 5% | -0.82% | -82 |
| Buy 1m USD/TRY ATMF put | USD 10mn | 1.27% | 0.54% | - | -0.73% | -73 |
| Buy 1y EURTRY ATM put | EUR 10m | 5.30% | 4.53% | - | -0.77% | -77 |
| Buy 1y USDHKD call spread | USD 100mn | 0.54% | 1.05% | - | 0.51% | 507 |
| Long USDMXN OT 20.0 | USD 2mn | 15.00% | 7.91% | - | -7.09% | -142 |
| Buy Turkey '45s (spread over swaps) | USD 5mn | 344 bp | 331 bp | 370 bp | 13 bp | 85 |
| Long Bocan (Badlar linked) March 2018 | USD 5mn | 102.00 | - | - | 0.35% | 17 |
Key Information from the Reports
Brazil: DI Model Triggering a Receiving Position Again
- The DI Jan-23 rate embeds ~80 bp of risk premium.
- Strategy: Receive DI Jan-23 at 766 bp, with a target of 730 bp and a stop loss at 800 bp.
- Allocation: USD 8k DV01.
- Risk: Political backdrop deterioration.
- Hedge: USDBRL call spread (3.17-3.35 maturing in December 2017).
Argentina: USD Debt Fever
- Hard currency debt now accounts for 68% of total debt.
- External debt continues to rise, negatively impacting reserve adequacy.
- USD deposits increased by 3.3% m/m, outpacing ARS deposits.
- Total deposits reached ARS 513.5bn, with USD deposits at USD 29.6bn.
- Average cost of debt for the central administration rose to 9.8%, due to a combination of factors including USD debt service and the sterilization of BCRA loans.
Mexico: Take Profit on 1s3s TIE Steepener
- The TIIE curve is pricing in 50 bp of rate cuts by June 2019.
- Strategy: Take profit on the 1s3s TIIE steepener and recommend receiving 18m TIIE.
- Market expectations are lower than the team's forecast, suggesting a potential rate cut as inflation declines.
Additional Insights
- The document includes detailed market data, including interest rates, FX positions, and options trading.
- It also highlights the importance of monitoring inflation, debt levels, and FX market movements.
- The team has taken a more tactical approach, using models to inform their strategy in Brazil and Argentina.
- The focus on reserve adequacy and the impact of external debt is a recurring theme in the CEEMEA and Latam sections.
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