巴黎银行-新兴市场-外汇策略-南非兰特：战线拉长-20190705-6页_645kb

South Africa ZAR: Tactically Long Again Summary

Core Content

This document outlines the strategic approach of BNP Paribas (BNPP) regarding the South African Rand (ZAR) and its exchange rate against the US Dollar (USD), specifically focusing on the USDZAR pair. The strategy is based on the EM-BEER (Emerging Markets - Bloomberg Exchange Rate Expectation) model, which is used to assess the fair value of the ZAR relative to the USD. The document highlights that the current USDZAR rate is approximately 5% above its theoretical short-term fair value, which is estimated at 13.50.

Main Views

• FX Strategy Approach: BNPP's FX strategy is centered around arbitraging any divergence between its fair-value models and market prices, without being tied to the direction of the market.
• Tactical Trade Execution: The firm has entered into tactical short positions in EURZAR, specifically on 18 September 2019, with an entry price of 16.2224 (spot reference: 15.9924). The trade was allocated EUR8 million, with an initial target of 4% (including carry) and a stop loss at 3% (including carry). The carry is estimated at +0.58% per month.
• Low Allocation Reasoning: The relatively low allocation is attributed to the stretched levels of the global risk premium model.
• Active Strategy for 2019: These tactical trades are part of a more active and higher frequency strategy implemented in 2019.
• Performance Highlights: The table below provides a summary of past trades and their performance:

Key Information

• The EM-BEER model is used to determine the fair value of USDZAR and to identify potential arbitrage opportunities.
• The current USDZAR rate is seen as overvalued compared to the model's fair value.
• The firm has a history of executing tactical trades in USDZAR, with varying maturities and outcomes.
• The document serves as a marketing communication and is not independent research.
• It is intended for Relevant Persons, including Professional Clients and Eligible Counterparties, as defined by MiFID II.
• The document includes important disclosures regarding potential conflicts of interest, the nature of the information provided, and the risks associated with the financial instruments discussed.
• It also includes regulatory disclaimers and jurisdiction-specific disclosures, including those for the United States, Canada, and UK.

Risk and Disclaimer Highlights

• The information is not investment advice and should not be relied upon as such.
• The document includes hypothetical and back-tested performance data, which may not reflect actual market conditions.
• No guarantees are made regarding the accuracy or completeness of the information.
• No liability is accepted for any losses arising from reliance on the document.
• Options, ETFs, and other financial instruments discussed carry significant risks and are not suitable for all investors.
• The firm may have conflicts of interest and may engage in transactions that are inconsistent with the views expressed in the document.
• Securities may not be eligible for sale in all jurisdictions or to certain investors.
• Confidentiality and restrictions apply to the distribution and use of the document, particularly in Canada and the U.S.

Conclusion

BNPP's analysis of the USDZAR exchange rate suggests a tactical long position in ZAR, based on the EM-BEER model indicating a 5% overvaluation. The firm's strategy involves arbitraging this divergence through short and long positions in various forward contracts. These tactical trades are part of an active approach for 2019, with a focus on capturing short-term opportunities while being mindful of the broader market dynamics and potential risks. The document is intended for professional investors and includes extensive legal and regulatory disclaimers.