20171027-法国巴黎银行-GLOBAL_WEEKLY_EM_STRATEGY_PLUS_34页_3mb

报告摘要

EM Strategy Weekly Summary - 27 October 2017

Core Content Overview

This document provides a comprehensive analysis of Emerging Markets (EM) strategy from BNP Paribas and Turk Ekonomi Bank A.S. across Asia, CEEMEA, and Latin America (Latam). It discusses market positioning, interest rate outlooks, FX dynamics, and upcoming events that could influence EM currencies.

Main Themes and Analysis

Asia FX Positioning

DTCC Data Insights: NDF transaction data from DTCC now covers a representative sample of Asian NDF trading. The data is used to derive a positioning index, which combines technical indicators like the VWAP gap and Volume-Price Trend (VPT) to assess market sentiment.
Methodology:
- VWAP Gap: Measures the deviation between the volume-weighted average price and the live spot value.
- VPT: Captures the cumulative volume-weighted price change over a rolling window.
- These indicators help identify over-optimism or over-pessimism in market positioning, with extreme readings marked by a z-score threshold of +/-2.
Charts: Visual comparisons of spot rates against the DTCC positioning index for USDINR, USDCNY, USDIDR, USDKRW, USDPHP, and USDTWD are included, highlighting trends and potential reversals.

China: Stay Paid

Interest Rates: CNY rates continue to drift higher, aligning with expectations. The team remains bearish and recommends paying 5Y CNY NDIRS with a target of 4.15%.
Investor Activity: Overseas investors increased their holdings of bonds, especially NCDs, in Q3 2017.
Liquidity: The PBoC is unlikely to allow liquidity to tighten too sharply. Recent actions suggest they are managing liquidity rather than signaling a policy shift.
FX Market: The RMB is moving closer to a clean floating regime, with the PBoC reducing day-to-day interventions.

CEEMEA: Liquidity Squeeze, Not a Funding Crisis

USD Liquidity Impact: The weak USD that supported EM risk rallies is reversing. USD is becoming more expensive as a funding currency, which puts pressure on EM FX.
Funding Position: The external funding position of major EM countries has improved since 2014, with most now net creditors.
Turkey Exception: Turkey remains the most exposed to USD liquidity changes due to high external financing needs and rising domestic inflation.
CNB Policy Outlook: The Czech National Bank (CNB) is expected to hike rates by 25bp in November, with further hikes anticipated by year-end. The team was stopped out of a 2y2y CZK vs EUR position and will reassess after the inflation report.

Latam Strategy

Brazil: The long BRL trade has reduced, while equity investments have increased. The team expects the terminal Selic rate to reach 6.5% by next year and recommends remaining long the Real in relative value.
Mexico: Banxico announced USD 4bn in FX hedge auctions, indicating a defensive stance. The team recommends a USDBRL one-touch option at 3.10 for January 2018 and closed a short USDBRL position after it hit the stop loss.

Key Recommendations

New Recommendations:
- Long USDBRL OT 3.10 / Mat: 26-Jan-18: USD 1.5mn notional, PV01 28.00%
Trade Review:
- Receive EUR/CZK 2y2y FWD: Stopped out with a -18bp P/L
- Pay 1y2y TRY xccy steepener: -13bp carry per 3m
- Pay SY CNY NDIRS: 3.80% entry, 4.15% target
- Receive 18m TIE: -25bp P/L
- Receive Brazil DI Jan-23 spread over US swap: 766 entry, 730 current
- Long USDBRL OT 2.90 / Mat: 15-Dec-17: -20.00% P/L
- Long USDBRL CS k=3.175-3.35 / Mat: 29-Dec-17: 1.79% P/L
- Buy USDSGD: 10mn notional, 1.357 entry, 1.368 current
- Sell 3m EURINR: 78.54 entry, 76.3 current
- Sell 3m USDCNY NDF: 6.9586 entry, 6.633 current
- Sell 3m ZAR vs TRY: 3.70 entry, 3.72 current, P/L 0.65%
- Short USDCOP via 3m NDF: 2,971 entry, 3,035 current, -2.12% P/L
- Long BRL against basket (CLP, EUR, AUD): 192.74 entry, 191.97 current, -8.21% P/L

Upcoming Events

Asia

Trump's Asia Trip: Expected to focus on trade and geopolitical issues, with China-US relations under scrutiny.
PMI Data: South Korea, Thailand, and Indonesia will release CPI data, with South Korea also releasing a business confidence survey.
Bank of Korea (BoK): Likely to hike rates in November, influenced by next week's data.

CEEMEA

Czech Republic: CNB policy meeting on 2 November, expected to hike rates by 25bp.
Poland: October CPI data on 1 November, expected at 2.0% y/y.
Turkey: CBRT will release its quarterly inflation report on 1 November, with inflation forecasts likely to be revised upwards.

Latam

Brazil: Monetary policy meeting minutes on 31 October, expected to show the BCB's stance.
Mexico: Q3 GDP on 31 October, with focus on FX hedging announcements.

Risk Model and Market Outlook

The risk model is back to neutrality, but caution remains due to the possibility of further correction.
The team sees the current overreaction in Latam as an opportunity, recommending a shift from outright strategies to one-touch options.