20170714-法国巴黎银行-EM_STRATEGY_PLUS_26页_3mb

报告摘要

EM Strategy Summary - 14 July 2017

Core Content

This document outlines the Global Weekly EM Strategy Plus report by BNP Paribas, summarizing the current and projected trends in emerging markets (EM) inflation, interest rates, and investment opportunities. It also includes trade reviews and outlooks for the upcoming week.

Main Views

1. Inflation and Monetary Policy Outlook

Inflation in EM has eased in recent months due to lower energy prices and stronger currencies against the USD.
The benign inflation picture is expected to continue despite solid economic growth and signs of overheating in some countries.
Central banks in EM are likely to keep policy rates low for longer, with rate cuts anticipated in Brazil, India, Russia, and South Africa.
Mexico and Turkey may delay rate cuts due to recent inflation peaks above target, as they are still in a tightening phase.

2. Investment Opportunities

Brazil: The short end of the DI curve is pricing in a potential 100bp rate cut by the BCB in July. Investors are recommended to receive rates in DI Jan19.
Mexico: The strategy has been adjusted to an outright 10y TIIE receiver, with a 5y TIIE against 5y Colombia IBR.
South Africa and Turkey: A long TRY and short ZAR position is recommended due to differences in monetary policy and positive carry differentials.
China: Investors are advised to consider liquid onshore credit bonds with offshore hard currency issuance and international ratings, despite challenges in trading distressed bonds.

Key Themes

1. China: Credit Events on the Rise

Credit events and defaults are expected to increase in H2 2017, particularly in private issuers with cross-guarantees and overcapacity sectors such as coal, steel, and cement.
It is difficult to trade distressed bonds in China due to limited market-making and secondary trading.
Bond Connect provides foreign investors with access to the onshore bond market, and the recent stabilization of the currency and higher yields are encouraging.
Liquidity in credit names is available for investors who can access offshore hard currency bonds.

2. Turkey: Budget and Financing Outlook

Revised 2017 financing forecasts show increased issuance pressure in local debt, but eurobond issuance is expected to ease in the second half of the year.
The central bank is expected to increase borrowing needs in coming months, which could affect local bond markets.

3. Argentina Peso: Fair Value Analysis

Theoretical fair value of the USDARS is calculated at 16.80, with the current spot market price matching this value, suggesting a new equilibrium is reached.

Trade Review

Interest Rates

Receive 10y TIIE: USD 15k notional, entry level 7.15%, target 6.50%, stop 7.55%, P/L +2 bp, P/L kUSD 23.
Receive Brazil Di Jan19: USD 40k notional, entry level 9.36%, target 8.65%, P/L +71 bp, P/L kUSD 2588.
Flattening Brazil DI Jan20sJan21s: USD 20k notional, P/L -7 bp, P/L kUSD -73.
Pay Colombia IBR 5y: USD 8k notional, entry level 5.20%, P/L +2 bp, P/L kUSD 20.

FX

Sell 3m SGD vs KRW: SGD 10mn notional, entry level 838.00, P/L 1.43%, P/L kUSD 143.
Sell 3m USDCNY NDF: USD 20mn notional, entry level 6.925, P/L 1.72%, P/L kUSD 345.
Short USDARS via 3m NDF: USD 10mn notional, entry level 17.8024, P/L 0.32%, P/L kUSD 32.

Options

Buy 1m USDZAR call spread: USD 20m notional, P/L -0.44%, P/L kUSD -88.
Buy 1y EURTRY ATM put: USD 10m notional, P/L 1.42%, P/L kUSD 142.
Buy USDINR 3m 66.10 put: USD 10m notional, zero cost, P/L 0.18%, P/L kUSD 18.
Buy 2m EURPLN call spread: USD 20mn notional, P/L -0.34%, P/L kUSD -68.
Buy 1y USDHKD call spread: USD 100mn notional, P/L 0.46%, P/L kUSD 460.
Long USDBRL CS k=3.50-3.80: USD 30mn notional, P/L -0.42%, P/L kUSD -126.

Credit

Buy Turkey 5y CDS: USD 5.58mn notional, P/L -75 bp, P/L kUSD -17.
Buy Argentina 5Y CDS vs Sell 5Y EM CDX: USD 10k notional, P/L +14 bp, P/L kUSD 117.
Buy South Africa 5y CDS: USD 10mn notional, P/L +5 bp, P/L kUSD 11, closed on 13-Jul-17.
Buy Saudi Arabia 5y CDS: USD 5mn notional, P/L -11 bp, P/L kUSD -29.
Switch from Poland 24s to Hungary 24s: USD 10x9.6mn notional, P/L +4 bp, P/L kUSD 30.

Total P/L Summary

Total P/L: 6422 kUSD
Rates: 3575 kUSD
FX: 2363 kUSD
Options: 371 kUSD
Credit: 112 kUSD

Upcoming Events

Asia

14-15 July: National Financial Work Conference in China (likely to discuss new regulatory structure).
19 July: US-China economic dialogue in Washington.
20 July: BI central bank meeting (rates expected to stay on hold).
17 July: Release of non-oil domestic export data (Singapore), trade data (Indonesia), industrial production and GDP data (China), and overseas remittance data (Philippines).

CEEMEA

17 July: Inflation data for South Africa (expected to fall to 5.0%), possible more dovish message from SARB.
17 July: Polish industrial output and retail sales data expected to slow.
20 July: NBH policy meeting (rates expected to stay unchanged).

Latam

27 July: BCB COPOM meeting (likely to cut rates by 100bp).
17 July: Mid-month inflation data for Brazil (expected to fall below 3%).

Summary Table

Region	Key Themes
China	Credit events on the rise; focus on liquid credit names with offshore bonds
Turkey	Increased local debt issuance; eased eurobond issuance in H2
Argentina	USDARS fair value at 16.80, suggesting new equilibrium
Mexico	Shift from fly strategy to outright 10y receiver; rate cuts expected
Brazil	Inflation expected to fall below 3%; rate cuts anticipated
South Africa	Inflation expected to fall; rate cuts in September and November
Russia	Possible rate cuts to 7.5%
India	Potential rate cut in August to 5.75%

Conclusion

The report highlights a low for longer trend in EM interest rates, supported by benign inflation and economic growth. It suggests opportunities in credit, FX, and interest rate strategies, particularly in Brazil, Mexico, and South Africa, while cautioning about the challenges in China's distressed bond market. The team is also monitoring regulatory changes, inflation data, and central bank decisions in the coming weeks.