20180813-法国巴黎银行-South_Africa__Max_pay-out_for_3m_USDZAR_call_spread__9页_515kb

EM Strategy Desknote Summary

Core Content

This document is a report from BNP Paribas on the USDZAR exchange rate, focusing on the performance and outlook for the South African rand (ZAR) against the US dollar (USD). The report is authored by Shaun Daly and Jeffrey Schultz and outlines a strategic decision to take profit on a long 3m USDZAR call spread with strikes at 14.40 and 15.10, resulting in a maximum payout of 3.5% (with a cost of 1.06%).

Main Points

• Strategic Decision: The team has decided to take profit on their long 3m USDZAR call spread with strikes at 14.40/15.10, aiming for a maximum pay-out of 3.5%.
• Price Target Achieved: The price target of 15.10 was reached overnight, with USDZAR peaking around 15.5 due to contagion effects from the Turkish lira's weakness.
• Short-Term Outlook: USDZAR is expected to remain volatile in the short term due to ongoing global geo-political trade tensions, especially as the US mid-term elections approach on 6 November.
• Medium-Term Outlook: Over the medium term, USDZAR levels are anticipated to align with BNP Paribas' fair-value projections from the CLEER™ model, which estimates ZAR fair value at 14.4 by end-2018.
• Support Factors: Potential support for the ZAR may come from improved Q2 2018 growth and balance of payments data, as well as positive domestic economic data and clear policy signals in land and mining sectors.
• Risks: Negative realized forward returns (now close to -20%) pose a threat of forced selling, and the ZAR remains vulnerable to external shocks and contagion effects.
• CPI Impact: Higher CPI from sustained ZAR weakness could pose upside risk to the USDZAR fair value path.

Key Information

• CLEER™ Model: The CLEER™ model is used to estimate the fair value of the ZAR based on cyclical economic fundamentals.
• Chart References:
  • Chart 1: Highlights negative realized ZAR returns and the risk of balance-sheet constraints and forced selling.
  • Chart 2: Shows the expected alignment of USDZAR with CLEER™ fair value over the medium term.
• Legal and Regulatory Disclosures:
  • The document is non-independent research and constitutes a marketing communication.
  • It is intended for professional clients and eligible counterparties under MiFID II.
  • The report includes important disclosures regarding conflicts of interest, liability, and the nature of the information provided.
  • It also contains specific disclosures for the United States, United Kingdom, France, Germany, Belgium, and Ireland, emphasizing the legal and regulatory context of the report's distribution and use.

Conclusion

The report outlines a strategic decision to profit from the USDZAR call spread and provides an analysis of recent market movements and future expectations. It highlights the short-term volatility risks and medium-term fair value alignment with the CLEER™ model. The ZAR's performance is closely tied to both global macroeconomic conditions and domestic policy improvements. The document serves as a market analysis and investment guidance, with clear legal and regulatory disclaimers.