20170331-法国巴黎银行-EM_STRATEGY_PLUS_35页_3mb

报告摘要

EM Strategy Summary - 31 March 2017

Core Content Overview

This document outlines the EM Strategy team's analysis and recommendations for the week of 31 March 2017, focusing on the CEEMEA region, Latin America, and global EM credit and liquidity conditions. The team includes experts from BNP Paribas and Turk Ekonomi Bank A.S., with key insights provided by Wike Groenenberg, Mahesh Bhimalingam, and Kun Shan.

Key Themes and Market Outlook

1. CEEMEA Focus

South Africa: The cabinet reshuffle is viewed as a negative development for public finances, but the market reaction is expected to be less severe than in December 2015. The removal of the Czech floor is anticipated to lead to a rise in EURCZK, not a fall, due to well-positioned markets.
Czech Republic: The CNB will remove the EURCZK floor in Q2 2017, and we expect EURCZK to initially rise, with a potential trend downward in the longer term. The team recommends a short-term receiver trade.
Turkey: The constitutional referendum on 16 April is expected to dominate the market narrative. Polls suggest a close race, and the team will provide further analysis next week.
Poland: The National Bank of Poland is expected to keep policy rates at 1.50% due to positive external funding capacity and inflation control needs.

2. Global EM Credit

The dovish Fed, falling US front-end yields, weaker USD, EM CDS roll, and delay in ACA repeal have created a window of calm for EM credit.
Despite tight valuations, EM credit is expected to continue generating positive flows and tightening spreads in the short term.
Long-term caution remains due to the potential return of the reflation trade and US fiscal policy impacts.
Recommendation: Buy volatility (downside protection) as markets are in a sanguine mode.

3. Chinese Liquidity Operations

The PBoC is tightening money market liquidity.
Key barometers to track include 'CFETS China Interbank Repo O/N and 7-day VWAP' and 'CFETS China Interbank D-Repo O/N and 7-day VWAP'.

New Recommendations

Trade	PV01/Notional	Entry Level/Cost	Target	Stop	P/L	P/L kUSD
Receive 1y1y CZK (3m fixing)	5k USD	0.50%	0.20%	0.70%	+14 bp	70
Sell Brazil 5y CDS	22.5m USD	229	200	265	+4 bp	43

Trade Review

Rates

Receive 1Y1Y CZK (3m fixing): New trade with positive P/L of +14 bp.
Receive 2Y1Y THB NDIRS: +2 bp P/L.
Pay 1Y1Y RUB XCCY: +6 bp P/L.
Receive 5Y5Y SGD IRS vs. 5Y5Y USD IRS: +27 bp P/L.
Flattening Brazil DI Jan18sJan20s: -23 bp P/L.
Long Soberanos 2026 (50% FX hedged): +15 bp P/L.

FX

Sell 3m USDCNH: +0.07% P/L.
Long USDARS 1y NDF vs. short USDARS 3m NDF: -0.25% P/L.
Long COP against a basket (EUR & CLP): +3.17% P/L.
Long USDARS 2y NDF vs. short USDARS 1y NDF: +1.94% P/L.
Short CLPCOP via 1m NDF: +4.84% P/L.
Short CADCOP via 1m NDF: +5.57% P/L.
Long BRL against a basket (CLP, EUR & AUD): +27% P/L.

Options

Buy USDHKD call spread: Not applicable.
Buy 1xUSDZAR 2m call k=13.75 sell 1.5xUSDZAR 2m call k=14.20: -0.44% P/L.
Buy 3m USDJPY / USDKRW dual digital (expired): -9.00% P/L.
Long USDMXN Seagull: +0.39% P/L.
Long USDMXN PS k=20.55/19.75: +2.61% P/L.

Credit

Sell Brazil SY CDS: +4 bp P/L.
Switch from Saudi Arabia $'46s into Qatar $'46s: -5 bp P/L.

What's Up Next Week?

Asia

China & Taiwan: Holidays on Monday and Tuesday.
March CPI releases: Key data across the region.
Chinese Caixan manufacturing index: Expected to be released on Thursday.
RBI Policy Meeting: Likely to keep policy on hold.

CEEMEA

March manufacturing PMI: Expected to improve for South Africa, Poland, and Czech Republic.
Hungary's PMI: Expected to fall to 58.0 from 59.5.
Russia's GDP and CPI: Focus on Q4 2016 GDP and March CPI.
Turkey's CPI and Real Effective Exchange Rate: March CPI expected to rise to 10.4% annually, and the real effective exchange rate is expected to remain unchanged at 89.

Latam

Colombia: Annual inflation expected to fall further in March.
Brazil: March CPI expected to continue falling, with possible Selic rate cut of 100bp.
Mexico: March CPI expected to show inflation rising away from the target.