20170210-法国巴黎银行-GLOBAL_WEEKLY_EM_STRATEGY_PLUS_35页_3mb
报告摘要
EM Strategy Summary - 10 February 2017
Core Content
This document provides an overview of emerging market (EM) strategy recommendations and analysis for the week of 10 February 2017, authored by various strategists from BNP Paribas and Turk Ekonomi Bank A.S. It highlights opportunities in EM corporate credit and FX strategies amid concerns about the impact of rising US rates on EM sovereign credit.
Main Points
EM Corporates as a Diversification Opportunity
- Lower Duration and Maturity: EM corporates have lower duration and maturity than sovereigns, making them less sensitive to rate spikes.
- Similar Ratings: They maintain similar credit ratings as sovereigns.
- Yield and Spread: EM corporates offer yields that are approximately 50bp less and spreads that are around 40bp less compared to sovereigns.
- Performance: EM corporates have historically shown lower sensitivity to rate increases, as seen in 2013, 2015, and 2016.
- Beta to Global Reflation: They have a lower beta to global reflation events, thus benefiting more from global growth.
- Country Exposure: EM corporates include exposure to China and India (around 35% in total), which are not as prominent in EM sovereign portfolios.
- Credit Risk: Higher idiosyncratic risk and lower liquidity mean more credit analysis is required for EM corporates.
FX Strategy Highlights
- Sell SGD vs CNH: Due to RMB appreciation potential and positive carry, recommend selling SGD against CNH. Target: 4.70, Stop: 5.00.
- Pay 1y1y RUB XCCY: With a positive carry of 15bp per month, recommend paying the 1y1y RUB forward. Entry: 7.23%, Notional: 5k USD.
Regional Insights
Asia
- China: RMB index near 2016 lows, but not expected to drop significantly. PBoC's tone has softened, leading to a more balanced onshore market. CPI data expected next week.
- India: CPI is expected to fall close to 3% in January, then rise in Q2. Trade balance data will be closely watched for oil price impact.
CEEMEA
- Poland: Inflation expected to rise to 1.8% in January. Unit labour costs remain low.
- Hungary: CPI inflation expected to rise to 2.1% in January.
- South Africa: Inflation is expected to remain at 6.8% in January, potentially limiting inflows to ZAR.
- Turkey: 10y bonds are close to fair value (10.7%), and we remain long TRY. Inflation is expected to rise to double-digit levels.
Latam
- Brazil: External accounts data to be released on 17 February. Expect a strong trade balance and foreign investment. BRL may face pressure if FX swaps are not rolled over.
- Chile: Central Bank likely to remain on hold, which supports our long CLP/CAM payer positions.
Key Recommendations
| Strategy | PV01/Notional | Entry Level | Target | Stop | P/L (kUSD) |
|---|---|---|---|---|---|
| Sell 3m SGDCNH outright | 10m SGD | 4.891 | 4.70 | 5.00 | 0 |
| Pay 1y1y RUB XCCY | 5k USD | 7.23% | 7.30% | 7.10% | 0 |
Trade Review
| Trade | PV01 / Notional | Entry Date | Entry Level | Current | Target | Stop | P/L | P/L kUSD | Closed Date |
|---|---|---|---|---|---|---|---|---|---|
| Pay 1Y1Y RUB XCCY (new) | 5k USD | 10-Feb-17 | 7.23% | 7.23% | 7.30% | 7.10% | 0 bp | 0 | - |
| Receive 5Y5Y SGD IRS vs. 5Y5Y USD IRS | 10k USD | 19-Jan-17 | 0.55% | 0.35% | 0.20% | 0.70% | +20 bp | 200 | - |
| INR NDOIS 2Y5Y flattener | 10k USD | 16-Jan-17 | 0.29% | 0.29% | 0.10% | 0.40% | 0 bp | 0 | - |
| Receive 1Y1Y KRW NDIRS | 10k USD | 17-Nov-16 | 1.60% | 1.59% | 1.40% | 1.70% | +12 bp | 120 | - |
| Receive 5Y AUD IRS vs. pay 5Y KRW IRS | 10k USD | 04-Jan-17 | 0.96% | 0.85% | 0.60% | 1.10% | +11 bp | 110 | - |
| Flattening Colombia IBR 1y-3y | 6k USD | 27-Jan-17 | -63 | -85 | -90 | -39 | +22 bp | 131 | - |
| Flattening Brazil DI Jan18sJan20s | 25k USD | 13-Jan-17 | -43 | -50 | -75 | -19 | +7 bp | 456 | - |
| Pay CLPxCAM 5y | 5k USD | 15-Dec-16 | 3.78% | 3.59% | 4.25% | 3.44% | -19 bp | -94 | - |
| Pay CLPxCAM 3y | 6k USD | 16-Nov-16 | 3.69% | 3.18% | 4.00% | 2.97% | -51 bp | -304 | - |
| Buy at 13.25 1xUSDZAR 2m call k=13.75 sell 1.5xUSDZAR 2m call k=14.20 | USD 10mn | 03-Feb-17 | 0.45% | 0.40% | - | - | -0.05% | -5 | - |
| Buy EURTRY 1m put at 4.01 and sell put at 3.90 and call at 4.15 | EUR 10mn | 03-Feb-17 | 0.00% | 1.70% | - | -1.50% | 1.70% | 180 | - |
| Buy 3m USDJPY / USDKRW dual digital (112 / 1200) | USD500K payout | 13-Dec-16 | 9.00% | 6.00% | - | - | -3.00% | -15 | - |
| Long USDMXN PS k=20.55/19.75 / exp: 19 April 2017 | USD 25mn | 31-Jan-17 | 1.33% | 1.54% | 0.60% | 1.10% | 0.21% | 53 | - |
What's Up Next Week
- Asia: China releases CPI and trade balance data. India releases CPI data. Watch for RMB and USD movements.
- CEEMEA: Poland and Hungary release CPI data. South Africa releases inflation and retail sales data.
- Latam: Brazil releases external accounts. Chile's Central Bank may remain on hold.
- Turkey: Treasury issues 10y bonds and rent certificate. Inflation expectations are likely to remain firm.
Summary of Key Themes
- EM corporates offer a better risk-reward profile than EM sovereigns due to lower duration and sensitivity to rate changes.
- The RMB is expected to appreciate, with SGD vs CNH being a strategic trade to benefit from positive carry.
- EM FX markets are influenced by central bank policies and global macroeconomic trends.
- EM credit investors should consider adding corporate bonds to their portfolios to mitigate rate risk.
- Credit risk in EM corporates is higher due to idiosyncratic factors, requiring more detailed analysis.
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