德银-新兴市场-投资策略-新兴市场宏观与策略聚焦-2019.9.20-49页_2mb

报告摘要

Emerging Markets Macro and Strategy Focus - September 2019 Summary

Core Content and Key Information

This report provides an overview of emerging market (EM) macroeconomic developments and investment strategy recommendations for the month of September 2019. It covers FX and Fixed Income (FI) markets across Asia, CEEMEA, and Latin America (LatAm), and outlines key economic releases, trade recommendations, and analysis of central bank policies.

Main Points

Central Bank Policies

Asia: The BSP is expected to cut rates for the third time, while the BoT will wait until November for its second cut.
CEEMEA: The CNB and NBH are expected to keep policy rates on hold, with potential easing from the latter. The CBE may cut rates by 50bps.
LatAm: Banxico is expected to lower the overnight rate by 25bps to maintain the Mexico-United States interest rate differential. Argentina's growth is expected to be nearly 0.9% y/y in July but will be interrupted in August due to FX shocks. Colombia's BanRep is expected to keep rates on hold at 4.25% due to inflation concerns. The Peruvian central bank may revise down growth forecasts in its next report, possibly leading to further rate cuts in 4Q19. Brazil's central bank is expected to maintain a dovish stance with low IPCA-15.

Strategy Focus

The coordination between EM and DM central banks is at a historical high, despite differing fundamentals and FX weakness.
EM central banks can maintain easing due to Fed easing and limited FX pass-through, but EM markets remain vulnerable to weak external demand, geopolitical uncertainty, and limited intrinsic value.
Focus is on relative value (RV) and specific trade recommendations.

Key Trade Recommendations

FX Trades

Israel: Short USD/ILS (Initiation: 17Sep19; Target: 3.45; Stop: 3.60)
Poland/Hungary: Long PLN/HUF (Initiation: 17Sep19; Target: 78.00; Stop: 75.50)
Turkey: Long USD/TRY (Initiation: 16Sep19; Target: 5.95; Stop: 5.60)
Brazil/ZAR: Buy BRL/ZAR (Initiation: 12Sep19; Target: 3.80; Stop: 3.55)
Mexico/Colombia: Sell MXN/COP (Initiation: 15May19; Target: 160.00; Stop: 172.50)
Peru/Chile: Sell PEN/CLP (Initiation: 12Sep19; Target: 208.00; Stop: 217.00)
Argentina: Switch from 21s to 2117s (Initiation: 11Sep19)
Mexico: Switch from 40s to 46s (Initiation: 11Sep19)

Rates Trades

Czech Republic: Pay 5Y IRS (Initiation: 17Sep19; Target: 2.00; Stop: 1.25)
Hungary: 10Y ASW-spread tightener (Initiation: 17Sep19; Target: 45.00; Stop: 80.00)
South Africa: 1Y1Y IRS vs R2035 (Initiation: 29May19; Target: 225.00; Stop: 310.00)
Turkey: Receive 5Y XCCY (Initiation: 18Jul19; Target: 12.25; Stop: 15.25)
Brazil: Receive BRL Jan23 (hedged via FX future Dec19, beta=0.15) (Initiation: 11Sep19; Target: 2.00%; Stop: -1.00%)
Colombia: Long COLTES 32s vs. Pay 10y IBR Swap (Initiation: 27Jun19; Target: 85.00; Stop: 105.00)
Colombia: Long COLTES 28s (Initiation: 28Feb19; Target: 5.60; Stop: 6.00)
Mexico: Long Mbonos 29s (Initiation: 11Sep19; Target: 6.88; Stop: 7.35)
Mexico: MBONOS 42s vs. 10Y TIIE (Initiation: 17Jul19; Target: 25.00; Stop: 60.00)
Oman: 28s vs. 27s (Initiation: 18Sep19; Target: 0.05; Stop: 0.30)
Russia: Long 29s vs. 5Y CDS (Initiation: 11Sep19; Target: 65.00; Stop: 110.00)
South Africa: 28s vs. 27s (Initiation: 18Sep19; Target: 0.00; Stop: 0.27)
Argentina: Switch from 21s to 2117s (Initiation: 11Sep19; Target: -3.00; Stop: -9.00)
Mexico: Switch from 40s to 46s (Initiation: 11Sep19; Target: -10.00; Stop: 10.00)

FX and FI Scorecards

EMFX Scorecard

Top 3 currencies: HUF (rank 1), INR (rank 2), BRL (rank 3)
Bottom 3 currencies: PEN (rank 20), IDR (rank 21), THB (rank 22)
Macro (long-term): RUB, MYR, ZAR at the top; CNY, THB, CZK at the bottom
Financial (short-term): INR, HUF, PLN at the top; THB, TWD, IDR at the bottom
Alignment: HUF and PEN are aligned in both rankings; RUB, ZAR, and TWD show opposite signals in macro and financial rankings

EMFI Scorecard

Top 3 countries: India (rank 1), South Africa (rank 2), Indonesia (rank 3)
Bottom 3 countries: Czech Republic (rank 18), Thailand (rank 11), Mexico (rank 12)
Technical (short-term): India, South Africa, Indonesia at the top; Brazil, Mexico, Turkey at the bottom
Valuation (long-term): Indonesia, Russia, Brazil at the top; Peru, Poland, Czech Republic at the bottom
Alignment: India, Russia, and South Africa are aligned in both technical and valuation rankings; Israel, Turkey, and Brazil show opposite signals

EM FX Exposure to Oil Shocks

Positive oil shocks favor RUB, COP, and BRL.
Negative impact on TRY, INR, and CEE4 currencies.
Beta Analysis: RUB (0.13), COP (0.07), BRL (0.06) show positive beta.
Impulse Response: RUB (0.25), COP (0.40), BRL (0.20) are the top performers.
Event Study: RUB (0.28%), COP (0.07%), BRL (0.01%) are the main beneficiaries.

Economic Releases

Colombia: Expected to release Economic Activity Index (YoY) and Overnight lending rate on 23 September 2019.
Mexico: Retail sales (MoM), Global economic indicator (IGAE) (YoY), and Overnight rate on 26 September 2019.
Singapore: CPI (YoY) on 23 September 2019.
Taiwan: Industrial Production (YoY) on 23 September 2019.
Hungary: MPC meeting on 24 September 2019.
Czech Republic: CNB Board meeting on 25 September 2019.
Malaysia: CPI (YoY) on 25 September 2019.
Thailand: BoT Meeting on 25 September 2019.
Argentina: Economic Activity Index (YoY) on 26 September 2019.
Egypt: CBE MPC meeting on 26 September 2019.
Hong Kong: Exports (YoY) on 26 September 2019.
Vietnam: CPI (YoY), Exports (ytd), GDP (YoY), and Industrial output (ytd) on 27 September 2019.
Israel: Moody's credit rating update on 27 September 2019.

Conclusion

The report emphasizes the importance of relative value and strategic positioning in EM markets. It highlights the role of central bank policies, FX dynamics, and economic fundamentals in shaping market outcomes. The EMFX and EMFI Scorecards are used as tools to identify attractive markets, with a focus on RUB, COP, and BRL for FX exposure and India, South Africa, and Indonesia for FI opportunities. The report also outlines the impact of oil shocks on EM currencies and the implications for investment strategies.

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