20181204-法国巴黎银行-LATIN_AMERICA_STRATEGY_8页_926kb

CEEMEA FX Trade Summary: Tactically Long USDZAR

Core Content

This document outlines a trade idea for the USDZAR currency pair, suggesting a tactical long position based on the EM-BEER model. The trade is part of the short-term strategy of the BNP Paribas Emerging Markets team and is not aligned with their long-term structural view for 2019.

Key Points

• Trade Idea: Tactically long USDZAR (South African Rand) via a 3-month forward contract.
• Entry Price: 13.7614 (3m forward), with a spot price of 13.6157.
• Allocation: USD10 million.
• Fair Value Estimate: The EM-BEER model suggests a short-term fair value of approximately 14.20 for USDZAR.
• Initial Target: USDZAR at 14.20.
• Stop Loss: 13.27 (spot reference).

EM-BEER Model Insights

• The model indicates that USDZAR is currently 5% below the short-term fair value.
• The trade is based on arbitrage opportunities between the model's fair value and current market prices.
• The document includes Figures 1-3 which visually represent the EM-BEER model for USDZAR, though the images are not included in the summary.

Strategic Context

• The trade aligns with the firm's short-term strategy, even though the long-term outlook for emerging markets (EMs) is more supportive.
• The strategy involves capitalizing on short-term price discrepancies rather than long-term trends.

Legal and Regulatory Information

• This document is non-independent research and is a marketing communication under MiFID II.
• It is intended for Relevant Persons as defined by regulatory frameworks in various jurisdictions.
• The document does not constitute investment advice and should not be relied upon for decision-making.
• It may contain hypothetical or back-tested performance data, which is for illustrative purposes only and not indicative of future results.
• Confidentiality: The information is provided on a strictly confidential basis and must not be distributed without prior written consent.
• Conflicts of Interest: BNPP may have financial interests in the issuers or instruments discussed and may engage in transactions inconsistent with the views expressed in this document.

Risk Disclaimer

• The trade involves high risk and volatility.
• Risks include market developments, counterparty or issuer default, adverse events, and illiquidity.
• In some transactions, losses may be unlimited.

Additional Information

• The document includes regulatory disclosures for various jurisdictions, including the United States, UK, France, Germany, Belgium, Ireland, Italy, Netherlands, Portugal, Spain, and Switzerland.
• These disclosures clarify the legal basis for the document's distribution and the target audience.
• BNPP may act as market maker, advisor, or underwriter in relation to the instruments discussed.
• The document does not include investment, tax, or legal advice and is not a prospectus or public offering.

Conclusion

The trade idea suggests a short-term opportunity to long USDZAR based on the EM-BEER model's fair value assessment. It is important to note that the strategy is tactical and not reflective of the firm's long-term structural view. The document is a marketing communication and should be used with caution, as it may contain hypothetical or back-tested data and is subject to various legal and regulatory constraints.