20131115-巴黎银行证券-EM_Strategy_Plus_15页_1mb

报告摘要

Emerging Markets (EM) Strategy: The report suggests a tactical approach, emphasizing buying on dips and being cautious about longer maturities.
Latam Focus: A structural steepening of local yield curves is expected in Latin America. Brazil is likely to underperform due to its high sensitivity to U.S. Treasury rate increases, while Mexico is expected to outperform.
CNH CCS Rates: Expected to rise due to profit-taking on short USDCNH positions and interest-rate arbitrage flows. A small paid position is recommended, with caution advised due to potential regulatory curbs on FX forward selling.
Indonesia (Indo): Authorities are addressing fiscal and monetary issues, but the market is overly bearish. Buy on dips, especially when valuations are stretched. Recommend buying Indon 19s sukuk or selling CDS, and buying ORI10 2016s currency unhedged.
EM Sovereign Credit: Investment-grade (IG) credit is favored, especially those trading below par. The report highlights Poland '23 and Russia '22 as key trades, with a focus on sub-par IG bonds.

Country	FX Position	Local Debt Position	Local Rates Strategy	External Debt Position
Malaysia	USDMYR to consolidate; limited room for further ringgit appreciation	Short duration due to unfavorable supply outlook	Receive 1y1y 2s10s steepeners	5y CDS to return to pre-FOMC level at 120
Indonesia	IDR onshore spot and offshore fixing to converge around 11,000	Slightly underweight due to supply pressures and lack of foreign demand	Neutral duration	INDON '35s are the cheapest on the curve; extend duration
Thailand	THB to appreciate gradually to 30.50	Reduce overweight	Maintain small overweight	-
Poland	Positive on the zloty; target range of 4.00-4.10	Overweight the back end due to reduced net issuance	2s5s flatteners	POLAND '19 is the best value, especially with improved debt profile
Hungary	Buy EURHUF on dips	17/A offers best value on the curve; avoid the long end	2s5s10s fly to move higher	Neutral
Turkey	Buy USDTRY on dips	Short duration due to negative currency outlook	Pay front-end FX swaps to protect against spikes	Testing of this year’s lows in 5y CDS (80-90bp) likely
South Africa	Buy USDZAR on dips	5-15y segment of the curve to steepen	R207 is the best value on the curve	Switch out of SOAF '41 into SOAF '25

Russia: Recommend switching out of RUSSIA '42 into RUSSIA '22, targeting a 60bp give-up with a stop-loss at 26bp.
Poland: Recommend buying POLAND '23 at 141bp z-spread, targeting 111bp with a stop-loss at 156bp.
Other Trades: Include buying SOAF '25 vs SAGB '23, buying ICELND '22, buying ICELND '16 in a CDS-basis package, and selling Croatia '23 CDS-basis.

Tactical Buying: Buy on dips, especially when valuations are stretched and sentiment weak.
Avoid Structural Positions: Steer clear of long-term positions in Brazil and other EMs with high sensitivity to U.S. rates.
Duration Management: Be cautious with duration in EM sovereign credit, particularly in Brazil and Russia, due to the risk of extended duration under current market conditions.
Currency Hedging: Maintain a neutral stance on FX for some countries and consider hedging strategies in others, such as paying front-end FX swaps in Turkey.

Performance Drivers: IG credit tends to perform when real rates rise and inflation falls.
Outflows Impact: Continued outflows from EM bond funds are shifting focus to cash prices.
Recommended Bonds: Poland '23, Russia '22, Israel '43, DUGB '43, and Morocco '42 are highlighted for their value and stability.

Fed Tapering: Expected to continue affecting EM bond markets, with potential for increased volatility.
Political Factors: In Indonesia, the political climate may persist and impact growth, while in Thailand, the political standoff could weigh on the economy.
Regulatory Risks: Possible restrictions on FX forward selling in China may cause basis to widen before narrowing.
Market Path: The report outlines expected market paths for key currencies and bonds, with some suggesting a convergence trade and others highlighting carry opportunities in the front end.

Latam: Structural steepening in local yield curves, with Brazil underperforming and Mexico outperforming.
Indonesia: Buy on dips, especially with the 19s sukuk and ORI10 2016s currency unhedged.
CNH CCS: Rise in rates expected, with a cautious approach recommended.
Poland: Positive outlook, with a recommendation to overweight the back end of the curve.
Russia: Steepening of the curve and reduction in duration advised.
EM Credit: Focus on IG bonds trading below par, with specific recommendations for Poland, Russia, Israel, DUGB, and Morocco.

VAR Model: Used to analyze the impact of U.S. Treasury yields on Latam local curves, showing strong correlation.
Market Path: Simulated market paths for key currencies and bonds since May 2013.
Z-spreads and CDS: Charts illustrate the relationship between z-spreads and CDS for Indonesia and other EMs.

The report emphasizes the importance of timing and tactical positioning in EM markets.
A cautious approach is advised, especially for longer maturities and high-sensitivity assets.
Political and regulatory developments are key factors influencing EM markets, particularly in Indonesia and Thailand.
The report is non-independent and serves as marketing communication.

展开完整摘要