巴黎银行-新兴市场外汇策略南非兰特战线拉长

1、TRADE IDEA | CEEMEA5 July 2019Please refer to important information andMAR disclosures atof this reportEMERGING MARKETS STRATEGYSoufrica ZAR: tactically long againbetn our fair-value ms and market priindependentlyof the direction.After the ZARs recent underformance, our EM-BEER mshowst USDZAR is 5%

2、above its theoretical short-term fairvalue. We see USDZARs short-term fair value at around 13.50.For more details see:Entry date13-Jun-198-Mar-19Dec-18Oct-18Close Date19-Jun-1910-Apr-196-Dec-1816-Oct-18PnL4.0%4.6%4.0%4.4%USD 000317457401438Short USDZAR via IMM Fw d Short USDZAR via 3m Fw d Long USDZ

3、AR via 3m Fw dShort USDZAR via 3m Fw dTotal1,613Sou Soufrica: Take profits on long ZARitionfrica - Take profits on long ZAR itionCEEMEA FX; Take profits on long USDZAR strategy EM FX; TAKE PROFITS ON LONG ZAR STRATEGYRecapWe have been keng track of EM FX markets using both ourshort-term (BEER) and o

4、ur long-term (FEER) ms.While our risk premium mis lespportive for aggressiveitions, weend to arbitrage any marked divergenceFig.1-3: USDZAR; market vs BNPP EM-FX BEER m17.017.0USDZAR difference (%) betn marketUSDZAR price against factor mbandsZoom - USDZAR price against factor mbandsand mMBand10%USD

5、ZAR very richUSDZAR very rich16.016.0Market5.7%MBand15.5Mcentral15.5Market5%13.513.5Mcentral14.014.00%11.011.012.512.5-5%8.58.5USDZAR very cheapUSDZAR very cheap6.020116.011.011.0-10%2011201320122014201520172018Feb-17Aug-17Feb-18Aug-18Feb-19201520172019Sour: Bloomberg LLP, BNP Paribas; as of 05 July

6、 2019Gabriel Gersztein, Global Head of Emerging Markets Strategy Luca Maia Emerging Markets/LATAM StrategyBurak Baskurt, Emerging Markets/CEEMEA Strategist Shaun Daly, Emerging Markets/CEEMEA Strategist|TRADE IDEA05/07/191KEY MESSAGESSince we started covering Soufrica in Q4 2018, our FX strategy has

7、 been to stick to our factor and global risk premium ms, aiming to arbitrage any substantial divergence with market priindependently of the direction.Our EM-BEER msuggests nowt USDZAR is again 5% above its theoretical short-term fair value. Our mputs USDZARs short-term fair value at about 13.50.This

8、 explains why we just enteredotical short EURZAR maturity 18 September 2019; entry price at 16.2224 (spot ref: 15.9924); allocation: EUR8mn; initial: 4% (carry included); stop loss: 3% (carry included). Carry is +0.58% per month.The relatively low allocation is explained on the stretched levels of o

9、ur global risk premium m.These tactical trades are part of our more active/higher frequency strategy for 2019.免费获取群内1、2、7+；当日华尔街日报、3、每周4、行研均为公开利归原作者学习。所有，起点财经仅分发做扫一扫 关注公号回复：加入“起点财经”群。LEGAL NOTICEThishas been written by our Strategist and Economist teams within the BNP Paribas group of companies (col

10、lectively “BNPP”); it does notpurport to be an exhaustiveysis, and may be subject tos oferest resulting from theireraction with sales and trading which could affect theobjectivity of this report. Thisis non-independent research for the pure of the UK Finan l Conduct Authority rules. For the pures of

11、 therecast Markets in Finan l Instruments Directive (2014/65/EU) (MiFID II), non-independent research constitutes a marketing communication. Thisis not investment research for the pures of MiFID II. It has not been prepared in accordance with legal requirements designed to provide theindependence of

12、 investment research, and is not subject to any prohibition on dealing ahead of the dissemination of investment research.The contenthismunication may also contain “Research” as defined under the MiFID II unbundling rules. If themunicationcontains Research, it isended for those firms who are either i

13、n scope of the MiFID II unbundling rules and have signed up to one of the BNPP GlobalMarkets Research packages, or firmst are out of scope of the MiFID II unbundling rules and therefore not required to pay for Researcder MiFID II.Please notet it is your firms responsibility to ensuret you do not vie

14、w or use the Research contenthisif your firm has not signed up toone of the BNPP Global Markets Research packages, except where your firm is out of scope of the MiFID II unbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP ParibasThisconstitutes a marketing communication

15、 and has been prepared by BNPP for, and is directed at, (a) Profesal C nts and Eligible Countarties asdefined by the recast Markets in Finan l Instruments Directive (2014/65/EU) (MiFID II), and (b) where relevant,s who have profesal experienceattersrela ing to investments falling within Article 19(5

16、) of the Finan l Serviand Market2000 (Finan l Promotion) Order 2005, and at othersons to whom it maylawfully be communicated (together “Relevants”) under the regulations of any relevant jurisdiction. Any investment or investment activity to which thisrelates is available only to and will be engaged

17、in only with Relevant content.s. Anywho is not a Relevantshould not act or rely on thisor itsSecurities described hereay not be eligible for sale in all jurisdictions or to certain categories of investors.The informa ion and opinions containedhishave been obtained from, or are based on, public sourb

18、e ved to be reliable, but there is no guarantee of ve been independently verified by BNPP or by anythe accuracy, completeness or fitness for any particular pure of such information and such information may no. None of BNPP, any of itbsidiary undertakings or affiliates or its members, directors, offi

19、cers, agents or employees accepts any responsibility or liabilitywhatsoever or makes any represen ion or warranty, express or imp d, as to the accuracy and completeness of the information or any opinions based thereon andcontainedhisand it should not be re d upon ach.Thisdoes not constitute or form

20、any part of any offer to sell or ie and is not a solici ion of any offer to purchase any finan l instrument, nor shall it or anypart of it nor the fact of its distribution form the basis of, or be re d on, in connection winy contract or investment deci. To the extentt any tranion issubsequently ente

21、redo beta ion.n the recipient and BNPP, such tranion will be enteredo upon such terms as may be agreed by the partieshe relevantInformation and opinions containedhisare published for the informa ion of recipients, but are not to be re d upon as authorita ive or taken in substitutionfor the exercise

22、of judgment by any recipient, are subject to change without no ice and notended to provide the sole basis of any evaluation of the instrumentsdiscussed herein. In providing this, BNPP does not offer investment, finan l, legal, tax or any other type of advice to, nor has any fidu ry duties towards,re

23、cipients. Any reference to past performance is not indicative of future performance, which may be better or worsen prior results. Any hypothetical, pastperformanimulations are the result of estimates made by BNPP, as of a given moment, on the basis of parameters, market conditions, and historical da

24、ta selected byBNPP, and should not be used as guidance, in any way, of future performance. To the fullest extent permitted by law, no BNPP group company accepts any liabilitywhatsoever (including in negligence) for any direct or consequential loss arising from any use of or reliance on material cont

25、ainedhiseven where advisedof thesibility of such losses. All estimates and opinions included in thisare made as of the date of this. Unless otherwise indicated in histhere is no ention to update this.BNPP may make a market in, or may, as principal or agent, buy or sell securities of any ier ormentio

26、nedhisor derivatives thereon. Pri,yields and other similar information included time, such information may be subject to raBNPP may have a finan l erest in any ihisare included for information pures however numerous factors will affect market pricing at any particularchange and there is no certa yt

27、tranions could be executed at any specified price.er ormentionedhis, including a long or shortitionheir securities and/or options, futures orother derivative instruments based thereon, or vice versa. BNPP, including its officers and employees may serve or have served as an officer, director or in an

28、 advisorycapacity for anymentionedhis. BNPP may, from time to time, solicit, perform or have performed investment bing, underwriting or other servi(including ac ing as adviser, manager, underwriter or lender) wi hin the last 12 months for anyreferred to in this. BNPP may be a party to anagreement wi

29、 herein, or thenyrelating to the produc ion of this. BNPP may to he extent permitted by law, have acted upon or used the information containedysis on which it was based, before thewas published. BNPP may receive or end to seek compensation for investment bing serviinthe next three months from or in

30、relation to anymentionedhis. Anymentionedhismay have been provided with relevantsections of thisThisprior to its publication in order to verify its factual accuracy.is for information pures only and there is no aranceranion(s) will be enteredo on such indicative terms. Any indicative pri)contained h

31、erein have been prepared in good faith in accordance with BNPPs own ernal ms and calculation methods and/or are based on or use available pricesour whiwhere considered relevant. Indicative pri) based on different ms or amptions may yield different results. Numerous factors may affect the pri),ay or

32、may not be taken o account. Therefore, these indicative pri) may vary significantly from indicative pri) obtained from other souror marketparticipants. BNPP expressly dis any responsibility for the accuracy or completeness of its own ernal ms or calculation methods, the accuracy or reliability ofany

33、 price sourused, any errors or omiss in computing or disseminating these indicative pri), and for any use you make of the pri) provided. Theindicative pri) do not represent (i) the actual terms on which a new tranion could be entered o, (ii) the actual terms on which any existing tranions could beun

34、wound, (iii) the calculation or estimate of an amountt would be payable following an early termination of the tranions or (iv) the pri) given to thetranions by BNPP in its own books of account for finan l reporting, credit or risk management pures. As an investment bwiwide range of activities,BNPP m

35、ay faces oferest, which are resolved under applicable legal provis andernal guidelines. You should be aware, however,t BNPP mayengageranThisions in a manner inconsistent with he views expressedhis, either for its own account or for the account of its c nts.may contain certain performance data based

36、on back-testing, i.e. simulations of performance of a strategy, index or assets as if id actually existedduring a defined period of time. To the extent any such performance data is included, the scenarios, simulations, development expec ions and forecasts contained inthis theare for illustrative pur

37、es only. All estimates and opinions includedhisconstitute the judgment of BNPP and its affiliates as of the date ofand may be subject to change without notice. This type of information has inherent limi ions which recipients must consider carefully. While theinformation has been prepared in good fai

38、th in accordance with BNPPs ownernal ms and other relevant sour, anysis based on different ms oramptions may yield different results. Unlike actual performance records, simulated performance returns or scenarios may not nesarily reflect certain marketfactorch as liquidity constra s, fees and tranion

39、s costs. Actual historical or back tested past performance does not constitute an indication of future results orperformance.Thisis only ended to generate discusregarding particular products and investments and ibject to change or may be discontinued. We are willing todiscuss it with you on the unde

40、rstandingt you have sufficient knowledge, experience and profesal advice to understand and make your own independentevalua ion of the merits and risk of the information and any proed structures. The information contained herein is not and under no circumstanis to be construedas, a prospectus, an adv

41、ertisement, a public offering, an offer to sell securities described herein, or solici ion of an offer to buy securities described herein, in Canada,the U.S. or any othrovince or territory nor shall it be deemed to provide investment, tax, accounting or other advice. Tranions involving the product(s

42、) described inthis unmay involve a high degree of risk and the value of such tranions may be highly volatile. Such risks include, without limi ion, risk of adverse oripated market developments, risk of countarty or ier default, risk of adverse events involving any underlying reference obliga ion or

43、entity and risk ofilliquidity. In certaranions, countarties may lose their entire investment or incur an unlimited loss. The information relating to performance contained in hisis illustrative and no arance is givent any indicated returns, performance or results will be achieved. Moreover, past perf

44、ormance is not indicative offuture results. Information herein is be ved reliabut BNPP and its affiliates do not warrantuarantee its completeness or accuracy. All information, terms andpricing set forth herein reflect our judgmenthe date and time hereof and are subject to change without notice. In h

45、e eventt we were to enter o a tranionwith you, we will do so as principal (and not as agent or in any other capacity, including, without limi ion, as your fidu ry, advisor or otherwise). Onlyhe event of apotential tranion will an offeringbe prepared, in which case, you should refer to the prospectus

46、 or offeringrelating to the above potentialtranion which includes important information, including risk factorst relate to an investmenthe product(s) described herein.LEGAL NOTICEPrior to traning, you should ensuret you fully understand (either on your own or through the use of independent expert ad

47、visors) the terms of the tranion andany legal, tax and accounting considerations applicable to them. You should also consult with independent advisors and consultants (including, without limi ion, legalcounsel) to determine whether enteringo any securities tran provided to you on a strictly confiden

48、 ial basis and you agreeions contemplated herein would be contrary to local laws. The information contained herein ist it may not be copied, reproduced or otherwise distributed by you, whether in whole or in part (othern to your profesal advisers), without our prior written consent. Neither we, nor

49、any of our affiliates, nor any of their respective directors, partners, officers,employees or represen ives accepts any liability whatsoever for any direct or consequential loss arising from any use of thisor their content; and any of heforegoing may from time to time amanager, co-manager or underwr

50、iter of a public offering or otherwise,he capacity of principal or agent, deal in, hold or amarket makers or advisors, brokers or commer l and/or investment bers in relation to the securities or related derivativest are discussed herein. BNPP and itsaffiliates may (or mayhe future) hold aition or aa

51、 market makerhe finan l instruments discussed, or aan advisor, manager, underwriter or lenderto such ier. In no circumstan existence thereof.shall BNPP or its affiliates be obliged to disclose any informationt it has received on abasis or to disclose theThe information presented herein does not comp

52、rise a prospectus of securities for he pures of EU Directive 2003/71/EC (as amended from time to time).Thiswas produced by a BNPP group company. Thisis for the use ofended recipients and may not be reproduced (in whole or in part) ordelivered or transmitted to any othUnited S es Disclosures:erson wi

53、thout the prior written consent of BNPP. By accepting thisyou agree to this.Important Option Disclosures: Options are complex instrumentst are not suitable for every investor, may involve a high degree of risk, and may be appropriateinvestments only for sophisticated investors who are capable of und

54、erstanding and aming the risks involved. Supportingation for any claims, comparisons,mendations, s istics or other technical data will bed upon request. Any trade information is preliminary and notended as an offi l tranionconfirmation. If the information contained herein regards options related con

55、tent, such information is available only tos who have received the proper option riskdisclosures. For a copy of the Option Clearing Corporations Characteristics and Risks of Standardized Options, please contact your BNPP salesrepresen ive or visit the OCCs website at htt/about/publications/character

56、-risks jsp, you should consider the investment objectives, risks, and charges and expenses of theImportant ETF Disclosures: For any ETFs discussed in thisinvestment company carefully before investing. The prospectus, and if available, the summary prospectus, contains this and other important informa

57、tion about the ETF.You may obtain a prospectus and, if available, a summary prospectus by calling. The prospectus if available, and summary prospectus should beread carefully before investing. As winy investment, ETFs have risks. These include teral risks asso ted wi h inves inghe underlying assets,

58、 potentialtracking error, and thesibilityt particular indimay lag other market segments or active managers. In addition, ETFs investing inernational markets mayinclude currency and geopolitical risks, while fixede ETF risks also include credit and erest rate risk. BNPP and its affiliates may hold ai

59、tion or aa smarket makerhe finan l instruments discussed, or aan advisor, manager, underwriter, or lender to such ier. As a result, BNPP may have potentialof erest relating to the ETFst are discussedhis material. In particular, BNPP may aan Authorized Participanthe purchase or sale of shares from an

60、ETF and par icipatehe creation and redemption of the securities coveredhis material. In connec ion with these activities, BNPP may receive a fee, may bedeemed to be an underwriter of the ETF shares, and may receive information about pending creations or redemptions of large blocks of ETF shares. Und