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1、Deutsche Bank ResearchGlobalEmerging Markets EM Macro and Strategy FocusDate1 May 2020Economics Focus: In Asia, BNM is likely to cut its policy rate by 50bps next week, with hints of more to come. GDP growth in HKand PH is likely to deteriorate sharply in Q1, while China trade data are likely to poi
2、nt to worsening external conditions in Q2. In CEEMEA, in Turkey and Hungary we expect the headline CPI to continue to decelerate mainly on the back of depressed demand and lower fuel prices outweighing the impact from FX pass-through. On the other hand, FX pass-through is likely to play a key role i
3、n inflation acceleration in Russia, while beginning of Ramadan and stockpiling of key goods is expected to take Egypt inflation higher as well. In LatAm, the Brazilian central bank will be in focus and we expect it to cut the SELIC rate by another 50bp. Mexicos inflation during April should print at
4、 around 2.2% driven by energy prices. We expect a 5% y/y drop in Argentinas IP index due to the Covid-19-related lockdowns. In Chile, we expect the BCCh to keep the TPM at 0.5% as output is likely to have dropped 3.7% y/y in March and inflation posts a 0% m/m print. Colombias inflation should start
5、declining and we expect a 3.72% y/y print in April. Finally, Perus central bank is expected to maintain the policy rate at 0.25%.Strategy Focus: The relative paces of recovery in US IG and HY flows vs. EM hard and local currency debts reinforce the view that EM assets will lag the recovery. This wil
6、l likely follow the more protracted downturns that will likely prevail across most EM excluding the Asian countries that were more successful in dealing with COVID- 19. Within EM, the fundamental vulnerabilities and differences in policy stances are shaping relative performance.EM FX: The preference
7、 for “quality” within EM should continue to drive performance as local markets outflows seem posed to be lasting. We expect BoP and risk of debt monetization to largely dictate differentiation. Across the higher beta currencies, we still find the BRL most vulnerable -as policy-makers favor monetizat
8、ion despite small cash balances. Keep our overall bearish bias on ZAR, targeting 20.0 vs USD and 3.0 in TRYZAR. On RUB, we have closed our long and find levels stretched vs oil. We target some near-term gradual depreciation towards 77.50. Across lower yielders, we maintain a relatively constructive
9、view on CLP and PEN vs. the more vulnerable COP, and the more liquid pairs in the region - BRLand MXN. We remain short PLN/HUF on larger-than-expected QE by the NBP; we expect USDILS to reach 3.40 on further bond inflows, target 27.0 in EURCZK despite further expected rate cuts by the CNB. On fronti
10、ers, We remain long EGP, but expect UAH to reach 30.0 last weeks more aggressive rate cut.Rates: Relentless outflows from local funds continues to weigh onDrausio GiacomelliStrategist + 1-212-250-7355Jundong Zhang Macro Strategist + 1-212-250-9363Sebastian A. BrownChief Economist + 1-212-250-8191Hon
11、gtao JiangStrategist + 1-212-250-2524Juliana LeeChief Economist +852-2203-8312Kubilay OzturkChief Economist +44-20-754-55157David PetitcolinStrategist +44-0-207547-6168Christian WietoskaStrategist +44-20-754-52424Deutsche Bank Securities Inc.Distributed on: 01/05/2020 17:18:09 GMTDISCLOSURES AND ANA
12、LYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 066/04/2019.7T2se3rOOt6kwoPaWhat else? We have added a new section on tracking the performance in EM assets since the corona outbreak. With the exception of EM equities, EM assets (FX, Fl, Credit) have underperformed global equities during the r
13、ecent recovery, however, the initial decline was also less extreme. This said, EM assets are in general still lagging the strong performance of global assets which we experienced over the past few years. Since the corona outbreak, across EM fixed income markets, from a total return perspective, Braz
14、il, Mexico and South Africa were hit particularly hard, while FX-hedged, Peru, Indonesia and again South Africa underperformed its peers.Figure 12:Performance across EM assets vs global marketsPerformance YTD-10%-14%-11%16% -17%BrentEMFX index (spot)CopperEM Equitiesunhedgedhedgedcurrency)Source: De
15、utsche BankEM fixed income - FX- EM fixed income - FX- EMBI index (EM hard-fl since 23-March since 20-Feb since YTD-20%-40%-60%Figure 13: Monthly performance for EM Fixed Income (FX-unhedged and FX-hedged - vs USD)3.5%2.0%0.5%-1.0%-2.5%-4.0%-5.5%EM local bond monthly performance2.6%Source : Deutsche
16、 Bank. Data based on Bloomberg Barclays Emerging Market IndicesFigure 14: 2020YTD performance in local bonds (FX unhedged)10% 0%-10%-20%-30%Source :Deutsche Bank. Data based on Bloomberg Barclays Emerging Market IndicesFigure 15: 2020YTD performance in local bonds (FX-hedged)10%5%0%-5%-10%6%4%3%3%3%
17、3%FX hedged return (vs USD) - YTD2%2%2%2%2%2%1%0%0%-1%Source :Deutsche Bank. Data based on Bloomberg Barclays Emerging Market IndicesRecord outflows in March - update on foreign positioning in EM local markets*please click here for the full report*We provide an update on foreign holdings in EM local
18、 fixed income markets. Official data is published with a lag, but we now have end-March data available for 15 of the 20 EM fixed income markets covered in this report (data as of end-February for Egypt, Chile, Romania, Philippines and end-January for Israel). For some countries, we already have Apri
19、l data available. We will discuss those data for CEEMEA countries separately at the end of the publications, however, for comparison reasons, we focus in the main section on end-March data for all countries.Please note, foreign holding data is adjusted for some countries and more details can be foun
20、d in Figure 7Q Current exchange rates are used as fix rates to show the amount of foreign holdings in USD. Given the FX volatility, this can lead to minor changes compared to previous publications in the historical absolute dollar amounts and the overall share of foreign holdings (but not the indivi
21、dual country share). *Global EM Flows - record outflows in March After strong inflows into EM local markets in January (USD 13bn) and robust flow dynamics in February, EM local fixed income experienced large outflows in March. For the 15 EM markets data has been released, the amount invested by fore
22、igners declined by USD 31 bn to now 580bn. Although the outflows were expected considering the external backdrop, it is nevertheless worth highlighting, that those monthly outflows were the largest on record (data since Jan-13). The outflows offset all healthy inflows seen over the past nine months.
23、 The overall share of foreign holdings declined by 1.4pp to now 24.3% (weighted average) or by 1.7pp to 27.6% (simple average) - both the lowest on record.Looking at overall flows dynamics in Q1, the amount invested by foreigners declined by 18bn or 1.5pp (weighted average). Across regions, the shar
24、e is now the lowest on record in CEEMEA (avg), while at the lowest since Jul-13 and Feb-16 in LatAm and Asia, respectively. While all countries but South Korea saw a decline in the share of foreign holdings in March, Brazil (-7.4pp MoM), Indonesia (-4.4pp) and South Africa (-3.6pp) were hit particul
25、arly hard.Flow outlook for April rather mixed, but most likely significantly better than in March.Considering the improved demand dynamics at the local bond auctions in April (particularly Russia, Israel and CEE), we expect some better flow data to be released for April. This said, looking at the Ap
26、ril data already published (Hungary, South Africa, Turkey and Ukraine), we note a further decline in the share of foreign holdings across CEEMEA local markets - however, significantly less than in March. The decline in the share is mainly driven by higher local supply (higher denominator), rather th
27、an large outflows. The latter is more positive for FX, while less supportive for local fixed income.Figure 17: Foreigners sold more than 30bn of local bonds in March.3JaM2。 JUS9 Janfl9 JUS8 Janfl8 C_fl7 Janfl7 C-H6 Janfl6 C-H5 Janfl5Figure 18: .with the overall share now at 24.3% - a new record low.
28、Source: Deutsche Bank, Haver AnalyticsFigure 19:ln Q1, foreigners sold 18bn of EM local bonds.4030292720100-1024 ii I I-20-11-71.0%0.0%|J -1.0%-30-2.0%* y S 4*0 学学 学 学4 Q &金 X0.0%0.0%-0.6%-0.6%0.8%0.4%o.6%-9%0.2%03%一0.0%-0.2%-0.2%-0.6%-1.1%-1.5%Q*5 aA fAe e e e &e e W $ X quarterly change in foreign
29、 holdings in EM - in bn USD quarterly change in foreign holdings in EM - in ppFigure 16: Foreign positioning in EM local marketsCEEMEALatAmAsiaOverall (avg)Ciech RepublicEgyptHungaryIsraelPolandRomaniaRussiaSouth AfricaTurkey UkraineBrazilChileColombiaMexicoPeruIndonesiaMalaysiaPhilippinesSouth Kore
30、aThailandCEEMEALatAmAsia ；EMLatest39.4%20.1%28.0%5.4%21.7%212%31.7%39.9%56%28.4%41 %18.1%33.7%55.4%50.5%32.7%36 8%9.4%17.0%153%241%39.9%222% ：2716%delta YTD-1.2%3.3%-3.2%-0.1%-1.7%2.1%0.5%-4.6%-4.5%-1.7%-5.9% |-2.2%-1.2%-1.5%1.8%-5.9%-4.8%-1.0%0.9%-1.7%-1.2%1.8%-2.5% ：-1.7%Apr-20*28.0%*39.9%5.6%28.4
31、%*delta MoM-*-0.5%-0.7%-0.9%-1.6%-*-0.9% 今-0J%Mar-2039.4%28.5%21.7%31.7%40.6%6.5%30.0%41.6%33.7%55.4%50.5%32.7%36.8%17.0%15.3%delta MoM1.4%-2.2%1.3%3.2%-3.6%-1.7%-2.0%-7.4%-0.9%-3.2%1.2%-4.4%-2.8%0.8%-1.4%-2.2%-3.2%-2.0% ：-2.4%Feb-2040.8%20.1%30.7%23.0%21.2%34.9%44.2%8.1%31.9%49.1%18.1%34.6%58.5%51.
32、6%37.1%39.6%9.4%16.2%16.7%delta MoM-0.8%1.4%-1.1%0.4%2.2%0.8%-0.6%-1.7%0.3%0.2%-0.7%-1.3%0.3%1.4%-1.6%-2.2%-0.6%0.0%-0.3%0.1%0.0%-0.9% ：02%Jan-2041.6%18.7%31.8%5.4%22.6%19.0%34.1%44.8%9.9%31.6%48.8%18.9%35.8%58.3%50.2%38.6%41.7%10.0%16.2%17.0%delta MoM1.0%1.9%0.7%-0.1%-0.8%-0.1%1.9%0.3%-0.2%1.6%1.4%
33、-1.4%0.9%1.4%1.6%0.1%0.2%-0.5%0.1%0.0%0.6%0.6%0.3% ：03%Dec-1940.5%16.8%31.2%5.5%23.4%19.1%32.2%44.5%10.1%30.0%47.5%20.3%349%56.9%48.7%38.6%41.6%10.4%16.1%17.0%25.3%41.S%24.7% ：29.3%Source: Deutsche Bank, Haver; Note: Regional data is shown as simple average in this table, while we use a weighted ave
34、rage within the publicationSource .Deutsche Bank, Haver Analytics, Note: *The total amount refers to the 20 EM countries in this analysis. Only fixed bonds used for South Africa, Colombia, Brazil. and Mexico.Figure 20: .which implies a decline in the share by 1.5pp.Source :Deutsche BankSource :Deuts
35、che BankDrausio Giacomelli, New York, 1 212 250 7355Hongtao Jiang, New York, 1 212 250 2524Christian Wietoska, London, +44-20-754-52424Jundong Zhang, New York, 1 212 250 9363Ninghao Sha, New York, (1) 212 250 1546Ankit Jain, Mumbai, +91(22)6181-1634EM FX and the virus: Winners and losers*Please see
36、here for the full report*Emerging market currencies come in many shapes and sizes, featuring different economic realities, policy capacities, demographics, medical systems, and resources. Assessing the vulnerability of this heterogeneous group to a pandemic shock that is itself not fully understood
37、is an exercise of great uncertainty. We try and tackle this question by looking at a range of metrics that help capture the diversity of the EM universe and the relative resiliency of currencies to the virus (for a full set of tables and data sources please consult our note FX Special Report EM FX a
38、nd the virus: Winners ard losers, April 29th )Beyond statistics on the viruss prevalence, we focus on measures of capacity in different EM markets to contain, treat, withstand and respond to the virus. We have collected over 30 different indicators for over 20 EM currencies, and aggregated them into
39、 a few broad categories to assess vulnerability.1. State of the virus. Countries that are seeing faster growth in cases and deaths, have lower rates of testing, and higher fatality rates are more vulnerable.2. Risk of spread. Older populations, with higher rates of smoking, greater incidence of diab
40、etes and respiratory conditions, higher air pollution and urban density, and poorer sanitation standards are more vulnerable.3. Medical preparedness. Countries with fewer physicians and hospital beds, and lower levels of health expenditure are more vulnerable.4. Sensitivity to economic shock. Countr
41、ies where employment is more informal and dominated by SMEs, with higher poverty, more dependence on tourism, services, and oil, where corporates may be credit-sensitive are more vulnerable.5. Indebtedness. Countries with less fiscal space, where corporates are more indebted, and where rollover risk
42、s on external debt are high are more vulnerableWhat did we find?The winners: North Asian (KRW, TWD) & select Eastern European FX (CZK, RUB) are looking the healthiest. North Asia features the most favourable virus trends, strong medical capacity, and the ability to weather the economic shock given p
43、ositive exposure to lower oil, less tourism dependence, lower poverty levels, and less vulnerable labour markets. While the risk of spread still appears high, the worst of the virus could be behind them. CZK looks the best within CEE3. The growth in cases and deaths has been flattening, medical capa
44、city is high, and the economic impact should be bettercontained. RUB overcomes its oil vulnerability, through low levels of debt, ample reserves, and a high number of doctors and beds.The losers: High-yielders from all the EM regions (INR, ZAR, BRL, IDR) make up the most vulnerable group. For INR an
45、d IDR, the biggest drag comes from medical capacity, with fewer doctors and beds, and lower health expenditure. This could make reopening more difficult. The virus has been spreading, and the economic impact looks meaningful given a high degree of informality in labour markets and poverty. While overall debt levels do not look prohibitive, and generally young populations should help with resilience, a combination of factors from pollution to sanitation undermines this. ZA