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1、LfJDeutsche Bank ResearchDate8 February 2019Drausio Giacomelli Strategist +1-212-250-7355Jed Evans Strategist +1-212-250-8605Sebastian A. Brown Strategist +1-212-250-8191Hongtao Jiang Strategist +1-212-250-2524Juliana LeeChief Economist +852-2203-8312Kubilay Ozturk Chief Economist +44-20-754-55157Da
2、vid Petitcolin Strategist +44-0-207547-6168Christian Wietoska Strategist +44-20-754-52424GlobalGlobalEmerging MarketsEM Macro andStrategy FocusEconomics Focus: We expect Asia data to add to global growth worries, with Malaysia growing below potential amid disappointing overall trade data. We see Q4
3、GDP growth in CE3 and Israel moderating. The central bank in Egypt is likely to hold rates. We believe credit ratings in Russia (by Fitch) and S&P credit ratings of Turkey and Hungary will not change and foresee tame inflation moderation in CEE3 and Israel. In LatAm, we expect Mexicos industrial pro
4、duction to show an annual contraction for the third consecutive month. In Argentina, INDEC will release the CPI index for January; due to recent hikes in administered prices, we expect inflation to decrease at a slower rate.Strategy Focus: We expect the credit spectrum to narrow and select local fix
5、ed income to benefit from capped core yields. We find FX upside limited by disappointing growth. FX: Intensified domestic risks weigh on ZAR (outright and vols) vs. RUB and TRY. RUB benefits from seasonality while patient policymaking ahead of local elections supports TRY. Valuation has turned less
6、appealing, but tight money still anchors A RS longs. In lower-yielding FX, slowing manufacturing data underscores our negative view on CEE3 FX. However, we still see some upside for our short USD/COP and also USD/CLP. Within EM, we expect the BRL to outperform the ZAR and the RUB to perform better t
7、han theMXN.Rates: More dovish signals from Asian CBs reaffrm ongoing disinflationary forces across EM. BraziTs CB opted to stay neutral, but this anchors disinflation andthelongend. Position for furtherflattening on Brazil rates, stay long in 5Y Russia bonds (FX-unhedged) 6m t-bills in Egypt, and sw
8、itch from South Africas ultras into 10Y-15Y bonds (best R2035) - FX-hedged or accompanied with long ZAR vol. Overweight 10y bonds in Poland and Peru, and position in ASW-spd tighteners in Colombia and Hungary (26/D or 31/A), Receive in Colombia (3Y), Hungary (9x12 FRAs) and Isreal (1Y1Y) but pay2Y2Y
9、IRSin Czech. Hold steepeners in Poland (1Y1Y- 2Y2Y), Hungary (2s10s IRS) and short-endflattenersin Turkey XCCY (6m3m -2Y). Credit: Accelerating inflows support continued tightening of credit spreads and outperformance of higher-yielding credits. In RV, we continue to favor bull steepeners in Argenti
10、na, but 5s10s flatteners in South Africa (where we expect further budget measures) and 10s30s flatteners in Brazil. Positive momentum continues in Lebanon fuelled byDeutsche Bank Securities Inc.Deutsche Bank Securities Inc.Distributed on: 08/02/2019 17:21:13 GMTDISCLOSURES AND ANALYST CERTIFICATIONS
11、 ARE LOCATED IN APPENDIX 1. MCI (P) 091/04/2018 .7T2se3rOOt6kwoPaFigure 12: Despite persistent outflows in mid-18, the extent of debt outflows is nowhere near that in 2013 or late 2016 (post US election).Weekly debt flows (local currency) f asset under managementFeb 13 Dec 13 Oct 14 Aug 15 Jun 16 Ma
12、y 17 Mar 18 Jan 19Source: Deutsche Bank, EPFR, Haver AnalyticsEM Flow Indicator - debt + equitySource: Deutsche Bank, EPFR, IIF, Bloomberg Finance LP. Note: We consider values +0.5 to indicate significant inflows and values ON 81d3s 81 81Ag 8m81ZION ZI d* 9ION 9lds 9191Aew 9IU581 uw ZION mid3s * Eg
13、mluer 9ION 91d3s 9131-91 AgbL ug 81 oz 81 das 8181U5 卜 ION zlda dlar ZJAg ZI ug 9ION 91 das 91 9191U25Source: Deutsche BankFigure 16: EM local bonds are rich compared to what is implied by cumulative flows. The richness is the most extreme since Sep-16.Source: Deutsche Bank, EPFR, Haver Analytics, B
14、loomberg Finance LPEM local bonds total return (TR) index vs TR implied by cum flows145.010.0135.0125.0115.0105.0Feb 16Sep 16Apr 17Dec 17Jul 18-10.0resid(rhs)bonds TR indeximplied by flowslse(rhs)| Figure 17: .the same is the case for EMFX, but the dislocation is even more extreme135.0130.0125.0120.
15、0115.0110.0105.0100.0135.0130.0125.0120.0115.0110.0105.0100.0EMFX total return index (TR) vs TR implied by cum flows135.06.0-6.0105.0Feb 16Sep 16Apr 17Dec 17Jul 1840.050.060.070.080.090.0100.0110.0120.0resid(rhs)FX TR Indeximplied by flowslse(rhs)Source: Deutsche Bank, EPFR, Haver Analytics, Bloombe
16、rg Finance LPDrausio Giacomelli, New York, 1 212 250 7355Christian Wietoska, London, +44(20)754-52424Jundong Zhang, London, +44(20)754-72056Ankit Jain, Mumbai, +91(22)6181-1634Latam StrategyLatAm rates strategy updateSummary Argentina: Following the sharp decrease in LELIQ rates, the BOPOM 20s have
17、become expensive vs. comparable Letes. Meanwhile, ARGDUO 20s have become more attractive thanks to the tightening of credit spreads and improved electoral outlook for the incumbent. Brazil: Our updated monetary policy path with CB staying on hold this year before normalizing rates in 2020 to 7.75% s
18、upports outright receiver in Jan 22. In addition, we expect the curve to continue to bull-flatten. Chile: We retain our view on the monetary policy path despite the lower than expected CPI print on Friday, but the hiking cycle will likely be more gradual than we previously expected. We nevertheless
19、close out our 3M2Y steepeners and long 10Y breakeven via BTU 30s vs.10Y CLP/CAM positions for now as near term dynamics are likely against the direction of these trades. Colombia: Market pricings of monetary policy path remain too aggressive in our view; we remain received at 3Y. In addition, we mai
20、ntain ASW spread tighteners via COLTES 30s vs. paying 10Y IBR swaps. Finally, on the COLTES curve, the 30s are the cheapest bonds at the long end of the cash curve. Mexico: Banxico decided to maintain policy rate at 8.25% and seems to be watching inflation dynamics carefully before taking next step.
21、 We believe the risks around fiscal policies in relation to Pemex also adds to the unpredictability of monetary policy stance going forward. Peru: We position for some additional flattening of the curve via 37s vs. 23s and see the 20s (currently yielding only 3%) as vulnerable ahead of expected hiki
22、ng cycle later this year.Argentina- ARGDUO 20s attractive, BOPOM 20s not so muchTwo weeks ago, we analyzed the BOPOM 20s and found valuation in the bonds was in-line with comparable fixed rate instruments. However, the narrative has changed following the unexpected, sharp drop in LELIQ rates over th
23、e past two weeks from 56.6% to 48.8%. Limited amount of LELIQ supplies have contributed to the decrease in the rate since the end of January, when the BCRA overachieved the monetary target. This has triggered a repricing of shorter end of the ARS curves. Where does the valuation of the BOPOMs compar
24、e with the fixed rate bonds now?Updating our model using analysts* forecasts from the BCRA surveys, the implied yields for the BOPOM 20s have dropped from 36.6% on January 24th to 32.3% under the median path (with a range of 27% to 38% if we use 10 percentile and 90percentile of the forecast path re
25、spectively) The latest survey was available on February 5 , since when the LELIQ rates has fallen another 2.5 ppt. In our analysis, we have applied a parallel shift to the LELIQ rate forecasts of the same amount. For comparison, the July 2020 Letes are yielding 37%, while the November 2020 BOTES are
26、 yielding around 29%.At these levels, it seems BOPOM 20s* valuation has moved to the expensive side relative to the fixed rate bonds, while on January 24th it was more or less in line. So the BOPOMs have lost their appeals and do not look attractive to us at the moment in light of the lowered expect
27、ations of the future LELIQ rates. Of course, situation could change and the LELIQ rates, which are endogenous to money supply, could rise again, but the chance for that is small in our view.DateMedianPercentile 90Percentile 10 1Feb-1950.3451.7647.54Mar-1948.3049.5444.52Apr-1945.6748.5441.44May-1944.
28、3448.0939.34Jun-1942.4447.7437.54Jul-1940.8747.5936.54Dec-1933.5439.3427.54Jun-2025.5831.2819.95Dec-2022.5428.1417.28POM Yield (annual)323%37.8%27.0%Figure 18: Analyst forecasts of policy rate path and implied BOPOM bond yieldsForecasted policy rate path and implied BOPOM bond yieldSource:Deutsche B
29、ank, BCRAFigure 19: BOPOM 20s are expensive vs. Letes-a- LETES -B- BOTES BOPOMSource: Deutsche Bank, Bloomberg Finance LPFigure 20: DUO 20s are looking more attractiveBondPrice1 ml yieldRef DiscountFairPxCheapnessARGDUO 19101.86.5%3.2%103.21.4ARGDUO 2096.710.0%6.9%99.73.0Source:Deut$che BankWhat abo
30、ut the DUOs? In our last update, we suggested that ARGDUO 19s offered a more attractive carry-oriented position than corresponding USD Letes. Prices of these bonds have not moved much since then, but there has been an important repricing of credit risk at 1Y horizon which help improve the attractive
31、ness of the ARGDUO 20s. Specifically, Argentinas 1Y CDS tightened by almost 70bp over the past two weeks, while ARGENT 21s tightened by 50bp. This repricing of medium term credit risk enables us to use a much lower discount rate (at 6.9%) for ARGDUO 20s cash flows, leading to a higher discount of th
32、e market from the fair price (almost 3pts).Part of the repricing at the shorter end of credit curve was due to lower political risk. Market liked it when former President CFK declared her candidacy for the presidential election. The confirmation of her entering the race helps ensure a polarized oppo
33、sition and solidify a CFK vs. Macri runoff as the central scenario for the elections, in which CFK will face the hurdle of high disapproval ratings, according to the political survey conducted by Elypsis. In addition, the announcement that the gubernatorial election of the Province of BAs would take
34、 place at the same time as the presidential election also enhanced the perceived chance of Macris reelection, according to political analysts, such as those at the Eurasia group. The improved electoral outlook for the incumbent has benefited intermediate sector of the credit curve, and should also h
35、elp alleviate any convertibility risk that the ARGDUO 20s are perceived to carry.We therefore turn more constructive on ARGDUO 20s, and recommend investors to go long on the bonds (entry: 96.7, target: 200, stop: 95).Brazil - Patient for longerIn its first BCB meetings of the year (Wednesday), the C
36、OPOM unanimously decided to maintain the Selic rate at 6.50%. The downside risks to Selic we have been highlighting for a long time have materialized faster than we expected in recent weeks, and we adjust our monetary policy call accordingly to reflect the latest data. We now think the central bank
37、will stay on hold this year before normalizing rates early in 2020. We forecast Selic at 6.5% this year while keeping 7.75% unchanged for the end of 2020.The current outlook still favors our Jan20ZJan22 FRA receiver, for which we maintain target at 7.6 (current level: 8.25, tightening stop to 8.5).
38、In addition, we argue that outright Jan22 receiver offers better value now (entry: 7.71 as of February 6th, current: 7.82, target: 6.80, stop: 7.95). Finally, if the central bank proceeds cautiously as we expect, the curve should continue to bull-flatten. See separate report Brazil - Patient for lon
39、ger in this MSF for details.Chile - Still on a gradual tightening path, but we close payersBCCh continued on a gradual rate hiking path with another 25bp rate hike on January 31st , bringing policy rate to 3%. The short end of the curve continues to price another 60bp of hikes till Dec20 (with a ter
40、minal rate of 3.5-3.75%), as compared to the guidance of 4.0-4.5% by mid-2020 by BCCh.Despite the lower than expected CPI print on Friday, we maintain our expectations of the BCCh hiking two more times this year and to 4% in 2020, although the path will likely be more gradual than previously expected.However, we close out our payer position via 3M2Y steepeners recommended la