巴黎銀行-新興市場-宏觀策略-新興市場著眼于系統(tǒng)因素，展望未來-20190624-9頁

1、|TRADEIDEA250620191FOCUS|EM24June2019EM:LookatsystemicfactsseethefutureKEYMESSAGESOurPCAmonitshowsthattherallyinEMlocalcurrencyratessovereigncredithasbeendrivenalmostentirelybysystemicfces.UScpatecredit2yearUSrealratesth

2、emeltdownoftheUSEuropean5y10yrateshavebeenthemostimptantdriversourmodelsshow.Animptantobservationisthatsystemicdynamicsprevail.NiypercentoftheweeklyvariabilityofEMlocalcurrencyratessovereigncreditisexplainedbythefirsttwo

3、commonlatentfacts.Althoughthesourcesofvariabilitymaychangeamongcountriestheresultsshowthattheseassetsmoveinasynchronisedmanner.AsexpectedthecountrywiththemostidiosyncraticcomponenthasbeenTurkey.Weexpectstructurallylowerr

4、ealinterestratesintheUStobodewellfEM.Ceterisparibuswecontinuetoseelowsystemicriskftheassetclassgoingfward.Wereinfceourbullishcallfemergingmarkets.PleaserefertoimptantinfmationattheendofthisreptEMSTRATEGYGabrielGerszteinG

5、lobalHeadofEmergingMarketsStrategy|BancoBNPParibasBrasilPrincipalcomponentfEM–howitwksWeanalysetherelationshipsbetweenasetofemergingmarket(EM)sovereigncreditexternalcommonfactsbyusingPrincipalComponentAnalysis(PCA).Thisa

6、pproachhelpsustocategisethefactsthathavebeendrivingthevariabilityinEMIRsovereigncredit.Fwardlookingscenarioscanthenbeconstructedfthesedriverstoassessthetheeticalmarketimpactofsuddenchangesintheirtrends.Weuseatwostepproce

7、dure.Thefirststepistoextractthetwomostimptantcommonlatentfactsfromthesedataseries.Inthesecondwecalculatethecovariancebetween(a)thesefacts(b)potentialexplanatyvariables.Ourapproachusesa35weeklyrollingwindowtocalculatethep

8、rincipalcomponentsfromabasketofEMsovereigncredit.Thisbasketincludesthe5yCDSofthemostrelevantliquidEMs:BrazilMexicoColombiaSouthAfricaTurkeyIndonesiaRussiaChilePhilippinesMalaysiaArgentina.Finterestratesthebasketincludest

9、he5ylocalcurrencyswapratefromsomeofthemostrelevantEMcountries:BrazilMexicoColombiaSouthAfricaTurkeyIndonesiaSouthKeaThailMalaysia.WehavenotincludedChinaIndiaduethehighidiosyncrasiesofthesemarkets–theideawastousesystemicc

10、ommonfactsnotdomesticones.MainstrategiesinplaceStructuralweakUSdollarviewexpressedthroughlongCZKPLNagainstUSDlongBRLHUFCLPCOPagainstEUR(totalallocationofUSD85mn).FlatteninginBrazil(DIJan22sJuly20sJan21sJan25stotalallocat

11、ion:USD35000DV01)inMexicoTIIE5y10swithanallocationofUSD25000DV01).Receiving10yratesinCzechRepublic2yratesinMexicousinglocalcurrencyswaps(totalallocation:USD25000DV01).TacticalpayinglocalcurrencyratesinbothColombia(5yIBR)

12、Chile(1yCLPxCAM)withatotalallocationofUSD22000DV01.SellprotectioninRussiaTurkeyvia5yCDS(totalallocation:USD40mnUSD13mnrespectively)edthematicpublicationsEM:FedinsuranceEMenduranceEMFlows:SlightreversalinMayEMStrategy:Und

13、erstingthetransmissionchannelsonlocalyieldsLinktoourpiecefromQ32018:EMStrategy:Thewstisover|FOCUS250620193AccdingtoourcalculationsthelongtermimpactofUScpatecreditondifferentEMUSDsovereignquasisovereignnamesisrelativelylo

14、wyettheresultsshowthatEMsarenotinsensitivetonegativeshocksfromUScpatesintheshtterm.AnycrediteventnegativenewsflowsfromUScpatecredithasthepotentialtoimpactEMsovereigncreditpremium(mostlyinspeculativegradenames).Likewiseth

15、erecentrallyinUScpatecredithasbodedwellfEMsovereigncredit(Fig.4).ThefinancialtransmissionmechanismNegativelowinterestrateshaveoccurredontwooccasionssincethe200809globalfinancialcrisisperiodsthatcoincidedwithstrongflowsth

16、eoutperfmanceofEMfixedincomeassets.Aconstantquestionregardingexchangeratedetermination(USdollarflows)iswhethertousenominalrealratedifferentialsAtatheeticallevelrealratesarewhatmatterinourviewasweassumethatafundamentalext

17、ernalfactfemergingmarketsisthelendingofUSdollarsoutsidetheUSwhichisdirectlylinkedtothedomesticlevelofrealinterestrates.Investscanlookthroughthelossofpurchasingpowercreatedbyinflationsoexchangeratestendtohoveraroundrealra

18、tenotnominaldifferentials.Inadditionrealratesmattermostwhenexplainingcurrencymoves(financialflows)inthemediumlongterm.IntermsoftheuseofshtlongterminterestratestheFederalReservetheIMFsuggestfocusingonlongertermratesnow.Ac

19、cdingtoastudybytheBankofInternationalSettlementscentralbanksinmostemergingmarketshavelimitedabilitytoinfluencethelongterminterestrateintheirowncurrencies.ThedirectinfluenceofchangesintheirpolicyraterelativetothatoftheFed

20、eralReserveissmall.Ariseinthefederalfundsrate(otherinterestratesbeingconstant)hasamuchsmallerdirecteffectthanoftenassumed.A100bpincreaseinthefederalfundsrateaddsdirectlyonly7bptolongtermratesoverseas(BISwkingpaper:Lowlon

21、gterminterestratesasaglobalphenomenonPeterHrdahlJhuveshSobrunPhilipTurnerAugust2016).Onaveragesince2005a100bpriseintheUS10yearyieldisassociatedwithan80bpriseintheyieldsinotherbondmarkets–swampingtheeffectsofchangesinshtt

22、ermrates.EMsovereigncreditEMSTRATEGYFig.4:EMhardcurrencyyieldGabrielGerszteinGlobalHeadofEmergingMarketsStrategy|BancoBNPParibasBrasilSources:BloombergBNPParibasasof24June20196.516.244.065.092.84.35.87.38.810.32011201220

23、1320142015201620172018EMUSDunhedged|LatamUSCpateHYEMUSDunhedged|AsiaEMUSDunhedged|EMEAHardCurrencyIRegionSources:BloombergBNPParibasasof24June2019USlongtermyieldscanbebrokendownintotwoelements:(i)theaverageofexpectedfutu

24、reshttermrates(ii)atermpremium.Thetermpremiumseemstomattermefinternationalcrelationsthantheaverageofexpectedfutureshtratesthisisparticularlytruefemergingmarkets.AsFig.5showstherehasbeenastrongcomovementbetweenlongtermUSr

25、ealinterestratesEMsovereigncredit(benchmarkedbytheEMBIGyieldunhedged).Fig.5:USrealratesEMcreditSources:BloombergMacrobondBNPParibasasof24June20194.55.36.16.97.750050100150Jul12Nov13Mar15Jul16Nov17Mar19LTUSrealrates(inbp)