巴黎银行-新兴市场-外汇策略-南非兰特：战线拉长-2019070.pdf

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1、TRADEIDEA

2、CEEMEAPleaserefertoimportantinformationandMARdisclosuresattheendofthisreport5July2019EMERGINGMARKETSSTRATEGYSouthAfricaZAR:tacticallylongagainbetweenourfair-valuemodelsandmarketpricesindependentlyKEYMESSAGESofthedirection.SincewestartedcoveringSouthAfricainQ42018,o

3、urFXstrategyhasbeentosticktoourfactorandglobalriskpremiumAftertheZAR’srecentunderperformance,ourEM-BEERmodelmodels,aimingtoarbitrageanysubstantialdivergencewithshowsthatUSDZARis>5%aboveitstheoreticalshort-termfairmarketpricesindependentlyofthedirection.value.WeseeUSDZAR’ssho

4、rt-termfairvalueataround13.50.OurEM-BEERmodelsuggestsnowthatUSDZARisagain~5%Formoredetailssee:aboveitstheoreticalshort-termfairvalue.OurmodelputsEntrydateCloseDatePnLUSD'000USDZAR’sshort-termfairvalueatabout13.50.ShortUSDZARviaIMMFwd13-Jun-1919-Jun-194.0%317Thisexplainswhywe

5、justenteredintoatacticalshortEURZARShortUSDZARvia3mFwd8-Mar-1910-Apr-194.6%457maturity18September2019;entrypriceat16.2224(spotref:LongUSDZARvia3mFwd4-Dec-186-Dec-184.0%40115.9924);allocation:EUR8mn;initialtarget:4%(carryincluded);ShortUSDZARvia3mFwd5-Oct-1816-Oct-184.4%438st

6、oploss:3%(carryincluded).Carryis+0.58%permonth.Total1,613Therelativelylowallocationisexplainedonthestretchedlevelsofourglobalriskpremiummodel.SouthAfrica:TakeprofitsonlongZARpositionSouthAfrica-TakeprofitsonlongZARpositionThesetacticaltradesarepartofourmoreactive/higherCEEME

7、AFX;TakeprofitsonlongUSDZARstrategyfrequencystrategyfor2019.EMFX;TAKEPROFITSONLONGZARSTRATEGYRecapWehavebeenkeepingtrackofEMFXmarketsusingbothourshort-term(BEER)andourlong-term(FEER)models.Whileourriskpremiummodelislesssupportiveforaggressivepositions,weintendtoarbitrageanym

8、arkeddivergenceFig.1-3:USDZAR;marketvsBNPPEM-FXBEERmodelUSDZARpriceagainstfactormodelbands17.0Zoom-USDZARpriceagainstfactormodelbands17.0USDZARdifference(%)betweenmarketandmodelModelBand10%USDZARveryrich16.016.0MarketUSDZARveryrich5.7%ModelBand15.5Modelcentral15.5Market5%13.

9、5Modelcentral13.514.014.011.011.00%12.512.58.58.5-5%USDZARverycheapUSDZARve