巴黎银行-南非-宏观经济-南非：利率滞后

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1、SouthAfrica:InterestrateslagbehindPiotrChwiejczakOverthepastmonth,theZARhasreturned8%,erasingthelossesofthepreviousBNPParibasLondonBranchtwomonthsandmakingitthebest-performingcurrencyamongliquidEMFX.InourFX&IRCEEMEAStrategistview,theFXpremiuminSouthAfrica

2、istoohigh,whichresultsinexceptionalreturnsinFX.ThankstolargeaccumulatedprofitsfromZARlongs,wethinkevenamarket-unfriendlyoutcometotheANCpartyconferencewouldbeunlikelytotriggeraplungeintheZAR.Trade:ReceiveZAR1y1yfwdat7.70,targeting7.20withastoplossat7.90.W

3、ewerestoppedoutofourlongUSDZARrecommendationat13.45,initiatedat13.74.ExceptionalFXperformanceThemainargumentbehindourrecommendationtogolongUSDZARwastheexceptionalperformanceofFX(pleaseseeSouthAfrica:TimetobuyUSDZARagain,dated1December).Inthepast,realisedZA

4、Rreturnsabove5.5%haveledtoatemporaryreversalofthetrend.Thistimearound,however,thereversalwasveryshallow.AtthebeginningofDecember,weeklyrealisedreturnsintheZARacceleratedto3%andthenstartedtoslowdown,brieflyturningnegativeearlythisweek(−1.5%).Thatnegativeper

5、formancelastedforonlytwodaysandledtoanimmediatepositivefeedbackloop.Overonemonth,thereturnofalongZARpositionreached8%,whichmeansthethree-monthreturnisnowflat.Therefore,allthelossescausedbytheQ32017correctionhavenowbeensquared.Asymmetricreactiontopoliticalc

6、hoicesThereisalargecushioninFXperformanceaheadoftheuncertainoutcomeoftheANCconference.Thiscouldleadtoanasymmetricmarketreaction,inourview.Ourargumentisthatintheeventofamarket-unfriendlyoutcome,theZARisunlikelytoplunge.Returnsaccumulatedoverthepastmonthgrea

7、tlyexceedtheimpliedmovementofFXprojectedfortheANCconference(around3.5%dailymovementinUSDZAR).Hence,investorsarelesslikelytobeputinasituationwheretheyarestoppedoutofpositionsandareforcedtoselltheZAR.Intheeventofamarket-friendlyconferenceoutcome,theZARwouldm

8、ostlikelystarttoappreciatefurtherwithUSDZARfallingtowardsthe13.00level.CurrencyappreciationwouldleadtoincreasinglytightfinancialconditionsinSouthAfrica,inasituationwhereinflationisbelowtheCPItarget,andlong-te