巴黎银行-新兴市场-外汇策略-南非兰特：战线拉长-20190705-6页.pdf

1 Gabriel Gersztein,Global Head of Emerging Markets Strategy Luca Maia Emerging Markets/LATAM Strategy Burak Baskurt,Emerging Markets/CEEMEA Strategist Shaun Daly,Emerging Markets/CEEMEA Strategist|FOCUS05/07/19 TRADE IDEA South Africa ZAR:tactically long again KEY MESSAGES Since we started covering South Africa in Q4 2018,our FX strategy has been to stick to our factor and global risk premium models,aiming to arbitrage any substantial divergence with market prices independently of the direction.Our EM-BEER model suggests now that USDZAR is again 5%above its theoretical short-term fair value.Our model puts USDZARs short-term fair value at about 13.50.This explains why we just entered into a tactical short EURZAR maturity 18 September 2019;entry price at 16.2224(spot ref:15.9924);allocation:EUR8mn;initial target:4%(carry included);stop loss:3%(carry included).Carry is+0.58%per month.The relatively low allocation is explained on the stretched levels of our global risk premium model.These tactical trades are part of our more active/higher frequency strategy for 2019.Recap We have been keeping track of EM FX markets using both our short-term(BEER)and our long-term(FEER)models.While our risk premium model is less supportive for aggressive positions,we intend to arbitrage any marked divergence between our fair-value models and market prices independently of the direction.After the ZARs recent underperformance,our EM-BEER model shows that USDZAR is 5%above its theoretical short-term fair value.We see USDZARs short-term fair value at around 13.50.For more details see:South Africa:Take profits on long ZAR position South Africa-Take profits on long ZAR position CEEMEA FX;Take profits on long USDZAR strategy EM FX;TAKE PROFITS ON LONG ZAR STRATEGY Fig.1-3:USDZAR;market vs BNPP EM-FX BEER model Sources:Bloomberg LLP,BNP Paribas;as of 05 July 2019Entry dateClose DatePnLUSD 000Short USDZAR via IMM Fwd13-Jun-1919-Jun-194.0%317Short USDZAR via 3m Fwd8-Mar-1910-Apr-194.6%457Long USDZAR via 3m Fwd4-Dec-186-Dec-184.0%401Short USDZAR via 3m Fwd5-Oct-1816-Oct-184.4%438Total1,6136.08.511.013.516.06.08.511.013.516.0201120122014201520172018Model BandMarketModel centralUSDZAR price against factor model bands5.7%-10%-5%0%5%10%20112013201520172019USDZAR difference(%)between market and modelUSDZAR very richUSDZAR very cheap11.012.514.015.517.011.012.514.015.517.0Feb-17Aug-17Feb-18Aug-18Feb-19Model BandMarketModel centralZoom-USDZAR price against factor model bandsUSDZAR very cheapUSDZAR very richTRADE IDEA|CEEMEA 5 July 2019 EMERGING MARKETS STRATEGY Please refer to important information and MAR disclosures at the end of this report LEGAL NOTICE This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting from their interaction with sales and trading which could affect the objectivity of this 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