《EMERGINGMARKETSFXROADMAP：ARESOLUTENEWYEAR0116.ppt》由会员分享，可在线阅读，更多相关《EMERGINGMARKETSFXROADMAP：ARESOLUTENEWYEAR0116.ppt（64页珍藏版）》请在三一办公上搜索。
1、,Currency StrategyEmerging MarketsEmerging MarketsFX RoadmapJanuary 2013 Issue 95View HSBC Global Research at:http:/*Employed by a non-US affiliate of HSBC Securities(USA)Inc,and is not registered/qualified pursuant to FINRA regulationsIssuer of report:HSBC Securities(USA)Inc.Disclaimer&DisclosuresT
2、his report must be read with thedisclosures and the analyst certificationsin the Disclosure appendix,and with theDisclaimer,which forms part of it,abcGlobal Research In LatAm,we offer a regional FX outlookreport;we remain constructive on theMXN despite the reform delays andargue the outlook for the
3、COP is good,but not great In Asia,we argue that PHP strength willcontinue while the IDR still facesdownside risks In EMEA,we highlight the decliningsensitivity to risk on/risk off(RORO)and argue that intervention policies andvaluations require a selective approachto investment decisionsA resolute ne
4、w yearEmerging market(EM)currencies have begun 2013 in goodcheer,with inflows to dedicated global EM funds in the firstfull week of the year equivalent to 1.3%of assets undermanagement,the highest figure in almost a year.However,we saw a similar pattern at the start of 2012 and itdidnt last much bey
5、ond January,so the question is willhistory repeat itself or can this rally be sustained?Certainlysome of the external risks we faced a year ago havemoderated,notably tail risks in Europe and China.Meanwhile,US fiscal and growth worries have also receded.Therefore,for now,we are broadly constructive
6、on theoutlook for EM currencies,albeit with certain caveats andexceptions.In this report,we offer regional overviews,where we outline those currencies we favor,those we areneutral on,and those we would avoid or even sell short.Our current outstanding trade recommendations includebeing long the CNY v
7、s the USD in the short term via NDFs,long the RUB vs the basket and short the SGD vs the THB.See page 3 for our latest thoughts on these trades,as well asa wrap up of our 2012 Model Portfolio performance,wherewe enjoyed total nominal returns of 28.4%on all ourrecommendations last year.,3,5,6,16,22,2
8、4,31,38,43,47,56,Currency StrategyEmerging MarketsJanuary 2013 Issue 95ContentsModel portfolio and traderecommendationsLatAm at a glanceLatAm FX:Raising the curtain on 2013Mexico:Delay of reforms a sensible strategyFX Strategy:MXN set to appreciate through 2013COP:Good,but not greatAsia at a glanceP
9、HP:Strength to strengthIDR:Back to the future?EMEA at a glanceEMEA FX:Local beats globalReal effective exchange ratesKey global economic and FXassumptionsCurrency reference tableEmerging markets FX strategybiographiesDisclosure appendixDisclaimer2,304254576263,abc,1,1,-,-,1,-,2,1,-,-,1,-,1,-,1,1,-,-
10、,1,-,1,-,1,1,-,-,2,-,1,-,1,1,-,-,1,-,1,1,-,-,1,-,1,-,1,1,-,-,1,-,1,-,1,1,-,-,1,-,1,-,1,1,-,-,1,-,1,-,Currency StrategyEmerging MarketsJanuary 2013 Issue 95Model portfolio and traderecommendations2012 EM trade recommendations,abc,Settle/,Forward Approx.Positive/Target/value date carry negative,Origin
11、al,TradeNotional,Profit/,Capital,Trade,Entrydate,Entrylevel,Stop Target Closing Stoplevel level Rate based on:,(where points per carry toappl.)day date,Status,Nomina Stop(ref.(USD orl P&L only)Scale equivalent),(Loss)(USDs),P&L At Risk CAR(bp)(USDs)(bps),Long TRY-ZARShort CZK-HUFShort CHF-SGD,5-Jan-
12、12 4.3300 4.2000 4.6000 4.20005-Jan-12 12.40 12.70 11.80 11.9510-Jan-12 1.3663 1.3940 1.3040 1.3940,SpotSpotSpot,N/AN/AN/A,0.00060.00080.00001,0.97%0.09%0.01%,S/L reached on 3/13/12Took profit on 1/19/2012S/L reached on 2/24/12,-2.03%3.86%-1.98%,4.2012.701.39,2,500,000(50,772.02)2,500,000 96,485.362
13、,500,000(49,479.91),-0.51%0.96%-0.49%,0.00%0.00%0.00%,Long PLN-RUBLong USD-CLP,10-Jan-12 9.0500 8.7500 9.6000 9.480013-Jan-12 504.85 488.00 528.00 488.00,Spot N/ANDF 19-Mar-12,-0.0001N/A,-0.16%Included,Took profit on 2/2/12S/L reached on 1/26/12,4.59%-3.34%,8.75488.00,2,500,000 114,659.715,000,000(1
14、66,881.25),1.15%-1.67%,0.00%0.00%,Long EUR-CZKLong TRY-JPY,19-Jan-1224-Jan-12,25.3042.35,24.65 26.6041.10 44.70,24.6544.05,SpotSpot,N/AN/A,-0.00090.0085,-0.18%0.33%,S/L reached on 3/09/12Took profit on 2/10/12,-2.75%4.34%,24.6541.10,2,500,000(68,793.14)2,500,000 108,555.10,-0.69%1.09%,0.00%0.00%,Sho
15、rt JPY-KRWLong EUR-RUBShort JPY-KRW,1-Feb-1221-Feb-122-Mar-12,14.7139.5013.80,14.35 13.5038.40 41.7014.15 13.00,13.8538.4013.70,Fwd/NDF 6-Mar-12Spot N/AFwd/NDF 6-Apr-12,N/A-0.0045N/A,Included-0.27%Included,MaturedS/L reached on 3/15/12Took profit on 3/13/12,6.21%-3.05%0.73%,15.1838.4014.15,2,500,000
16、 155,201.042,500,000(76,358.53)2,500,000 18,248.18,1.55%-0.76%0.18%,0.00%0.00%0.00%,Short PLN-HUF,14-Mar-12,70.50,72.10 67.50,67.90,Spot,N/A,0.002,0.15%,Took profit on 5/3/12,3.98%,72.10,2,500,000 99,410.90,0.99%,0.00%,Short USD-TRYShort JPY-KRW,22-Mar-12 1.8100 1.8500 1.7400 1.830013-Apr-12 14.035
17、14.300 13.250 14.300,Spot N/AFwd/NDF 17-May-12,0.0004N/A,1.20%Included,Closed on 5/16/12S/L reached on 05/09/12,0.11%-1.85%,72.1014.15,2,500,000 2,732.242,500,000(46,328.67),0.03%-0.46%,0.00%0.00%,Short RUB vs basket,23-Apr-12 33.680 32.800 35.400 35.400,Spot,N/A,-0.0060,-0.49%,T/P reached on 5/22/1
18、2,4.62%,38.40,5,000,000 230,768.15,2.31%,0.00%,Short USD-TWDLong PLN-CZKShort TWD-KRW,30-Apr-12 29.050 29.500 28.000 29.50016-May-12 5.8600 5.7400 6.1000 6.100011-Jun-12 39.2200 39.6000 37.7500 38.1800,NDF 3-Aug-12Spot N/ANDF 13-Jul-12,N/A0.0006N/A,Included0.40%Included,S/L reached on 5/16/12Took pr
19、ofit on 6/26/12Took profit on 7/12/12,-1.53%4.50%2.72%,14.1538.4014.15,2,500,000(38,135.59)2,500,000 112,471.052,500,000 68,098.48,-0.38%1.12%0.68%,0.00%0.00%0.00%,Long TRY vs,20-Jun-12 2.0350 2.0800 1.9500 2.0500,Spot,N/A,0.00038,1.33%,Closed on 08/31/12,0.60%,2.0800,2,500,000 15,073.17,0.15%,0.00%
20、,EUR/USD basket,Short SGD-MYRLong BRL-CLPLong EUR-PLNShort TWD-INRLong PLN-CZKShort TRY-RUBShort SGD-MYRShort PHP-KRWLong EUR-CZKLong USD-IDRLong BRL-CLPShort USD-INRShort TRY-RUBShort USD-ILSShort SGD-PHPShort USD-TWD,19-Jul-1219-Jul-1225-Jul-128-Aug-1231-Aug-127-Sep-1212-Sep-1213-Sep-1218-Sep-1219
21、-Sep-1219-Sep-1223-Oct-127-Nov-128-Nov-1223-Nov-1226-Nov-12,2.5125239.804.21001.84665.925017.652.510527.1224.659615232.6053.6017.653.900033.5129.01,2.5325235.004.13001.89005.795018.102.540027.4024.059615228.0054.5017.983.980033.8529.25,2.4500248.004.35001.76006.150016.752.450026.4025.809900240.0051.
22、2017.003.750032.7028.50,2.4995235.004.13001.87676.120017.242.503026.8325.159615228.0054.5017.003.750033.6229.05,NDFNDFSpotNDFSpotSpotNDFNDFSpotNDFNDFNDFSpotSpotNDFNDF,23-Aug-1224-Sep-12N/A10-Sep-12N/AN/A15-Oct-1217-Oct-12N/A21-Dec-1221-Dec-1229-Nov-12N/AN/A27-Dec-1228-Dec-12,N/AN/A-0.0006N/A0.00070.
23、00024N/AN/A0.0002N/AN/AN/A0.00020.0002N/AN/A,IncludedIncluded-0.03%Included0.46%0.02%IncludedIncluded0.07%IncludedIncludedIncluded0.07%0.20%IncludedIncluded,Closed on 08/30/12S/L reached on 8/9/12S/L reached on 7/27/12FixedT/P on 10/10/12T/P on 9/19/12Closed on 9/27/12Closed 10/10/12T/P on 12/20/12S
24、topped at entry 11/30/12S/L reached 11/22/12S/L reached on 11/5/12T/P reached on 12/27/12T/P reached on 12/18/12Closed on 12/21/12Closed on 12/21/12,0.52%-2.00%-1.93%-1.60%3.75%2.39%0.30%1.10%2.10%0.00%-1.98%-1.65%3.89%4.20%-0.33%-0.14%,2.5325235.004.131.895.795018.102.5427.4024.059464228.0054.5017.
25、983.9854.5054.50,2,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,0002,500,000,13,002.60(50,041.70)(48,190.87)(40,096.98)93,716.3959,872.397,491.0127,493.0152,558.85-(49,441.10)(41,284.40)97,357.98104,931.76(8,179.65)
26、(3,442.34),0.13%-0.50%-0.48%-0.40%0.94%0.60%0.07%0.27%0.53%0.00%-0.49%-0.41%0.97%1.05%-0.08%-0.03%,0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%,Total Nominal P&L:,28.4%,Total P&L on$10m capital:740,701.16 7.41%,CAR 0.00%,2013 EM Trade RecommendationsShort USD-CNY
27、1m 4-Jan-13 6.2975,6.2900 6.2400,6.2820,NDF,8-Feb-13,N/A,Included,Stop revised lower,0.25%,6.3200,2 5,000,000,12,336.84 0.12%,6,367 0.06%,NDFBuy RUB vs.basket 9-Jan-13,34.62,35.30,33.30,34.53,Spot,N/A,0.0050,0.07%,Open,0.33%,35.30,1 2,500,000,8,326.09 0.08%55,749 0.56%,Short PLN-HUF,9-Jan-13,70.90,7
28、1.90,68.90,71.90,Spot,N/A,0.0025,0.01%,S/L reached on 1/11/13,-1.38%,35.30,1 2,500,000(34,596.66)-0.35%,-0.00%,Short SGD-THB,11-Jan-13,24.76,25.08,24.00,24.67,Forward 2/15/2013,N/A,Included,Open,0.36%,25.08,1 2,500,000,9,120.39 0.09%41,548 0.42%,Total Nominal P&L:,-0.4%,Total P&L on$10m capital:,(4,
29、813.34)-0.05%,CAR 1.04%,Italics=Live TradesNotes:NDF currencies are traded using NDF dates,with target levels based on the outright forward for the value date of the trades.Deliverable currencies are traded spot and rolled daily,with positive/negative carry shown.Assumed capital under management=USD
30、10 million.Leverage scale:1=25%,2=50%,3=100%,4=150%,5=200%,6=250%Source:HSBC3,70%,60%,50%,40%,30%,20%,10%,Currency StrategyEmerging MarketsJanuary 2013 Issue 95,abc,Summary of 2012 tradesLast year,our EM FX trade recommendationsgained 28.4%on a nominal basis(see table abovefor individual trade detai
31、ls).Within our ModelPortfolio,where we scale our trades according toa notional USD10m in capital,our return oncapital was 7.4%.During the year in 2012,we put on 34 trades,withan average nominal gain of 0.83%(including anypositive or negative carry).Of these 34 trades,19were winners,14 were losing tr
32、ades and oneclosed flat.Over the life of our Model Portfolio(sinceJanuary 2005),our Sharpe Ratio is 0.75.Cumulative returns on our EM FX Model Portfolio0%Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13Source:HSBCCurrent open tradesShort USD-CNY 1m NDFThe NDF had been trading at a prem
33、ium versus theUSD-CNY fixing in recent weeks.There seem to beconsiderable pressures on the CNY to appreciate,asis seen by the onshore CNY and CNH spot ratessignificantly trading below the fixing.We expectthese pressures to continue through January onaccount of a seasonally strong trade balance.We be
34、lieve that FX policy will attempt to graduallynarrow the gap between the fixing and the spot ratethrough a mix of a lower fixing and relativelymoderate intervention.We have already seen this4,development to some extent with USD-CNY fixingdropping by 185 pips since the fixing on 4 January.A lower fix
35、ing should see the NDF trade lower,andwith positive annualized carry of 1.6%at present,webelieve this position offers good risk reward.Short SGD-THBWe think it will be difficult for the SGD to showtoo many signs of independent strength.By ourestimates,the SGD NEER is currently tradingaround 40 pips
36、away from the top of the tradingband.This,coupled with the SGDs relatively lowcarry,makes it a key candidate as a fundingcurrency in the region.For the THB,it should perform well in 2013.Thecurrent account surplus looks set to rebound furtheron the back of an improving trade surplus.Meanwhile,Q1 als
37、o sees,on average,less serviceand investment income outflows than other quarterswhich should help to boost the external balance.Wesell this currency pair in the 1m offshore DF,whereliquidity is at its deepest and the positive impliedcarry is around 1.5%annualized.Long RUB vs basketWe recommend buyin
38、g the RUB vs.the 0.55-0.45c EUR-USD basket.We believe that positivecurrent account seasonality in the first quarter of2013 will be strong enough to trigger RUBappreciation.Moreover,the capital flow dynamicsshould be more positive with the forthcomingRUB bond market euroclearability.That islikely to
39、reinforce the positive impact of strongercurrent account surplus on the RUB.Finally,weconsider that a long RUB position offers anattractive carry.,Clyde WardleSenior EM FX StrategistHSBC Securities(USA)Inc.+1 212 525 Murat ToprakEMEA FX StrategistHSBC Bank plc+44 20 7991 Paul MackelHead of Asian FX
40、ResearchThe Hongkong and ShanghaiBanking Corporation Limited+852 2996.hk,Currency StrategyEmerging MarketsJanuary 2013 Issue 95LatAm at a glance,abc,Currency,Three key points,Recommendation End 4Q 12 spot Risk to forecast,ARS,A more closed,centralised and regulated economy,tighter FX restrictions,an
41、d the uncertainty over,Long USD-ARS,5.22,ARS stronger,the foreign debt position are all contributing to a negative outlook for Argentine assets That said,we expect the central bank to maintain control over the currency and continue managingits nominal depreciation to maintain approximate real exchan
42、ge rate stability However,should inflation rise at a more rapid rate,a faster pace of nominal FX depreciation may bedeemed necessary,BRL,The BRL continues to be highly managed by authorities in order to limit volatility Despite efforts to strengthen the BRL in recent weeks(following the sharp Dec we
43、akness),we still,Long USD-BRL,2.15,BRL stronger,believe that,as the growth rebound disappoints,USD-BRL will be pushed higher during the yearWe dont see inflation pass-through via a weaker currency being considered a major concern,butrather growth being the primary focus,CLP,We expect the CLP to rema
44、in broadly stable within recent ranges based on a positive macro-economic picture in Chile(stronger growth,healthy fiscal balances and attractive rate differentials),Neutral USD-CLP,475,CLP stronger,We see two factors likely to limit CLP gains,and possibly result in a modestly weaker CLP duringthe c
45、ourse of the year These are the threat of central bank USD buying intervention should the CLP strength towards orbeyond 460/USD and the ongoing widening of the current account deficit,COP,The outlook for the COP remains well-supported by strong FDI inflows and the prospects for better,Neutral USD-CO
46、P,1,790,COP stronger,portfolio inflows following the lowering of taxes for foreign investments However,the threat of stepped-up intervention and anticipated further interest rate easing will limitthe room for COP gainsWe would look to sell USDs around the 1790-1800 area,MXN,We are biased to sell USD
47、-MXN based on a relatively strong macro-economic picture,an under-valued currency,prospects for structural reforms and the possibility that a new mechanism is put in,Short USD-MXN,12.60,MXN stronger,place to reduce the pace of FX reserves growth However,in the S-T the MXN may struggle to gain given,
48、a)the governments recent announcementthat reforms wont be presented until Sept,and b)positioning is currently very long MXNLook to use any USD bounces to buy MXN,PEN,Perus economy continues to pump along at a healthy pace,driven by strong domestic demand This has led to some deterioration in the cur
49、rent account deficit,but inward investment will amply,Short USD-PEN,2.56,PEN stronger,finance Perus needsWith a positive L-T growth and investment picture,and the ongoing de-dollarization process,weexpect the PEN to remain on a strengthening path,held back by moderate central bank intervention,UYU,W
50、e expect a stable Uruguayan peso against the US dollar in 2013Concerns about inflation should keep the authorities from reintroducing a policy of depreciation,Neutral USD-UYU,20.00,UYU stronger,even in the face of the continued appreciation of the UYU vs the BRLIndeed,the bias for the UYU is more li
