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1、,Currency StrategyEmerging MarketsEmerging MarketsFX RoadmapHorses for coursesOctober 2012 Issue 92View HSBC Global Research at:http:/Issuer of report:HSBC Securities(USA)Inc.Disclaimer&DisclosuresThis report must be read with thedisclosures and the analyst certificationsin the Disclosure appendix,a
2、nd with theDisclaimer,which forms part of it,ABcGlobal Research In LatAm,we upgrade our MXNforecasts based on reform hopes,update our positioning report and givebriefs on the PEN and VEF In Asia,we offer a regional FX viewbased on different global growthscenarios and present articles on theSGD and R
3、MB In EMEA,we argue for outperformanceof the ILS,discuss why the UAH is setfor devaluation and lay out reasons whyZAR weakness could be welcomedHorses for coursesWe wrote last month about Intervention tension in theemerging markets FX world,with a number of policymakers becoming concerned that ongoi
4、ng QE in the westwas leading to unwanted appreciation of their currencies.Many are intervening already,and others may join in.But notwithstanding these countries,others are taking adifferent approach,and there is certainly no one-size-fits-allpolicy out there.For example,the Monetary Authority ofSin
5、gapore has just reiterated its quite hawkish FX stance,maintaining the pace of appreciation of the SGD nominaleffective exchange rate band.In contrast,we believe Ukraineand Venezuela will soon impose devaluations of theirrespective currencies,and we discuss both of these countriesin more detail in t
6、his months report.The main takeaway is that FX policies in the EM world arebeing adjusted with differing objectives.Russia and Chinaare both seemingly allowing more FX flexibility,with theformer now incorporating a greater degree of inflation-targeting and a wider FX band,and the latter allowingmark
7、et forces to play a more prominent role in the FX rate.Given these differences,it is important for investors toascertain what policy makers objectives are.Many are stillconcerned about too much appreciation,others remaincomfortable with FX strength,while some may look todevalue soon.Horses for cours
8、es and this presents moreintra-regional trading opportunities despite the persistence ofrisk-on/risk-off(RORO).,57,3,5,6,12,14,18,28,31,37,40,51,Currency StrategyEmerging MarketsOctober 2012 Issue 92ContentsModel portfolio and traderecommendations,abcReal effective exchange ratesKey global economic
9、and FX,LatAm at a glanceMexico:Raising our MXN forecasts on reform hopesPeru:Countering inflowsVenezuela:More of the same under Chavez IVLatAm FX positions,assumptionsCurrency reference tableEmerging markets FX strategybiographies,646667,Asia at a glanceGood times,bad times,2122,Disclosure appendixD
10、isclaimer,7071,Singapore:Macro&StrategyChina:RMB powers on,but for how long?,EMEA at a glanceILS:Likely to outperform into 2013UAH:Looming devaluationZAR:Monetary policy is the only game in town2,36,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,Currency StrategyEmerging MarketsOctober 2012 Issue 92Model portf
11、olio and traderecommendations2012 EM trade recommendationsForward Approx.Positive/,Trade,abc,Trade,Entrydate,Entrylevel,Settle/Target/value date carry negativeStop Target Closing Stop(where points per carry tolevel level Rate based on:appl.)day date,Status,Original NotionalNominal Stop(ref.(USD orP&
12、L only)Scale equivalent),Profit/(Loss)(USDs),CapitalP&L At Risk CAR(bp)(USDs)(bps),Long TRY-ZARShort CZK-HUFShort CHF-SGDLong PLN-RUB,5-Jan-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 1.394010-Jan-12 9.0500 8.7500 9.6000 9.4800,SpotSpotSpotSpot,N/AN/A
13、N/AN/A,0.00060.00080.00001-0.0001,0.97%0.09%0.01%-0.16%,S/L reached on 3/13/12Took profit on 1/19/2012S/L reached on 2/24/12Took profit on 2/2/12,-2.03%3.86%-1.98%4.59%,4.2012.701.398.75,1 2,500,000(50,772.02)-0.51%1 2,500,000 96,485.36 0.96%1 2,500,000(49,479.91)-0.49%1 2,500,000 114,659.71 1.15%,0
14、.00%0.00%0.00%0.00%,Long USD-CLP,13-Jan-12 504.85 488.00 528.00 488.00,NDF 19-Mar-12,N/A,Included,S/L reached on 1/26/12,-3.34%,488.00,2 5,000,000(166,881.25)-1.67%,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
15、%,S/L reached on 3/09/12Took profit on 2/10/12,-2.75%4.34%,24.6541.10,1 2,500,000(68,793.14)-0.69%1 2,500,000 108,555.10 1.09%,0.00%0.00%,Short 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
16、 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%,15.1838.4014.15,1 2,500,000 155,201.04 1.55%1 2,500,000(76,358.53)-0.76%1 2,500,000 18,248.18 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%
17、,Took profit on 5/3/12,3.98%,72.10,1 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 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%,72.1014.15,1 2,500,000 2,7
18、32.24 0.03%1 2,500,000(46,328.67)-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 5/22/12,4.62%,38.40,2 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 5.74
19、00 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 profit on 6/26/12Took profit on 7/12/12,-1.53%4.50%2.72%,14.1538.4014.15,1 2,500,000(38,135.59)-0.38%1 2,500,000 112,471.05 1.12%1 2,500,000 68,09
20、8.48 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%,2.0800,1 2,500,000 15,073.17 0.15%,0.00%,EUR/USD basketShort SGD-MYRLong BRL-CLPLong EUR-PLNShort TWD-INRLong PLN-CZKShort TRY-RUBShort SGD-MYRShort PHP-KRW,19-Jul-1219-Jul-12
21、25-Jul-128-Aug-1231-Aug-127-Sep-1212-Sep-1213-Sep-12,2.5125239.804.21001.84665.925017.652.510527.12,2.5325235.004.13001.89005.795018.102.540027.40,2.4500248.004.35001.76006.150016.752.450026.40,2.4995235.004.13001.87676.120017.242.503026.83,NDFNDFSpotNDFSpotSpotNDFNDF,23-Aug-1224-Sep-12N/A10-Sep-12N
22、/AN/A15-Oct-1217-Oct-12,N/AN/A-0.00057N/A0.00070.00024N/AN/A,IncludedIncluded-0.03%Included0.46%0.02%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 10/10/12,0.52%-2.00%-1.93%-1.60%3.75%2.39%0.30%1.10%,2.5325235.
23、004.131.895.795018.102.5427.40,1 2,500,0001 2,500,0001 2,500,0001 2,500,0001 2,500,0001 2,500,0001 2,500,0001 2,500,000,13,002.60(50,041.70)(48,190.87)(40,096.98)93,716.3959,872.397,491.0127,493.01,0.13%-0.50%-0.48%-0.40%0.94%0.60%0.07%0.27%,-0.00%-0.00%-0.00%-0.00%-0.00%-0.00%-0.00%-0.00%,Long EUR-
24、CZKLong USD-IDRLong BRL-CLP,18-Sep-1219-Sep-1219-Sep-12,24.659615232.60,24.059615228.00,25.809900240.00,24.889663231.30,SpotNDFNDF,N/A21-Dec-1221-Dec-12,0.0002N/AN/A,0.02%IncludedIncluded,OpenOpen(stop raised to entry)Open,0.96%0.50%-0.56%,24.059464228.00,1 2,500,0001 2,500,0001 2,500,000,23,909.371
25、2,480.50(13,972.48),0.24%83,400 0.83%0.12%12,419 0.12%-0.14%35,668 0.36%,Total Nominal P&L:,23.1%,Total P&L on$10m capital:,610,617.47,6.11%,CAR 1.31%,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.
26、Deliverable currencies are traded spot and rolled daily,with positive/negative carry shown.Assumed capital under management=USD10 million.Leverage scale:1=25%,2=50%,3=100%,4=150%,5=200%,6=250%Source:HSBC,RecapYear to date,our Model Portfolio is up 23.1%ona nominal basis with a 6.1%return on capital.
27、TheSharpe Ratio over the life of the Portfolio hasrisen to 0.75 over its seven year history.We have recently closed our short SGD-MYR,short PHP-KRW and long PLN-CZK trades for acombined nominal total profit of 5.1%(see table).These regional cross trades have worked well inan environment where broade
28、r EM vs the USDmoves have not been forthcoming.They alsoprovide some protection against RORO.,Current open tradesLong EUR-CZKWe have taken profit on our long PLN-CZK positionbut we stay long EUR-CZK.We continue toconsider that the CZK should be weaker.Theeconomy is in a deep recession and the zero i
29、nterestrate policy offers limited stimulus as the fiscal policyis very tight and the external demand is weakening.The currency is too strong in such circumstances.The central bank has signalled that it may intervenein the FX market to weaken the CZK.Therefore,webelieve that there is a good risk-rewa
30、rd in being longEUR-CZK,particularly with almost no cost of 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 ResearchThe Hongkong and ShanghaiBanking Corporation Limited+852 2996.hk3,Curren
31、cy StrategyEmerging MarketsOctober 2012 Issue 92Long USD-IDRIDR has been one of our least favourite currenciesin the region for some time.In our view,theongoing deterioration in the current accountdeficit is likely to persist as:(1)commodity pricesglobally still remain weak,and(2)there areongoing pr
32、ess reports of commodity mines inIndonesia closing due to losses.Into Q4,weestimate Indonesia will also face dividendrepatriations of about USD1-1.5bn.Thecombination of dividend outflows and a wideningcurrent account deficit would suggest USDliquidity is likely to remain tight,putting upwardpressure
33、 on USD-IDR.Intervention activitiesfrom BI are also likely to pare back followingrecent comments by the BI governor suggestingthat IDR should weaken to help narrow thecurrent account deficit.We recently moved the stop on this trade to entryin order to manage the risk appropriately.4,Long BRL-CLPUSD-
34、BRL remains comfortably range-bound andwe expect it to remain so.Meanwhile,USD-CLPis oscillating between 470-475 along with broaderRORO moves.We still believe that the downsideof this range will be harder to breach given therisk of fresh intervention from the central bank,while the medium-term outlo
35、ok for the CLPseems moderately bearish based on a deterioratingcurrent account and a likely narrowing of interestrate differentials.We therefore remain long theBRL vs the CLP.,abc,Currency StrategyEmerging MarketsOctober 2012 Issue 92LatAm at a glance,abc,Currency,Three key points,Recommendation End
36、-4Q spot,Risk to forecast,ARS,We expect FX controls to continue to tighten and to effectively supress dollar demand While this policy is unsustainable in the medium term,for the time being we think it will keep FX,Neutral USD-ARS,5.00,ARS weaker,markets stable.We continue to expect a gradual pace of
37、 devaluation.The normalization of the NDF curve from stressed levels leaves few trading opportunities available,in our view.,BRL,BRL vols reached historical lows as BCB intervenes to keep USD-BRL inside a 2.02-2.04 range We dont see room for capital gains in BRL,but the low volatility coupled with s
38、till attractive interest,Neutral USD-BRL,2.00,BRL weaker,rate differentials make us look at the carry of long BRL positions favourably for strategic plays Increase in long BRL positions over the last month reflects interest in carry trades is back,CLP,The perceived risk of intervention has served to
39、 keep CLP from trading past 470/USD.,Long USD-CLP,490,CLP stronger,We agree that the risk is near and also point to a deterioration of the current account as reason toremain defensive the CLPWe thus prefer to play CLP defensively here and recommend selling it against the BRL.,COP,USD-COP continues t
40、o trade around the 1,800/USD level on risk of heightened intervention,Neutral USD-COP,1,770,COP weaker,FX inflows remain very strong,however,as evidenced by the high USD balances among localbanks,which in turn is helping to keep dollar rates depressed,boosting the COPs carryWe like the risk-reward i
41、n being long COP above 1,800/USD and look for opportunities to buy onspikes and position for positive seasonality in 1Q13,MXN,We have recently upgraded our MXN forecasts,and now see the currency at 12.15 at the end of,Short USD-MXN,12.80,MXN stronger,2013 We like MXN medium-term on cheap valuations,
42、a positive outlook for the structural reforms,solidmacro outlook,and low intervention risksHowever,we recognize that crowded positioning in the local bond and FX markets remain,leavingthe currency exposed to profit-taking or risk aversion on external shocks,PEN,We cant argue against PEN fundamentals
43、,but in the short term,we find it expensive and at risk of,Short USD-PEN,2.60,PEN stronger,new intervention announcements The government is examining increasing the limits on local pension funds to invest abroad and weexpect an announcement on this in the near term We also think that PEN appreciatio
44、n should slow down going forward,UYU,The surprise hike by the BCU has lifted the UYU,which rallied back to break the psychological,Neutral USD-UYU,21.00,UYU stronger,20.00/USD level in recent days We think that near-term inflation pressures in 4Q12 will make the authorities more tolerant of someUYU
45、strength However,competitiveness concerns remain and we think that below 20.00/USD the BCU will bemore likely to intervene again to restore a stable FX,VEF,President Chavez was re-elected by a comfortable margin on 7 October.In general,we expect acontinuation of macro-economic policies,Neutral USD-V
46、EF,4.30,VEF weaker,In terms of FX policy,we expect another one-off devaluation to follow after the regional elections inDecember and are penciling in a move towards 6.50/USD We also expect the government to maintain a segmented FX market,and to try to shield the poorestsegments of the population fro
47、m the inflationary impacts of a devaluation.This implies more upsiderisks for the financial Sitme rate,in our view.Source:HSBC5,Currency StrategyEmerging MarketsOctober 2012 Issue 92Mexico:Raising ourMXN forecasts on reformhopes Mexicos long-term outlook has improved on recent developments These inc
48、lude an optimistic outlook for structural reforms,fresh oildiscoveries,and possible ratings upgrades We revise our MXN forecasts stronger,but recognize that aresurgence of stresses in Europe remains a threat,abc,This is an excerpt from LatAm FX Focus:RaisingMXN forecasts on reform hopes,11 October 2
49、012.A series of positive developments have improvedthe long-term outlook for the Mexican peso(MXN).These include a smooth political transitionfollowing recent elections,with an accompanyingimproved outlook for structural reforms,orpossible sovereign ratings upgrades should these,However,we recognize
50、 that the currency stillfaces risks,particularly with respect to Europeand US politics and the fiscal cliff.Long MXNpositioning in both the FX and bond markets mayalso pose some headwinds.As a result of these considerations,we haverevised our USD-MXN forecasts to reflect animproved outlook for the c
