巴黎银行-新兴市场-宏观策略-土耳其：为更不稳定的情况调整分配-0322-7页.pdf
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1
22/
03/19
|
TRADE IDEAS
T
urkey: Adjusting the allocation for a more volatile scenario
KEY MESSAGES
Str
ategy 1: Close long TRY against a basket of USD and
EUR (50%-50%) at 6.639 and 6.398 (forward price; maturity
of 20 April 2019); P&L: +1.85%.
Strategy 2: We are also closing the position in 10y TRY
Xccy swap receiver (maturity: 19 March 2029 at 15.41%);
P&L: -30bp.
Strategy 3: We decided to keep the position of short 5y CDS
in relative value against SOAF 5y CDS.
We continue to work with a bullish scenario for EMs, so we
see this correction more as an opportunity to add risk rather
than the start of a bearish trend.
Li
nks:
1. Trade Ideas: Turkey Bond Positioning
2. C
EEMEA | Long South Africa CDS vs sell
pr
otection in Turkey
3. C
EEMEA FX | Turkey - Tactical long TRY
Str
ategy
Our strategy for 2019 and how to navigate an environment of
higher volatility and end of cycle
We have entered 2019 more tactically. We define a tactical
strategy as a combination of higher frequency stance and
taking the most out of relative value and directional
strategies when asymmetric payout opportunities appears.
Structurally, as long as global growth deceleration is smooth,
the backdrop will remain supportive for EMs. Why? Rates will
remain relatively stable in advanced economies and the
world shouldn’t enter into a recession (which usually triggers
sell-offs in risk assets).
Thus, we identify four potential risk events: (a) falling angels
in US Corporate HY, (b) break in US-China negotiation, (c)
sharp and fast global deceleration (recession; in this regard
weak Germany manufacturing PMI is a dangerous precedent
going forward), and (d) Argentina.
Recap
Turkish Central Bank currently runs one of the historically
tightest monetary policy frameworks with an ex-post real
yield of ~4%. BNP Paribas economists continue to expect
the first rate cut to happen in June. So, this created a
supportive environment for TRY carry positions.
The rebalancing in the current account deficit and seasonally
lower external debt redemptions of private financial sector
(main roll-over risk for balance of payments) were supportive
factors for the currency during the Q1 2019.
Also, our fair value model was pointing to a 4% cheapness of
TRY against USD and EUR.
Even though we still think that TRY carry is still appealing,
we intend to close our tactical long trade as we enter into
seasonally less supportive balance of payments backdrop
and positioning will be an important drag ahead of the
upcoming local elections.
R
eserves
The reserve number of CBRT yesterday printed a significant
fall both in net and gross terms. Net reserves fall from $32.5
to $28.6.
CBRT has been accumulating reserves through EXIMBANK
loans (loans given to exporters in TRY and collecting
repayments in hard currency).
On the other hand CBRT is selling FX direct to natural gas
company Botas as its revenues in TRY and payments in
USD.
Long TRY positions have increased by almost USD 10bn
after the CBRT meeting in January. Part of that is being
unwound, more than offsetting the carry attractiveness.
We continue to work with a bullish scenario for EMs, so we
see this correction more as an opportunity to add risk rather
than the start of a bearish trend.
TRADE IDEA | CEEMEA
22 March 2019
P
lease refer to important information and
MAR disclosures
at the end of this report
EM STRATEGY
B
urak Baskurt
, E
merging Markets/CEEMEA Strategy
G
abriel Gersztein
G
lobal Head of Emerging Markets Strategy
,
S
amuel Castro
, E
merging Markets/Latam Strategy
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