2y2y and 2y1y that the selloff would be largest (75-85bp
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FX & EM 2017 Year Ahead | 16 November 2016
equivalent to 17bp of yield. We target a PNL of
and the BoJ defending its JGB yield target. We do
partly financed with a 150bp-wide 3m30y strangle
USDCNH calls are attractive in our view. A stronger USD adds pressure to
we think vol and skew have room to reprice higher compared to the repricing
vol is cheap vs rates and the skew the least expensive in that sector.
we see room for the belly of the curve to reprice to the dots. 2y1y should
and the credit remains a solid BB+ fundamentally
we think Eurobonds provide the best risk/reward as the rating is a
monetary policy or moral suasion of the banks.
politics calm down by the referendum which may also reduce the need
and the news flow suggests a referendum by April/May. In a
US rates volatility is harmful for countries like Turkey that have funded
we believe it is worth noting that Turkish
FX & EM 2017 Year Ahead | 16 November 2016
perhaps tighter monetary policy and some protectionist’s measures.
based on our Compass valuation model. The model provides
stop 6.75). The trade benefits from valuation