巴黎银行-新兴市场-投资策略-土耳其：破冰

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1、Turkey:BreakingbadPiotrChwiejczakThisFriday,USDTRYendedtheweekbelowlastweek’sclose.ThetrendofBNPParibasLondonBranchconsecutiveweeklydeclinesintheTRYhasbeenbroken.FX&IRCEEMEAStrategistHowever,wedonotthinkthatthedrawdownintheTRYwasbrokenforgood.Inourview,thepauseintheTRY’sdepreciationcanbeattribute

2、dtotheextremesteepeningSaiUlluriofthefrontendofthecross-currency(CCY)curve.IftheCBRTdoesnothikeratesBNPParibasLondonBranchsoon,investorswillnolongerbeabletobearthenegativeroll-downcost.FX&IRCEEMEAStrategistIfcarrydrops,thereisachanceofanotherwaveofstoplossesbeingtriggered.Toeliminatethatpossibilit

3、y,theCBRTneedstotightenliquidityforlonger,inourview.H.ErkinIşık,CFATurkEkonomiBankA.S.Trade:Receive3x6CCYFRAat13.52%,targeting13.00%,stop-loss13.70%.LongFX&IRCEEMEAStrategistUSDTRYat3.85,targeting3.95,stop-loss3.82Jumpingpremium,fallingmomentumInourpreviouspublications(Turkey:BurstofdependenceandT

4、urkey:Breakingthedependence),wediscussed–frombothamicroandamacroperspective–whathascausedlossesinlongTRYpositionsbeyondwhatanormaldistributionofreturnswouldsuggest.Wealsodiscussedwhatwouldbeneededtobreakthenegativemomentum–apositivereturnlargeenoughtorebuildconfidenceinthecurrencyandinflows.Pastepi

5、sodesoflargeTRYfallssuggestthatwhenadrawdownhasexceeded12%,a4%weeklyreturnisrequiredforthedrawdowntobebroken.Toachievethis,interventionofsomeformisrequiredthoughFXspotorFXforwards(viahigherforwardpremiumsdeliveredbyratehikes).Sincewepublishedoursecondpiece,on6November,TRYCCYrates,particularlythosea

6、roundthe3-month,haverisen.On26October,whichsawthelargestnegativeweeklyreturnontheTRYofthecurrency’scurrentdrawdown,3x6CCYFRAwasyielding12.25%.Now,afterafurther1.2%depreciationoftheTRY,the3x6CCYFRAisyielding13.52%,or125bpmore.Thejumpinfront-endyieldsisresponsibleforslowingtheTRY’sdownwardmomentum(Ch

7、arts1and2).Breakingbadforgood–notyet?However,wedon’tthinkthatthedownwardmomentumintheTRYhasfinallybeenbroken,fortworeasons:thefragilityoftheriseintheTRY’spremiumiftheCBRTfailstohikeratesandthefactthatTurkey