全球新兴市场策略——新兴市场策略

CITI'S TAKE Luis E Costa, CFAAC+44-20-7986-9757luis.costa@citi.com We believe high-yielding emerging markets can remain resilient despiterising US real yields and a stronger USD. Many EM central banks havemaintained less dovish policies than anticipated, supporting high real rates,while simultaneously building substantial FX reserves. This environmentcreates selective opportunities, and we are initiating a few trades in thisbackdrop. We recommend receiving 2y2y HUF as we expect a more front-loaded easing cycle from the NBH. We also initiate a long in TURKGB Oct-27s, viewing it as a summer carry trade with potential for rates to move lowerwith CPI relief. Additionally, we are positioning for downside in USDZAR via6m digi put and are long BRL against a basket of EUR and AUD, based on Bhumika GuptaAC+44-20-7986-5933bhumika1.gupta@citi.com Ivan Riveros,CFAAC+1-212-723-0865ivan.riveros@citi.com Laura Bobbio+44-20750-87794laura.bobbio@citi.com Receiving HUF 2y2y —We are back in HUF receivers trade as the NBH perceivesroom for back-to-back cuts near term and as the credit improvement narrative,underpinned by progress on EU fund disbursements and a gradually improving fiscaltrajectory. continues to attract strong interest from both hedge funds and real Long TURKGB Oct-27s —We see this trade as effectively a carry trade over summerwith some potential for downside in rates as the CBT is likely to move to restart thenormalization of domestic rates from the July meeting. We are also encouraged bythe fact that domestic activity is subdued as measured by different indicators, whichshould ideally support the disinflation path along with softer energy prices against a Downside USDZAR via 6m digi put —In South Africa, we are now positioning fordownside USDZAR via 6m digital put, with a 16.0 strike. Fundamentally, wecontinue to like the currency given disciplined fiscal, ongoing reforms in SOEs, andrecovering inflows from offshore into the bond curve. Combined with the favorablecarry and lower oil prices implying a recovery in terms of trade, the exchange rate is Short EURBRL and AUDBRL —Late last week we implemented our BRL long vs abasket of EUR and AUD short in conjunction with our DM FX strategy team here. Pricing as of 12 noon BST, 29 June 2026. See our 12m trade history here. See Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliations. We have been discussing the potential effects of rising US real yields in globalmacro risk for the past weeks.Despite expectations of a more dovish influence onthe Fed’s monetary policy stance, investors are still lacking evidence of a short-term generalized dovish bias at board level. In the meantime, both hard and softdata economic surprise indices have seen some upside over the past months(despite the oil supply shocks stemming from the Middle East conflict). The AtlantaFed GDPNow model suggests a Q2 estimate at c.3%, and core inflation gaugesremain relatively high if compared to the Fed’s official inflation targets. Mostimportantly, in terms of macro regimes, if markets are indeed in a longer period ofexpansion in productivity, we think it would be fair to imagine an upside bias in USreal yields. Sustained productivity gains tend to form expectations of higher This current macro backdrop still suggests resilience in the real rate valuationamong high-yielding EM, which could produce downside EUR-EM FX in selectedsituations.A few factors support this assumption: Firstly, central banks in EMhave, in general, delivered a less dovish monetary policy over the past quarters, ifcompared to what was expected. There are several reasons behind it, and it goesbeyond the oil shocks from the past three months. In Brazil, for instance, still tight longevity in the already highly elevated nominal and real yields. In Figure 7 below,we compare ex-ante real policy rates (according to our Citi forecast) in Q4 this yearvs the projected real policy rates around mid-2027. In Brazil, for example, ex-antereal policy rates are projected to expand by 70bp to 9.87%. TRY, MXN, and COPalso stand out with sizable final real policy rates in 2027. Secondly, following astrong renaissance in local currency investing, EM central banks have built a Receiving HUF 2y2y We are now back into 2y2y HUF receivers. It is now trading at 4.45%. We areplacing a stop at 4.75%, target at 3.85%. Size is $16k Dv01. In Central Europe,Hungarian rates and FX are by a wide margin the most actively positioned marketsacross our client conversations. The credit improvement narrative, underpinned byprogress on EU fund disbursements and a gradually improving fiscal trajectory,continues to attract strong interest from both hedge funds and real moneyinvestors. Some profit-taking by real money accounts has emerged more recently,which has contributed to a modest additional leg higher in USDHUF. However, thisshould be read as healthy position management rather than a fundamental shift in In t