巴黎银行-新兴市场-外汇策略-哥伦比亚：锁定空头EURCOP的利润-2019070.pdf

《巴黎银行-新兴市场-外汇策略-哥伦比亚：锁定空头EURCOP的利润-2019070.pdf》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、TRADEIDEA

2、EMPleaserefertoimportantinformation,2July2019MARDisclosureattheendofthisreportEMSTRATEGYColombia:LockinprofitsonshortEURCOPKEYMESSAGESRecapThiswasashort-termtradeideabasedontwopillars:Thistradewasbasedontwopillars:(a)ourEM-FXBEERmodel,whichfa

3、ctoredinthedivergencebetweenTheBNPParibasEM-FXBEERmodel,whichfactoredcrudeoilpricesandtheperformanceofthepeso;(b)ourinthedivergencebetweencrudeoilpricesandthepositioningmonitor,whichshowedthattheCOPwastheperformanceofthepeso;andmostoversoldcurrencyinL

4、atam.TheBNPParibaspositioningmonitor,whichsignalledWhileourmodelsuggeststhatthereis1.2%forfurthertheCOPwasthemostoversoldcurrencyinLatam.convergence,wewouldlockinprofitsatcurrentlevels.Thetradewasalsopartofourshort-termstrategies.TheCOPhasperformederr

5、atically,evenamidmore-AlthoughwehaveasupportivestructuralviewonEMsinsupportiveenergyprices.2019,ourstrategyaimstoarbitrageanysubstantialStrategy:CloseshortEURCOPviaNDFat3,653divergencebetweenourfair-valuemodelsandmarket(maturity:18September2019);P&L:+2

6、.7%.pricesindependentlyofthedirection.TheEM-FXBEERmodelforUSDCOPpointstofairvalueofaround3,160intheshortterm(Figures1and2).Forfurtherdetails:Colombia:LongCOPatoversoldlevelsFig.1-2:EM-FXBEERmodelandmarketpriceUSDCOPpriceagainstFVmodelbandsUSDCOPdiffere

7、nce(%)betweenUSDCOPREER(multilateral)3,5003,500marketandmodel15%OilSpot(rhs)1083,0003,0001308%961002,5002,5000%8470ModelBand1.2%2,000Market2,000-8%72Modelcentral401,5001,500-15%601020122013201420152016201720182009201120122014201520172018200420072009201

8、220152018Sources:Bloomberg,BNPParibas;asof1July2019GabrielGersztein,GlobalHeadofEmergingMarketsStrategyLucaMaia,EmergingMarkets/LATAMStrategistSamuelMonteirodeCastroNetoEmergingMarkets/LATAMStrategyAndreDigiacomo,EmergingMarkets/LATAMStrategist02/07/20

9、19

10、TRADEIDEA1LegalNoticeThisdocumenthasbeenwrittenbyourStrategistandEconomistteamswithintheBNPParibasgroupofcompanies(collectively“BNPP”);itdoesnotpurporttobeanexhaustiveanalysis,andmaybesubjecttoconflictsofinterestresultingfromtheirint