巴黎银行-新兴市场-投资策略-巴西：扩大我们现有的长期BRL-2019070.pdf

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1、TRADEIDEA

2、EMPleaserefertoimportantinformationand4July2019MARdisclosuresattheendofthisreportEMSTRATEGYBrazil:BulkingupourexistinglongBRLpositionCommentsKEYMESSAGESUSDBRLat3.80(spot)remainsanattractiveentrypoint(AsFig.1-2show,thegapbetweenmarketandWecurrentlyholda

3、longBRLpositionagainsttheEUR.ourshort-termfairvaluemodelisathighlevelswhileWhenweenteredtheposition,wehaddecidedtoourpositioningmonitorsshowthattheBRLisincreaseourallocationopportunisticallywithtime.oversold).Basedonthegapbetweenourshort-andlong-termWecurrentlyh

4、oldalongBRLpositionagainstthemodelsandourmoresupportivescenarioforEM,weEUR.WestartedwitharelativelysmallallocationofhavedecidedtoincreasetheallocationtoEUR37mnEUR10mn(seeBRL:seizinganopportunity).fromEUR27mn.Whenweenteredthetrade,wehaddecidedtoStrategy:Increases

5、hortEURBRLviaNDFat4.3345increasethelongBRLinventoryopportunistically.We(maturity:18-Sep-19,spotreference:4.2824);carryislaterincreasedthepositiontoEUR17mn(when41bppositivepermonth.Previousallocation:USDBRLhit3.90),thentoEUR27mn,andnowtoEUR27mn;newallocation:EUR3

6、7mn.EUR37mn.WealsooptedtofundthepositionwitheurosinorderOriginalentrypoint:4.47323AprilEUR10mntohaveahighercarry.Increase:4.54023MayEUR7mnIncrease:4.38219JuneEUR10mnToday:4.3345EUR10mnPnLsofar:+USD1.0mn;Carry:+41bppermonthFig.1-3:USDBRLagainstmodelvalueUSDBRLdif

7、ference(%)between18.3%USDBRL-224.3USDBRLpriceagainstfactor3.804.318%marketandmodel4.10modelbandsTermsoftradein3.7ModelBand3.7reverseorder(lhs)-1611%3.45Market3.1Modelcentral3.1-103.213%2.802.52.5-4-5%2.151.91.921.31.3-12%1.508Jun-09Mar-11Dec-12Sep-14Jun-16Mar-18

8、Jun-09Oct-11Feb-14Jun-16Oct-18Jun-09Oct-11Feb-14Jun-16Oct-18Sources:BloombergLLP,BNPParibas;asof4July2019SamuelCastro,EM/FX&IRLatinAmericaStrategyLucaMaia,EM/FX&IRLatinAmericaStrategyAndreDigiacomo,EM/FX&IRLatinAmericaStrategyGabrielGersztein,GlobalHeadofEmergin

9、gMarketsStrategy

10、BancoBNPParibasBrasilS.A.

11、TRADEIDEA04/07/20191LegalNoticeThisdocumenthasbeenwrittenbyourStrategistandEconomistteamswithintheBNPParibasgroupofcompanie