巴黎银行-新兴市场-外汇策略-巴西雷亚尔：万一我们的模型是正确的呢？-2019071.pdf

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1、TRADEIDEA

2、EMPleaserefertoimportantinformationand11July2019MARdisclosuresattheendofthisreportEMSTRATEGYBRL:Whatifourmodelsproveright?CommentsKEYMESSAGESBNPP-EMBEERmodelsuggestsafairvaluebelow3.25forUSDBRL,whileourstructuralFEERapproachWecurrentlyholdashortE

3、URBRLposition(allocationofpointstoalong-termequilibriumlevelof3.30.EUR37mn;P&Lsofar+USD1.55mn).OursuggestiontostartbuildingalongBRLinventoryThemainreasonwhywerecommendedthissubstantialwasbasedonthegapbetweenmarketandourallocationwasthegapbetweenmarketandou

4、rbothBEERmodelsvalues(Fig.1-2;seeBRL:seizinganandFEERmodelvalues.Bothofthempointtoafairvalueopportunity).ofUSDBRLwellbelow3.50.Whenweenteredthetrade,wehaddecidedtoStructurally,weworkwithascenarioofweakerUSdollarincreasethepositionopportunistically.againstE

5、Mcurrencies,goingforward.WhatifthemarketfinallyconvergestoourmodelGranted,thepossibilityofastructuralbreakinourmodelsvalues?Factoringprosandconsintoourscenario,weisavalidcounter-argument,speciallybecausetheyarebelievethatthefollowingoptionstructurealsooffe

6、rsgenerallyobservedwithalag.Furthermore,theendoftheanattractiverisk-reward:strongUSdollarcyclecouldtakemorethanwhatwethink.BuyUSDBRLputspread3.55-3.45andsellUSDBRLWhatifthemarketfinallyconvergestoourmodelvalues?callspread3.9625-4.05atzerocost.Maturity9m;Fa

7、ctoringprosandconsintoourscenario,webelievethatAllocation:USD40mneachleg;Spotreference:3.745.thefollowingoptionstructurealsooffersanattractiverisk-Forpayoutscenarios,pleaseseethenextpage.reward:Strategy:BuyUSDBRLputspread3.55-3.45andsellUSDBRLcallspread3.9

8、625-4.05atzerocost.Maturity:9m;Allocation:USD40mneachleg;Spotreference:3.745.Fig.1-3:BNPP-EMBEER;USDBRLagainstmodelvalueUSDBRLdifference(%)between4.3USDBRLpriceagainstfactor4.318%marketandmodel16.2%4.10USDBRL-22modelbands3.74Termsoftradein3.7ModelBand3.7re

9、verseorder(lhs)-1611%3.45Market3.1Modelcentral3.1-103.223%2.802.52.5-4-5%2.151.91.921.31.3-12%1.508Jun-09Mar-11Dec-12Sep-14Jun-16Mar-18Jun-09Oct-11Feb-14Jun-16Oct-18Jun-09Oct-11Feb-14Jun-16Oct-18Sources:Bloom