巴黎银行-新兴市场-市场策略-巴西：从短期接受者身上获利，利润流向纳税人-2019071.pdf

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1、TRADEIDEA

2、EMPleaserefertoimportantinformationand10July2019MARdisclosuresattheendofthisreportEMSTRATEGYBrazil:Takeprofitsonshort-endreceivers;goingintopayersKEYMESSAGESCommentsAsourJul-20/Jan-22flattenerstrategyhasreachedThefrontendoftheBraziliancurvewastoosteeptobeth

3、eprojectedlevel,webelieveitistimetolockintrue,butnotanymore.profitsandexploreotheropportunities.WithourJul-20sJan-22sflattenerstrategyreachingtheWehavealsodecidedtoincreaseourJan-21sJan-25sprojectedlevel,webelieveitisnowtimetolockinprofitsflattenerpositioninDIcurve,w

4、hichisstill30bpawayandexploreotheropportunities.fromtarget.ThetradeaimsatgettingthemostoutofWehavealsodecidedtoincreasetheJan-21sJan-25sthelowercreditriskweprojectforBrazilandtheflattenerpositionintheDIcurve,whichisstill30bpawaysystemicglobalcompressionofrates,towhic

5、hthefromtarget.localcurveisnotimmune.AstheshortendofthecurveisnowtradingsubstantiallyWeseetheshortendofthecurvepricingforbelowourmodelsandthecallformonetarypolicyfromourperfectionwithamoreaggressiveeasingcyclethaneconomists,wearealsoenteringintoanoutrightpayerourmode

6、lsandeconomicsteamareprojecting(TablepositioninApril-20.1andFig.1).ThisiswhywearealsoenteringintoanStrategy:PayDIApril-20at5.61%;allocation:outrightpayerpositioninApril-20.USD15,000DV01;target:+30bpP&L;stoploss:15bpP&L.Strategy:CloseDIJul-20sJan-22sat34bpspreadwith

7、aLinks31bpprofit(USD711,000);allocation:USD20,000DV01Brazil:TargetreachedtoDIreceivers;strategyfromStrategy:IncreaseallocationinflattenerJan-21sJan-25snowontoUSD25,000DV01fromUSD15,000DV01at126bpBrazilDI-Toosteeptobetrue(targetandstopremainthesame);P&Lsofar:+30bp.Br

8、azil:DIreceiverstargetreached;keepreceivingTable1andFig.1:Itseemstoomuchintheshortend…CopomMeetingMeetingCumulativeBNPPCallBNPPCumulativeImpliedmonetarypolicy(rhs,bp)1510-Jul-190000BNPPExpectedmonetarypolicy(rhs,bp)31-Jul-19-40-4000Cummulativeimpliedmonetarypolicy(bp

9、)350BNPPCummulativeexpectedmonetarypoly(bp)18-Sep-19-31-70-25-251030-Oct-19-24-94-25-50-9Impliedmonetarypolicy011-Dec-19-14-108-25-