巴黎银行-新兴市场-宏观策略-巴西：定位强化了我们的积极观点

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1、EM/LATAMSTRATEGYPleaserefertoimportantinformationattheendofthereportBrazil:PositioningreinforcesourpositiveviewThisdocumenthasbeenproducedby:TheBrazilianrealhasfailedtocatchupwithothercurrenciesdespitetherecentBancoBNPParibasBrasilS.A.globalsell-off,andisstillfarfromJanuary’shighs.Toga

2、ugewhichfactorshavedriventhisperformance,wehaveupdatedourPCAGabrielGerszteinapproach;wehavealsoaddedtheindexoflocalmacrofundpositioning.HeadofFX&IRLatamStrategy&CommodityQuantStrategyNewresultsshowabreakbetweenUSD-andBRL-denominatedfixedincome+551138413421assets.Whileglobalfinancialcon

3、ditionsandriskpremium(appetite)remainthemostGustavoMendoncaimportantfactorsforUSD-denominatedassets,localhedgefundallocationshaveFX&IRLatamStrategyalsobeenakeydriverofBRL-denominatedassets.&CommodityQuantStrategy+551138413445Inthisregard,ourpositioningmodelsuggeststhat(i)localmacrofunds

4、arenotsubstantiallyallocatedinBRLanddomesticinterestrates;and(ii)theUSDBRLhasSamuelCastrobeenusedasaliquidhedgeoflate.FX&IRLatamStrategy&CommodityQuantStrategyShouldtherecentspikeinvolatilityease,furtherFXandIRappreciationlooksa+551138413492matterofwhen,notif,inourview;positioningalones

5、houlddriveupdomesticpricesupbackagain.Whatdidwefind?OurPCAframeworkmonitorstherelationshipsbetweenselecteddomesticassetsandsystemicmarketfactors(principalcomponents).AsTable1shows,theexplanatorypowerofthesecondprincipalcomponenthasincreasedconsiderablysinceJanuaryforlocalinterestrates,US

6、DBRL,andNTN-B2050(realrates)whileremainingstableandlowfor5yCDS,Cupomcambial(domesticUSDrates),andBrazilcorporateyields(USD-denominated).Table1:BrazilianfixedincomeassetsandthethreemainmarketcomponentsExplanatorypower(R2)Now1stMarket2ndMarket3rdMarketFactorFactorFactorSwapPRExDI5y4.5%76.1

7、%4.7%Currently,themovementsintheseUSD-BRL28.4%68.4%3.1%assetsaremostlyexplainedbytheBrazil5yCDS65.7%21.6%0.8%2ndmarketfactor.NTN-B20507.6%79.2%11.8%FRACupomJan2389.7%9.1%0.2%Thestatisticalpowerofthe1stBRCorpUSDyield82.5%0.7%5.5%marketcomponenthasdecreasedsizablyAverage46.