1、Samuel Castro,EM/FX&IR Latin America Strategy Luca Maia,EM/FX&IR Latin America Strategy Andre Digiacomo,EM/FX&IR Latin America Strategy Gabriel Gersztein,Global Head of Emerging Markets Strategy|Banco BNP Paribas Brasil S.A.03/06/19|TRADE IDEASBrazil:DI receivers target reached;keep receivingKEY MES
2、SAGES We recently took partial profit on our USD30,000 DV01 DI FRA Jan-22s23s receiver position by closing half of the amount for a 75bp profit and keeping the balance in our portfolio.The current external environment is conducive to receive rates in select EM countries,in our view.This is why we ke
3、pt half of the position despite the big rally in local rates.With global rates declining,we see the external scenario as supportive for receiving rates.The UST 10y and the US 5y5y forward real rates are close to the deepest level seen since September 2017.We expect high yielders with good fundamenta
4、ls to benefit in the current scenario.In Brazil,we are also positioned in a DI Jan21s25s flattener due to a substantial divergence between the UST 2y6y and Brazil DI 2y6y slopes.Strategy:Since we have reached our target for our remaining allocation in the DI FRA Jan-22s23s receiver position,we have
5、decided to close USD5,000 DV01 of the position at 8.50 and extend the remaining for a target of 8.20.Closed allocation USD5,000 DV01;current allocation USD10,000 DV01.PnL so far is+104bp or USD USD2.9mn.Comments We believe that the current external environment is conducive to receive rates in select
6、 EM countries.High yielders with good fundamentals are likely to benefit from the current scenario.Countries like Brazil and Mexico are even more compelling as they have more premiums embedded in the curve(Fig.3).With global rates declining,we see the external scenario as supportive for receiving ra
7、tes.The UST 10y and the US 5y5y forward real rates are close to their lowest levels seen since September 2017.We expect high yielders with good fundamentals to benefit from the current scenario.Currently,our biggest allocation is in local currency rates is in Brazil and Mexico.Complementary analysis
8、:Brazil DI-Too steep to be true Brazil:Non-residents return,another month of inflows Brazil:Target reached to DI receivers;strategy from now on Brazil-Reducing rates position Brazil:FX portfolio changes Fig.1-2:Brazil DI 1x3y slope vs UST 1x3y slope;Brazil DI 5y spread over Germany 5y and UST 5y Sou
9、rces:Bloomberg LLP,BNP Paribas.-0.400.40.81.2-1.5-0.50.51.52.5Jan-10Jul-11Jan-13Jul-14Jan-16Jul-17Jan-19Brazil DI 1x3y slopeUST 1x3y slope(rhs)5.58.511.514.517.5Jan-10Jul-11Jan-13Jul-14Jan-16Jul-17Jan-19Brazil 5y DI spread over Germany 5yBrazil 5y DI spread over UST 5yTRADE IDEA|EM 03 June 2019 Plea
10、se refer to important information and MAR disclosures at the end of this reportEM STRATEGY 1 Samuel Castro,EM/FX&IR Latin America Strategy Luca Maia,EM/FX&IR Latin America Strategy Andre Digiacomo,EM/FX&IR Latin America Strategy Gabriel Gersztein,Global Head of Emerging Markets Strategy|Banco BNP Pa
11、ribas Brasil S.A.03/06/19|TRADE IDEASFig.3:Implied monetary policy in the next three years Sources:Bloomberg LLP,BNP Paribas.We used the data between 2010 and 2013 for the 5y tenor in the Brazilian DI and UST to check its impact on Brazilian local rates.We found evidence affirming that UST 5y grange
12、r causes DI 5y for up to three months at 5%significance.To measure UST impact on the DI,we also applied a-10bp impulse response shock on UST 5y,in order to measure its effect on the 5y DI in the following months.All coefficients were statistically significant at 5%.The results are shown below.Fig.4-
13、5:Impulse response between UST 5y and Brazil DI 5y Sources:Bloomberg LLP,BNP Paribas.Listed below is our Brazilian rates trades since 2017:LATAMRateEffectiveBasis 3m6m12m2y3y3m6m12m2y3yColombia4.254.1-0.144.24.34.45.05.4-371370118Mexico8.258.50.268.38.27.87.37.20-9-47-98-103Chile3.003.00.002.82.72.6
14、2.83.2-16-32-39-1622Brazil6.506.4-0.106.46.15.98.19.0-14-41-58156250CEEMEARateEffectiveBasis 3m6m12m2y3y3m6m12m2y3ySouth Africa6.757.10.376.66.56.56.77.1-14-26-25-436Poland1.501.70.221.51.51.51.51.700-2419Czech Repuplic2.002.20.192.01.91.71.51.4-4-12-28-53-64Hungary0.900.2-0.711.01.11.41.82.21025478
15、7133Russia7.758.20.487.57.46.97.47.7-22-36-83-36-7ASIARateEffectiveBasis 3m6m12m2y3y3m6m12m2y3yKorea1.751.80.071.61.51.41.31.3-14-22-34-42-44Thailand1.751.80.011.71.71.71.71.8-4-10-7-59China2.552.5-0.052.62.72.72.82.9811142340Malaysia3.003.50.463.03.03.03.03.1-3-5-407G10RateEffectiveBasis 3m6m12m2y3
16、y3m6m12m2y3yUnited States2.382.40.022.21.91.61.41.6-15-43-78-94-82Eurozone-0.40-0.40.04-0.4-0.4-0.5-0.4-0.3-1-4-9-111Canada1.751.80.031.71.61.41.31.4-5-13-36-41-40United Kingdom0.750.7-0.040.70.70.70.70.80-2-4-33Japan-0.06-0.10.00-0.1-0.1-0.1-0.2-0.2-1-3-5-11-10Sweden-0.250.00.26-0.3-0.3-0.2-0.10.0-
17、2-141328Australia1.501.50.001.00.90.80.81.0-54-64-69-69-54New Zealand1.501.50.001.31.21.11.11.3-17-31-38-38-21-47-98-103-58156250-82-150-50501502503500816243240ColombiaMexicoChileBrazilUSAMonths-332872-82-100-60-2020601000816243240LatamCEEMEA Ex-TurkeyAsia Ex-JapanG10USAMonthsEqually weighted-15-25-
18、32-44-60-45-30-150147101316Cumulative impact of a-10bp shock in UST 5yon Brazil DI 5y-15-10-20-15-10-50147101316Instant impact of a-10bp shock in UST 5yon Brazil DI 5yTrades in placeEntry datePnLUSD 000Receive Brazil DI Jan22sJan23s FRA30-Jan-19+104 bp1,086Closed Trades(since 2017)Entry dateClose da
19、tePnLUSD 000Closed Trades(since 2017)Entry dateClose datePnLUSD 000Receive Brazil DI Jan22sJan23s FRA30-Jan-193-Jun-19+104 bp543Receive Brazil DI Jan-198-Nov-1712-Dec-17+28 bp750Receive Brazil DI Jan22sJan23s FRA30-Jan-1929-May-19+75 bp1,145Receive Brazil DI Jan-2528-Aug-1721-Sep-17+57 bp481Receive
20、Brazil DI Jan22sJan23s FRA30-Jan-1916-May-19+7 bp137Flattening Brazil DI Jan20sJan21s29-May-1717-Jul-17-3 bp20Flattening Brazil DI Jan22sJan25s30-Oct-1830-Jan-19-5 bp(224)Receive Brazil DI Jan1930-May-1717-Jul-17+80 bp2,942Receive Brazil DI Jan-2519-Oct-1829-Oct-18+53 bp553Receive Brazil DI Jan1819-
21、May-1726-May-17+60 bp2,795Receive Brazil DI Jan20sJan21s FRA7-May-1816-Oct-18+98 bp2,504Receive Brazil DI Jan207-Apr-1723-May-17-120 bp(1,591)Receive Brazil DI Jan22sJan23s FRA7-Jun-188-Oct-18+212 bp2,697Flattening Brazil DI Jan18sJan20s13-Jan-1726-Apr-17-71 bp(555)Receive Brazil DI Jan-254-Apr-1830
22、-May-18-179 bp(2,199)Receive Brazil DI Jan236-Dec-1626-Jan-17+137 bp2,977Receive Brazil DI Jan20sJan21s FRA17-Jul-1727-Apr-18+81 bp4,143Receive Brazil DI Jan2510-Nov-169-Jan-17+61 bp987Receive Brazil DI Jan-235-Oct-1712-Jan-18+36 bp383Total19,5702 This document has been written by our Strategist and
23、 Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting from their interaction with sales and trading which could affect the objectivity of this report.This document is non-i
24、ndependent research for the purpose of the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),non-independent research constitutes a marketing communication.This document is not investment research for the purposes of
25、MiFID II.It has not been prepared in accordance with legal requirements designed to provide the independence of investment research,and is not subject to any prohibition on dealing ahead of the dissemination of investment research.The content in this document/communication may also contain“Research”
26、as defined under the MiFID II unbundling rules.If the document/communication contains Research,it is intended for those firms who are either in scope of the MiFID II unbundling rules and have signed up to one of the BNPP Global Markets Research packages,or firms that are out of scope of the MiFID II
27、 unbundling rules and therefore not required to pay for Research under MiFID II.Please note that it is your firms responsibility to ensure that you do not view or use the Research content in this document if your firm has not signed up to one of the BNPP Global Markets Research packages,except where
28、 your firm is out of scope of the MiFID II unbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP Paribas This document constitutes a marketing communication and has been prepared by BNPP for,and is directed at,(a)Professional Clients and Eligible Counterparties as defined
29、 by the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),and(b)where relevant,persons who have professional experience in matters relating to investments falling within Article 19(5)of the Financial Services and Markets Act 2000(Financial Promotion)Order 2005,and at other pers
30、ons to whom it may lawfully be communicated(together“Relevant Persons”)under the regulations of any relevant jurisdiction.Any investment or investment activity to which this document relates is available only to and will be engaged in only with Relevant Persons.Any person who is not a Relevant Perso
31、n should not act or rely on this document or its content.Securities described herein may not be eligible for sale in all jurisdictions or to certain categories of investors.The information and opinions contained in this document have been obtained from,or are based on,public sources believed to be r
32、eliable,but there is no guarantee of the accuracy,completeness or fitness for any particular purpose of such information and such information may not have been independently verified by BNPP or by any person.None of BNPP,any of its subsidiary undertakings or affiliates or its members,directors,offic
33、ers,agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty,express or implied,as to the accuracy and completeness of the information or any opinions based thereon and contained in this document and it should not be relied upon as such.This docu
34、ment does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument,nor shall it or any part of it nor the fact of its distribution form the basis of,or be relied on,in connection with any contract or investment decision
35、.To the extent that any transaction is subsequently entered into between the recipient and BNPP,such transaction will be entered into upon such terms as may be agreed by the parties in the relevant documentation.Information and opinions contained in this document are published for the information of
36、 recipients,but are not to be relied upon as authoritative or taken in substitution for the exercise of judgment by any recipient,are subject to change without notice and not intended to provide the sole basis of any evaluation of the instruments discussed herein.In providing this document,BNPP does
37、 not offer investment,financial,legal,tax or any other type of advice to,nor has any fiduciary duties towards,recipients.Any reference to past performance is not indicative of future performance,which may be better or worse than prior results.Any hypothetical,past performance simulations are the res
38、ult of estimates made by BNPP,as of a given moment,on the basis of parameters,market conditions,and historical data selected by BNPP,and should not be used as guidance,in any way,of future performance.To the fullest extent permitted by law,no BNPP group company accepts any liability whatsoever(inclu
39、ding in negligence)for any direct or consequential loss arising from any use of or reliance on material contained in this document even where advised of the possibility of such losses.All estimates and opinions included in this document are made as of the date of this document.Unless otherwise indic
40、ated in this document there is no intention to update this document.BNPP may make a market in,or may,as principal or agent,buy or sell securities of any issuer or person mentioned in this document or derivatives thereon.Prices,yields and other similar information included in this document are includ
41、ed for information purposes however numerous factors will affect market pricing at any particular time,such information may be subject to rapid change and there is no certainty that transactions could be executed at any specified price.BNPP may have a financial interest in any issuer or person menti
42、oned in this document,including a long or short position in their securities and/or options,futures or other derivative instruments based thereon,or vice versa.BNPP,including its officers and employees may serve or have served as an officer,director or in an advisory capacity for any person mentione
43、d in this document.BNPP may,from time to time,solicit,perform or have performed investment banking,underwriting or other services(including acting as adviser,manager,underwriter or lender)within the last 12 months for any person referred to in this document.BNPP may be a party to an agreement with a
44、ny person relating to the production of this document.BNPP may to the extent permitted by law,have acted upon or used the information contained herein,or the analysis on which it was based,before the document was published.BNPP may receive or intend to seek compensation for investment banking servic
45、es in the next three months from or in relation to any person mentioned in this document.Any person mentioned in this document may have been provided with relevant sections of this document prior to its publication in order to verify its factual accuracy.This document is for information purposes onl
46、y and there is no assurance that a transaction(s)will be entered into on such indicative terms.Any indicative price(s)contained herein have been prepared in good faith in accordance with BNPPs own internal models and calculation methods and/or are based on or use available price sources where consid
47、ered relevant.Indicative price(s)based on different models or assumptions may yield different results.Numerous factors may affect the price(s),which may or may not be taken into account.Therefore,these indicative price(s)may vary significantly from indicative price(s)obtained from other sources or m
48、arket participants.BNPP expressly disclaims any responsibility for the accuracy or completeness of its own internal models or calculation methods,the accuracy or reliability of any price sources used,any errors or omissions in computing or disseminating these indicative price(s),and for any use you
49、make of the price(s)provided.The indicative price(s)do not represent(i)the actual terms on which a new transaction could be entered into,(ii)the actual terms on which any existing transactions could be unwound,(iii)the calculation or estimate of an amount that would be payable following an early ter
50、mination of the transactions or(iv)the price(s)given to the transactions by BNPP in its own books of account for financial reporting,credit or risk management purposes.As an investment bank with a wide range of activities,BNPP may face conflicts of interest,which are resolved under applicable legal
