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本文(巴黎银行-新兴市场-外汇策略-哥伦比亚:锁定空头EURCOP的利润-20190702-6页.pdf)为本站会员(a****2)主动上传,蜗牛文库仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。 若此文所含内容侵犯了您的版权或隐私,请立即通知蜗牛文库(发送邮件至admin@wnwk.com或直接QQ联系客服),我们立即给予删除!

巴黎银行-新兴市场-外汇策略-哥伦比亚:锁定空头EURCOP的利润-20190702-6页.pdf

1、|TRADE IDEA02/07/20191TRADE IDEA|EM2 July 2019Colombia:Lock in profits on short EURCOPKEY MESSAGESThis trade was based on two pillars:(a)our EM-FX BEER model,which factored in the divergence between crude oil prices and the performance of the peso;(b)our positioning monitor,which showed that the COP

2、 was the most oversold currency in Latam.While our model suggests that there is 1.2%for further convergence,we would lock in profits at current levels.The COP has performed erratically,even amid more-supportive energy prices.Strategy:Close short EURCOP via NDF at 3,653(maturity:18 September 2019);P&

3、L:+2.7%.Please refer to important information,MAR Disclosure at the end of this reportEM STRATEGYRecapThis was a short-term trade idea based on two pillars:The BNP Paribas EM-FX BEER model,which factoredin the divergence between crude oil prices and theperformance of the peso;andThe BNP Paribas posi

4、tioning monitor,which signalledthe COP was the most oversold currency in Latam.The trade was also part of our short-term strategies.Although we have a supportive structural view on EMs in2019,our strategy aims to arbitrage any substantialdivergence between our fair-value models and marketprices inde

5、pendently of the direction.The EM-FX BEER model for USDCOP points to fair valueof around 3,160 in the short term(Figures 1 and 2).For further details:Colombia:Long COP at oversold levelsFig.1-2:EM-FX BEER model and market priceSources:Bloomberg,BNP Paribas;as of 1 July 2019Gabriel Gersztein,Global H

6、ead of Emerging Markets StrategyLuca Maia,Emerging Markets/LATAM StrategistSamuel Monteiro de Castro Neto Emerging Markets/LATAM StrategyAndre Digiacomo,Emerging Markets/LATAM Strategist1,5002,0002,5003,0003,5001,5002,0002,5003,0003,5002012201320142015201620172018Model BandMarketModel centralUSDCOP

7、price against FV model bands1.2%-15%-8%0%8%15%2009201120122014201520172018USDCOP difference(%)between market and model10407010013060728496108200420072009201220152018USDCOP REER(multilateral)Oil Spot(rhs)Legal NoticeThis document has been written by our Strategist and Economist teams within the BNP P

8、aribas group of companies(collectively“BNPP”);itdoes not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting from their interaction with sales and tradingwhich could affect the objectivity of this report.This document is non-independent research for the purpose

9、 of the UK Financial ConductAuthority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),non-independent researchconstitutes a marketing communication.This document is not investment research for the purposes of MiFID II.It has not been prepared ina

10、ccordance with legal requirements designed to provide the independence of investment research,and is not subject to any prohibition ondealing ahead of the dissemination of investment research.The content in this document/communication may also contain“Research”as defined under the MiFID II unbundlin

11、g rules.If thedocument/communication contains Research,it is intended for those firms who are either in scope of the MiFID II unbundling rules and havesigned up to one of the BNPP Global Markets Research packages,or firms that are out of scope of the MiFID II unbundling rules and thereforenot requir

12、ed to pay for Research under MiFID II.Please note that it is your firms responsibility to ensure that you do not view or use theResearch content in this document if your firm has not signed up to one of the BNPP Global Markets Research packages,except where your firmis out of scope of the MiFID II u

13、nbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP ParibasThis document constitutes a marketing communication and has been prepared by BNPP for,and is directed at,(a)Professional Clients and EligibleCounterparties as defined by the recast Markets in Financial Instrument

14、s Directive(2014/65/EU)(MiFID II),and(b)where relevant,persons who haveprofessional 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 persons to whom it may lawfully be communicated(tog

15、ether“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 whois not a Relevant Person should not act or rely on this document or its

16、 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 reliable,but there is noguarantee of the accuracy

17、,completeness or fitness for any particular purpose of such information and such information may not have been independentlyverified by BNPP or by any person.None of BNPP,any of its subsidiary undertakings or affiliates or its members,directors,officers,agents or employeesaccepts any responsibility

18、or liability whatsoever or makes any representation or warranty,express or implied,as to the accuracy and completeness of theinformation or any opinions based thereon and contained in this document and it should not be relied upon as such.This document does not constitute or form any part of any off

19、er to sell or issue and is not a solicitation of any offer to purchase any financial instrument,norshall 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.To the extentthat any transaction is subsequently en

20、tered into between the recipient and BNPP,such transaction will be entered into upon such terms as may be agreedby the parties in the relevant documentation.Information and opinions contained in this document are published for the information of recipients,but are not to be relied upon as authoritat

21、ive or taken insubstitution for the exercise of judgment by any recipient,are subject to change without notice and not intended to provide the sole basis of any evaluationof the instruments discussed herein.In providing this document,BNPP does not offer investment,financial,legal,tax or any other ty

22、pe of advice to,nor hasany fiduciary duties towards,recipients.Any reference to past performance is not indicative of future performance,which may be better or worse than priorresults.Any hypothetical,past performance simulations are the result of estimates made by BNPP,as of a given moment,on the b

23、asis 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 extentpermitted by law,no BNPP group company accepts any liability whatsoever(including in negligence)for any direct or consequential loss aris

24、ing from anyuse of or reliance on material contained in this document even where advised of the possibility of such losses.All estimates and opinions included in thisdocument are made as of the date of this document.Unless otherwise indicated in this document there is no intention to update this doc

25、ument.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 included for information purposes however numerous factors will affe

26、ct marketpricing at any particular time,such information may be subject to rapid change and there is no certainty that transactions could be executed at any specifiedprice.BNPP may have a financial interest in any issuer or person mentioned in this document,including a long or short position in thei

27、r 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 mentioned in this document.BNPP may,from time to time,solicit,perform or

28、 have performed investmentbanking,underwriting or other services(including acting as adviser,manager,underwriter or lender)within the last 12 months for any person referred to inthis document.BNPP may be a party to an agreement with any person relating to the production of this document.BNPP may to

29、the extent permitted bylaw,have acted upon or used the information contained herein,or the analysis on which it was based,before the document was published.BNPP mayreceive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentio

30、ned in thisdocument.Any person mentioned in this document may have been provided with relevant sections of this document prior to its publication in order to verifyits factual accuracy.This document is for information purposes only and there is no assurance that a transaction(s)will be entered into

31、on such indicative terms.Any indicativeprice(s)contained herein have been prepared in good faith in accordance with BNPPs own internal models and calculation methods and/or are based on oruse available price sources where considered relevant.Indicative price(s)based on different models or assumption

32、s may yield different results.Numerousfactors may affect the price(s),which may or may not be taken into account.Therefore,these indicative price(s)may vary significantly from indicativeprice(s)obtained from other sources or market participants.BNPP expressly disclaims any responsibility for the acc

33、uracy or completeness of its owninternal models or calculation methods,the accuracy or reliability of any price sources used,any errors or omissions in computing or disseminating theseindicative price(s),and for any use you make of the price(s)provided.The indicative price(s)do not represent(i)the a

34、ctual terms on which a newtransaction could be entered into,(ii)the actual terms on which any existing transactions could be unwound,(iii)the calculation or estimate of an amountthat would be payable following an early termination of the transactions or(iv)the price(s)given to the transactions by BN

35、PP in its own books of account forfinancial reporting,credit or risk management purposes.As an investment bank with a wide range of activities,BNPP may face conflicts of interest,whichare resolved under applicable legal provisions and internal guidelines.You should be aware,however,that BNPP may eng

36、age in transactions in a mannerinconsistent with the views expressed in this document,either for its own account or for the account of its clients.This document may contain certain performance data based on back-testing,i.e.simulations of performance of a strategy,index or assets as if it hadactuall

37、y existed during a defined period of time.To the extent any such performance data is included,the scenarios,simulations,development expectationsand forecasts contained in this document are for illustrative purposes only.All estimates and opinions included in this document constitute the judgment ofB

38、NPP and its affiliates as of the date of the document and may be subject to change without notice.This type of information has inherent limitations whichrecipients must consider carefully.While the information has been prepared in good faith in accordance with BNPPs own internal models and other rel

39、evantsources,an analysis based on different models or assumptions may yield different results.Unlike actual performance records,simulated performancereturns or scenarios may not necessarily reflect certain market factors such as liquidity constraints,fees and transactions costs.Actual historical or

40、backtested past performance does not constitute an indication of future results or performance.This document is only intended to generate discussion regarding particular products and investments and is subject to change or may be discontinued.Weare willing to discuss it with you on the understanding

41、 that you have sufficient knowledge,experience and professional advice to understand and make yourown independent evaluation of the merits and risk of the information and any proposed structures.The information contained herein is not and under nocircumstances is to be construed as,a prospectus,an a

42、dvertisement,a public offering,an offer to sell securities described herein,or solicitation of an offerto buy securities described herein,in Canada,the U.S.or any other province or territory nor shall it be deemed to provide investment,tax,accounting orother advice.Transactions involving the product

43、(s)described in this document may involve a high degree of risk and the value of such transactions may behighly volatile.Such risks include,without limitation,risk of adverse or unanticipated market developments,risk of counterparty or issuer default,risk ofadverse events involving any underlying re

44、ference obligation or entity and risk of illiquidity.In certain transactions,counterparties may lose their entireinvestment or incur an unlimited loss.The information relating to performance contained in this document is illustrative and no assurance is given that anyindicated returns,performance or

45、 results will be achieved.Moreover,past performance is not indicative of future results.Information herein is believedreliable but BNPP and its affiliates do not warrant or guarantee its completeness or accuracy.All information,terms and pricing set forth herein reflect ourjudgment at the date and t

46、ime hereof and are subject to change without notice.In the event that we were to enter into a transaction with you,we will do soas principal(and not as agent or in any other capacity,including,without limitation,as your fiduciary,advisor or otherwise).Only in the event of a potentialtransaction will

47、 an offering document be prepared,in which case,you should refer to the prospectus or offering document relating to the above potentialtransaction which includes important information,including risk factors that relate to an investment in the product(s)described herein.Prior to transacting,you shoul

48、d ensure that you fully understand(either on your own or through the use of independent expert advisors)the terms of thetransaction and any legal,tax and accounting considerations applicable to them.You should also consult with independent advisors and consultants(including,without limitation,legal

49、counsel)to determine whether entering into any securities transactions contemplated herein would be contrary to locallaws.The information contained herein is provided to you on a strictly confidential basis and you agree that it may not be copied,reproduced or otherwisedistributed by you,whether in

50、whole or in part(other than to your professional advisers),without our prior written consent.Neither we,nor any of ouraffiliates,nor any of their respective directors,partners,officers,employees or representatives accepts any liability whatsoever for any direct orconsequential loss arising from any

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