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

|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 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&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 positioning 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 independently 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 Head 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 price against FV model bands1.2%-15%-8%0%8%15%2009201120122014201520172018USDCOP difference(%)between market and model10407010013060728496108200420072009201220152018USDCOP REER(multilateral)Oil 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