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.pdfVIP免费

|TRADEIDEA02/07/20191TRADEIDEA|EM2July2019Colombia:LockinprofitsonshortEURCOPKEYMESSAGESThistradewasbasedontwopillars:(a)ourEM-FXBEERmodel,whichfactoredinthedivergencebetweencrudeoilpricesandtheperformanceofthepeso;(b)ourpositioningmonitor,whichshowedthattheCOPwasthemostoversoldcurrencyinLatam.Whileourmodelsuggeststhatthereis1.2%forfurtherconvergence,wewouldlockinprofitsatcurrentlevels.TheCOPhasperformederratically,evenamidmore-supportiveenergyprices.Strategy:CloseshortEURCOPviaNDFat3,653(maturity:18September2019);P&L:+2.7%.Pleaserefertoimportantinformation,MARDisclosureattheendofthisreportEMSTRATEGYRecapThiswasashort-termtradeideabasedontwopillars:TheBNPParibasEM-FXBEERmodel,whichfactoredinthedivergencebetweencrudeoilpricesandtheperformanceofthepeso;andTheBNPParibaspositioningmonitor,whichsignalledtheCOPwasthemostoversoldcurrencyinLatam.Thetradewasalsopartofourshort-termstrategies.AlthoughwehaveasupportivestructuralviewonEMsin2019,ourstrategyaimstoarbitrageanysubstantialdivergencebetweenourfair-valuemodelsandmarketpricesindependentlyofthedirection.TheEM-FXBEERmodelforUSDCOPpointstofairvalueofaround3,160intheshortterm(Figures1and2).Forfurtherdetails:Colombia:LongCOPatoversoldlevelsFig.1-2:EM-FXBEERmodelandmarketpriceSources:Bloomberg,BNPParibas;asof1July2019GabrielGersztein,GlobalHeadofEmergingMarketsStrategyLucaMaia,EmergingMarkets/LATAMStrategistSamuelMonteirodeCastroNetoEmergingMarkets/LATAMStrategyAndreDigiacomo,EmergingMarkets/LATAMStrategist1,5002,0002,5003,0003,5001,5002,0002,5003,0003,5002012201320142015201620172018ModelBandMarketModelcentralUSDCOPpriceagainstFVmodelbands1.2%-15%-8%0%8%15%2009201120122014201520172018USDCOPdifference(%)betweenmarketandmodel10407010013060728496108200420072009201220152018USDCOPREER(multilateral)OilSpot(rhs)LegalNoticeThisdocumenthasbeenwrittenbyourStrategistandEconomistteamswithintheBNPParibasgroupofcompanies(collectively“BNPP”);itdoesnotpurporttobeanexhaustiveanalysis,andmaybesubjecttoconflictsofinterestresultingfromt...