巴黎银行-新兴市场-宏观策略-巴西：DI接受目标实现-20190603-8页 (2).pdf

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 MESSAGES 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 kept 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 fundamentals 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 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 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 rates.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: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 Sources: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 Please 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 Paribas 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 granger 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.4-5:Impulse response between UST 5y and Brazil DI 5y Sources:Bloomberg LLP,BNP Paribas.Listed below is our Brazilian rates trades since 2017:LATAMRateEffectiveBasis 3m6m12m2y3y3m6m12m2y3yColombia4.254.1-0.144.24.34.45.05.4-371370118Mexico8.258.50.268.38.27.87.37.20-9-47-98-103Chile3.003.00.002.82.72.62.83.2-16-32-39-1622Brazil6.506.4-0.106.46.15.98.19.0-14-41-58156250CEEMEARateEffectiveBasis 3m6m12m2y3y3m6m12m2y3ySouth Africa6.757.10.376.66.56.56.77.1-14-26-25-436Poland1.501.70.221.51.51.51.51.700-2419Czech Repuplic2.002.20.192.01.91.71.51.4-4-12-28-53-64Hungary0.900.2-0.711.01.11.41.82.210254787133Russia7.758.20.487.57.46.97.47.7-22-36-83-36-7ASIARateEffectiveBasis 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 3m6m12m2y3y3m6m12m2y3yUnited 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-0.250.00.26-0.3-0.3-0.2-0.10.0-2-141328Australia1.501.50.001.00.90.80.81.0-54-64-69-69-54New 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-15-25-32-44-60-45-30-150147101316Cumulative 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 datePnLUSD 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 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-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-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 Economist teams within the BNP Paribas group of 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