20181113-法国巴黎银行-DTCC_FX_POSITIONING__DIFFERENT_STORYLINES_ACROSS_LATAM_12页_1mb

DTCC FX Positioning Summary: Latin America (Latam)

Core Content Overview

This document provides an analysis of the FX positioning in Latin American emerging markets (EM) as of 13 November 2018, focusing on the Depository Trust & Clearing Corp. (DTCC) positioning monitor. It outlines the current market sentiment, speculative activity, and potential future movements for several currencies, including the Brazilian real (BRL), Argentine peso (ARS), Chilean peso (CLP), Colombian peso (COP), Peruvian sol (PEN), and Mexican peso (MXN). The analysis is based on NDF positioning scores, non-parametric probability distributions, and options market data.

Key Currencies and Their Positioning

Brazilian Real (BRL)

• The DTCC positioning score for BRL dropped from the 80th percentile to the 60th-70th percentile in October, indicating a stabilization after a significant appreciation in July.
• BMF positioning shows that speculators are heavily long USDBRL, with record high levels.
• The volume-weighted strike gap for put options increased before the July appreciation, suggesting a reversal in the depreciation trend of BRL.
• The BRL is currently in a long position, with a non-parametric probability of 39%, indicating supportive conditions for the currency.

Argentine Peso (ARS)

• The NDF positioning for USDARS has reached its lowest historical level, with a non-parametric probability of 1.6%, indicating oversold conditions.
• The ARS is only 0.3% above the lower band of its FX regime, suggesting a potential for central bank intervention.
• The FX regime bands are defined by the BCRA, and the current spot level is close to the lower band.

Chilean Peso (CLP)

• The DTCC positioning score for USDCLP increased in October, nearly reaching the 90th percentile, but has since stabilized.
• The non-parametric probability for CLP is 39%, supporting the idea that the currency is in a long position.
• The positioning is light, but supportive for the long CLP strategy.

Colombian Peso (COP)

• Similar to CLP, the DTCC positioning score for USDCOP reached overbought levels in October and has since bounced back to normal levels.
• The positioning is now stable, with a non-parametric probability of 39%, supporting the long COP position.

Peruvian Sol (PEN)

• The DTCC positioning for USDPEN remains near the 90th percentile, signaling a higher chance of appreciation in the coming weeks.
• This is a supportive indicator for the long PEN strategy (BEER model).

Mexican Peso (MXN)

• The volatility market showed an increase in the put strike gap at the end of October, indicating a spike in positions favoring appreciation.
• The appreciation of the MXN was already realized at the beginning of November, suggesting speculative activity has been fulfilled.

FX Options Market Analysis

• The volume-weighted strike gap for put options was considerably increased just before the July appreciation of BRL, and this pattern has repeated.
• The strike gap serves as an indicator of underlying market activity and generally precedes spot FX movements.
• The options market data supports the idea that speculative activity has shifted towards appreciation in several currencies, including BRL and MXN.

Legal and Regulatory Disclosures

• This document is non-independent research and may be subject to conflicts of interest due to its interaction with sales and trading.
• It is a marketing communication and not investment research.
• The information and opinions are based on public sources and may not be independently verified.
• Indicative prices are provided for information purposes and are not guaranteed.
• Performance data may be based on back-testing and is for illustrative purposes only.
• Options and ETFs discussed are complex instruments with high risk, and are not suitable for all investors.
• Restricted securities may be referenced, and only Qualified Institutional Buyers (QIBs) or non-U.S. persons may be eligible to purchase them.

Summary of Main Points

• The DTCC positioning monitor has been updated to reflect recent FX market movements in Latin America.
• BRL is in a long position, with speculative activity at record highs.
• ARS is oversold, with a low NDF positioning and close to the lower band.
• CLP and COP have stabilized after reaching overbought levels.
• PEN is supportive of appreciation, aligning with the BEER model.
• MXN showed increased put strike gap in October, which was realized in November.
• Options market data is a key indicator of speculative activity and potential FX movements.
• The document is for professional clients and not for general public use.

Key Takeaways

• The FX positioning for several Latam currencies indicates potential for appreciation.
• Speculative activity has been notable, particularly for BRL and MXN.
• Central bank intervention may be likely for ARS due to its low positioning.
• The options market data provides early signals of FX trend reversals.
• The document serves as a marketing communication, and no investment advice is provided.