20180118-法国巴黎银行-Brazil__Re-shaping_our_hedges_9页_286kb

Summary of the LATIN AMERICA STRATEGY Document

Core Content

This document outlines the hedging strategy for Brazil as of early 2018, developed by BNP Paribas Brasil S.A. The strategy focuses on managing exposure in the Brazilian currency (BRL) and interest rates (DI curve) through a combination of options strategies and forward rate agreements (FRA). The goal is to protect against potential risks while maintaining a bullish stance on the BRL and interest rates.

Main Recommendations

1. Buy back the USDBRL 3-month (23 March 2018) call spread 3.50/3.80:

   • Net premium: $0.32%$
   • Spot reference: 3.2090
   • Purpose: To reduce the cost of the hedge structure
   • Remaining position: Long on the USDBRL 8-month (23 August 2018) call spread 3.55/3.85

2. Hedge the local USD rates payer position:

   • Action: Square exposure in the DI FRA Jan19sJan23s
   • Remaining position: Tactical payer position in the Cupom cambial FRA at 3.29%
   • New target: 3.75%
   • Stop loss: 2.95%

Key Points

• The strategy is not directional but is designed for binary events, such as political instability in Brazil ahead of the October 2018 presidential elections.
• The current low risk premium on Brazilian assets suggests a revised hedge structure is appropriate.
• The document emphasizes that all recommendations are for hedging purposes, not for making investment decisions.
• The strategy is based on internal models and market conditions, and indicative prices may vary depending on the model used.
• No guarantees are made regarding the accuracy or future performance of the strategy.

Legal and Regulatory Information

• The document is a marketing communication, not independent investment research.
• It is not intended for retail investors and is only for professional clients and eligible counterparties.
• Confidentiality: The information is provided on a strictly confidential basis and must not be distributed without prior written consent.
• Conflict of Interest: BNPP may have financial interests in the entities or instruments discussed, and may engage in transactions inconsistent with the views expressed.
• Disclaimer:
  • No liability is accepted for any losses arising from reliance on the document.
  • Past performance is not indicative of future results.
  • Simulated performance is not a guarantee of actual returns.

Contacts

Important Disclosures

• Options and ETFs discussed are complex instruments with high risk.
• Restricted securities may not be registered under U.S. securities laws.
• Qualified Institutional Buyers (QIBs) or non-U.S. persons are eligible to purchase such instruments.
• No official transaction confirmation is provided; all information is preliminary.
• Confidentiality and non-disclosure apply to all information provided.
• No investment, tax, or legal advice is given in this document.