20180704-法国巴黎银行-Chile__sizable_carry_and_roll-down__receive_18m_CLPxCAM_9页_479kb

Summary of the Chilean Interest Rate Strategy Document

Core Content Overview

This document outlines the current strategy and market analysis for Chilean interest rate (IR) and commodity-related instruments, specifically focusing on the CLPxCAM (Chilean Peso Cross-Currency Swap) and its implications for trading positions and market expectations.

Key Market Insights

• IR Swap Curve Steepness: The steepness of the Chilean IR swap curve is currently at levels that appear too high, even considering the projected adjustment in interest rate policy.
• Carry and Roll-Down: The carry and roll-down of receiving 18m CLPxCAM is +7.5bp per month.
• Market vs. Fair Value Gap: The 2-year CLPxCAM is currently priced ~50bp above the fair value derived from BNPP's internal factor model. According to the model, the 2y CLPxCAM should be around 2.75%.
• Position History: BNPP has been positioned in flatteners in Chile since Q3 2017, and this position has generated USD 78k in returns so far.
• Strategy Adjustment: BNPP has decided to close the existing flattening CLPxCAM 2s1s position at 20bp and open a new receiver position at 3.08%, with an allocation of USD10k DV01 and an initial target of +40bp.

Comparative Analysis

• The premium between 2y CLPxCAM and the overnight rate is now the second highest in Latin America, and it is comparable to South Africa and Indonesia.

Key Points

• The current strategy is based on the expectation that the IR swap curve will flatten further.
• The document includes charts (Charts 1-3 and 4-5) that illustrate the relationship between the CLPxCAM and the model-derived fair value, as well as the comparison with the overnight rate.
• The analysis is based on internal models and public sources, and it is important to note that the information is not investment research under MiFID II and is classified as non-independent research.

Legal and Regulatory Disclaimer

• This document is a marketing communication and is not intended as investment research.
• It is not an offer to sell or issue any financial instruments and should not be relied upon for investment decisions.
• No liability is accepted for any losses arising from the use of this document.
• Confidentiality is emphasized; the document may not be copied, reproduced, or distributed without prior written consent.
• The document may contain simulated performance data based on back-testing, which may not reflect real-world market conditions.
• Conflicts of interest may exist due to BNPP's involvement in related transactions or advisory roles.

Important Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNPP may have conflicts of interest due to its involvement in ETF-related activities.
• Unregistered Securities: Some instruments discussed may be "restricted securities" under U.S. law and may not be offered or sold in the U.S. without registration.
• U.S. Distribution: The report may be distributed by BNPP Securities Corp. to institutional investors, not to the general public.
• Legal Jurisdictions: The document is subject to various regulatory disclosures in the United States, UK, France, Germany, Belgium, Ireland, Italy, Netherlands, Portugal, Spain, and Switzerland, emphasizing the importance of compliance with local laws and regulations.

Conclusion

BNPP is actively managing its Chilean IR swap curve exposure by adjusting its strategy from flattening to receiving CLPxCAM. The analysis suggests that the current market pricing is overvalued relative to BNPP's internal model, and the firm is positioning itself to benefit from potential curve flattening. However, the document is not intended for retail investors and includes extensive legal disclaimers and risk disclosures.