20180222-法国巴黎银行-Colombian_Peso__going_back_into_the_long_camp_9页_393kb

EM/LATAM Strategy Summary: Colombian Peso

Core Content

This document outlines a strategic recommendation for the Colombian Peso (COP) based on the BEER (Benchmarked Expected Exchange Rate) model. The analysis suggests that COP is currently undervalued relative to its historical underlying factors and is a suitable candidate for a long position.

Key Recommendations

• COP Position: The Colombian Peso is recommended for a long position following a recent rebound to approximately 2,900.
• Strategy Details:
  • Short USDCOP Position: At 2,906 (3m NDF; maturity 29 May 2018), with a notional value of USD 10mn.
  • Initial Target: 2,750
  • Initial Stop-Loss: 3,050
• Tactical Horizon: The recommendation is tactical and intended for a 1-3 month time frame.
• Structural Outlook: Despite the tactical recommendation, the team remains cautious about the long-term structural outlook for COP due to current account dynamics and steady deterioration of the international investment position (IIP).

Main Views

• COP Valuation: COP has lagged behind historical factors such as terms of trade (linked to crude oil prices) and credit risk (proxied by CDS).
• BEER Model: The BEER model indicates that COP is undervalued, supporting the long position.
• Divergence with Drivers: Charts show that COP has not fully reflected the performance of energy prices and other key drivers, indicating potential for further appreciation.
• Systemic Risk: The document highlights the systemic risk associated with the USDCOP pair, particularly if the US dollar experiences a sudden appreciation.
• Impulse-Response Function: Using a VAR model, the analysis shows that a 2.50% shock to the US dollar on a trade-weighted basis could lead to a 5.6% drop in COP in the first month and 7.6% thereafter if the shock is permanent.

Key Information

• IIP Analysis: The International Investment Position (IIP) is calculated as the difference between financial assets and liabilities of residents. The table and charts show that Colombia's IIP has been deteriorating, indicating a net liability to the rest of the world.
• Legal Disclaimer:
  • This document is non-independent research and may contain marketing communications.
  • It is intended for Professional Clients and Eligible Counterparties.
  • It does not constitute investment research under MiFID II and is not subject to the independence requirements.
• Conflicts of Interest: BNPP may have financial interests in the securities discussed and may engage in transactions inconsistent with the views expressed.
• Regulatory Information:
  • The document is subject to UK, French, German, Belgian, Irish, Italian, and Dutch regulatory requirements.
  • It is not a prospectus or public offering and does not provide investment, tax, or legal advice.
  • It contains hypothetical and back-tested performance data, which is not indicative of future results.
• Options and ETFs:
  • Options are complex instruments with a high degree of risk.
  • ETFs discussed may involve tracking error, currency risk, and geopolitical risk.
  • BNPP may act as a market maker or advisor to the underlying assets, potentially creating conflicts of interest.

Important Notes

• The analysis is based on historical data from 2009 to the present.
• The BEER model is used to evaluate FX fair value, and the tactical trade is based on this model.
• The impulse-response function and VAR model are used to assess the impact of US dollar shocks on COP.
• The IIP is a critical factor in the structural outlook for COP, showing negative net position.
• Indicative prices are provided for informational purposes only and are not binding.
• The document is confidential and not for public distribution.

Conclusion

The document recommends a tactical long position in COP, based on the BEER model and current valuation levels, while highlighting systemic risks and structural concerns. It is a non-independent marketing communication intended for professional clients and includes important legal and regulatory disclaimers.