巴黎银行-拉美-投资策略-巴西外汇策略-20180316-9页_499kb

Summary of LATIN AMERICA STRATEGY Document

Core Content

This document outlines the strategy and current position of Banco BNP Paribas Brasil S.A. in the Latin America fixed income (DI) market, focusing on the Brazil DI FRA Jan-20/Jan-21 trade. The main goal is to analyze the current market conditions and adjust the trade strategy accordingly.

Main Trade and Position

• Trade: Brazil DI FRA Jan-20/Jan-21 (receiver position)
• Initial Entry: At 9.75% with an allocation of USD 50k DV01
• Current Status: The original target of 9.75% has been reached, resulting in a profit of +85 basis points
• Adjustments:
  • Extended Target: The target is now set at 9.50%
  • Reduced Allocation: The allocation has been reduced to USD 15k DV01

Market Analysis and Key Views

• The DI curve is currently tilted to the downside, indicating potential for further rate reductions.
• The risk premium embedded in the belly of the DI curve remains substantial, based on forward-looking inflation and monetary policy scenarios.
• Despite the recent rally and flattening of the DI curve, the team believes there is still room for a correction in the downward direction.
• The term premium in the DI curve is still significant, and the strategy is positioned to benefit from this.

FRA Matrix and Term Structure

The following table illustrates the FRA matrix and term structure for the DI curve:

Note: Data as of 16 March 2018, sourced from Bloomberg and interpolated using cubic spline.

Charts

• Chart 1: FRA matrix and term structure
• Chart 2-3: Term premium embedded into the DI curve (illustrative purposes)

Legal and Regulatory Information

• This document is a marketing communication and not independent investment research.
• It is intended for Relevant Persons as defined by MiFID II and other regulatory frameworks.
• It does not constitute a prospectus, public offering, or solicitation of investment in any jurisdiction.
• BNPP may have conflicts of interest due to its involvement in investment banking, underwriting, and advisory services.
• The document is non-independent research and may be subject to legal restrictions in certain regions.
• All estimates and opinions are subject to change and based on internal models and assumptions.
• Performance data is simulated and not indicative of future results.
• Indicative prices are not actual transaction terms and may vary significantly.

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.
• Unregistered Securities: May be restricted and only available to Qualified Institutional Buyers or non-US persons.
• Distribution Restrictions: The report may only be distributed to certain qualified investors in specific jurisdictions.

Disclaimer

• The information in this document is not guaranteed for accuracy or completeness.
• BNPP does not provide investment, legal, or tax advice.
• No assurance is given that the indicated returns or results will be achieved.
• Past performance is not indicative of future performance.
• The document is confidential and may not be distributed without prior written consent.
• BNPP and its affiliates may be involved in transactions that may conflict with the views expressed.

Jurisdictional Information

• United States: Distributed only to qualified investors; transactions must be conducted through BNPPSC.
• UK: Communicated by BNPP London Branch; regulated by ECB, ACPR, and FCA.
• France: Produced by BNPP SA and BNPP Arbitrage; authorized by ECB and ACPR.
• Germany: Distributed by BNPP S.A. Niederlassung Deutschland; supervised by ECB and ACPR.
• Belgium: Supervised by ECB and National Bank of Belgium.
• Ireland: Supervised by ECB and ACPR.
• Italy: Supervised by ECB, ACPR, and Bank of Italy.
• Netherlands: Supervised by ECB, National Bank of Belgium, and AFM.
• Portugal: Supervised by ECB, ACPR, and Banco de Portugal.
• Spain: Supervised by ECB, ACPR, and Bank of Spain.
• Switzerland: Intended for Qualified Investors as defined in CISA.

Final Notes

• The document is for discussion and information purposes only.
• It is subject to change and may be discontinued at any time.
• Readers are advised to consult independent advisors before making any investment decisions.