巴黎银行-南美-投资策略-哥伦比亚风险资产投资策略.pdfVIP

LATIN AMERICA STRATEGY Please refer to important information at the end of the report Colombian risk assets: Diverging drivers This document has been produced by:  We updated our Principal Component Analysis on Colombia risk assets in order to Banco BNP Paribas Brasil S.A. understand the main drivers behind their performance. Gabriel Gersztein  The results suggest the USD systemic risk, US rates and terms of trade have been Head of FX IR Latam Strategy the most important drivers for the Colombian peso and the 5y CDS over the past weeks. Commodity Quant Strategy +55 11 3841 3421  The fact that moves in FX are now much more correlated with terms of trade is a Gustavo Mendonca welcome retracement towards fundamentals, in our view. When we factor in the FX IR Latam Strategy rally seen in oil into our factor model, the scope for further rally is still considerable. We remain short USDCOP. Commodity Quant Strategy +55 11 3841 3445  Regarding rates, the absence of co-variance between IBR swaps (both in the short- end and long-end of the curve) and external variables suggests that domestic Samuel Castro factors have been the most important drivers over the past weeks. We find FX IR Latam Strategy evidence that Economic Surprises have had the highest adherence with COP rates Commodity Quant Strategy +55 11 3841 3492