新兴市场-宏观策略-聚焦新兴市场.docxVIP

FOCUSEMERGING MARKETS FOCUS EMERGING MARKETS 8 October 2018 This document has been produced by: Banco BNP Paribas Brasil S.A. HYPERLINK mailto:samuel.castro@ Samuel Castro FX IR Latin America Strategy Commodity Quant Strategy +55 11 3841 3492 HYPERLINK mailto:luca.maia@ Luca Maia FX IR Latin America Strategy Commodity Quant Strategy +55 11 3841 3447 HYPERLINK mailto:andre.digiacomo@ Andre Digiacomo FX IR Latin America Strategy Commodity Quant Strategy +55 11 3841 3445 Jair Bolsonaro won the most votes on 7 October with 47% of valid votes, but did not get enough for an outright victory (link: HYPERLINK /SingletrackCMS__DownloadDocument?uid=5333628e-9833-4d2d-90a9-e39a5e5512d9amp;docRef=aad3e90f-e005-4a85-b66b-78907cdd8c4camp;jobRef=09e1e8a9-c6f6-4eee-84ad-e28b5e638564 Brazil: Expect tight runoff). From a technical point of view we expect Brazil risk assets to rally. We updated the abnormal events model (applied to the second election round and using prices from Friday). Brazil’s technical position monitor shows local macro funds have sizably deleveraged their Brazil risk assets allocation. Non-residents have a low share of local public debt. Our short- and long-term models point to a continued bullish view on the BRL. We continue holding a long BRL against a basket of the CLP, EUR and AUD and via options. Our DI model suggests there is still substantial premium embedded in the curve. We continue receiving rates in the short end and belly of Brazil’s DI curve through two strategies: receive Jan22sJan23s FRA and receive Jan20sJan21s FRA. We see 5y CDS breaching 200bp in line with our factor model. We also hold a short 5y CDS (sell protection). Brazil – The day after the first round Yesterday (7 October) Brazil held the first round of the presidential election. Jair Bolsonaro won the most votes in the first round with about 47% of votes, but did not get enough for an outright victory (link: HYPERLINK /SingletrackCMS__DownloadDocument?uid=5333628e-9833-4d2d-90a