巴黎银行-新兴市场-宏观策略-巴西：定位强化了我们的积极观点-20180216-12页.pdfVIP

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巴黎银行-新兴市场-宏观策略-巴西：定位强化了我们的积极观点-20180216-12页.pdf

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EM/LA Please refer to important information at the end of the report TAM STRATEGY Brazil: Positioning reinforces our positive view This document has been produced by:  The Brazilian real has failed to catch up with other currencies despite the recent Banco BNP Paribas Brasil S.A. global sell-off, and is still far from January’s highs.  To gauge which factors have driven this performance, we have updated our PCA Gabriel Gersztein approach; we have also added the index of local macro fund positioning. Head of FX IR Latam Strategy Commodity Quant Strategy  New results show a break between USD- and BRL-denominated fixed income +55 11 3841 3421 assets. Gustavo Mendonca  While global financial conditions and risk premium (appetite) remain the most FX IR Latam Strategy important factors for USD-denominated assets, local hedge fund allocations have Commodity Quant Strategy also been a key driver of BRL-denominated assets. +55 11 3841 3445  In this regard, our positioning model suggests that (i) local macro funds are not substantially allocated in BRL and domestic interest rates; and (ii) the USDBRL has Samuel Castro been used as a liquid hedge of late. FX IR Latam Strategy Commodity Quant Strategy  Should the recent spike in volatility ease, further FX and IR appreciation looks a +55 11 3841 3492