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1、TRADEIDEA
2、EMPleaserefertoimportantinformationandMARSdisclosuresattheendofthis31July2019reportEMSTRATEGYEMStrategy:PortfoliochangesaftertheFed’sdecisionIsthereanymarginleftforcompression?KEYMESSAGESAcombinedeasingcycleinUSandBrazilandthesizableStrategyA:IncreasepositioninDIJan-25toU
3、SD25,000dropinthe10yUSTandBundsyieldshouldcontinuetoDV01fromUSD15,000DV01at6.82%(InitialtargetishaveapositiveimpactatthelongendoftheDIcurve.6.50%;stoplossis7.05%).AsidefromDIJan-25Inthisregard,webelievethereisstillalingeringeffectofreceivers,weremainlongBRLagainstEURwithantherallyi
4、nglobalrates,whichisyettobeabsorbedbyallocationofEUR45mn.longertenors(Jan-25toJan-29).StrategyB:CloseDIApril-20payerat5.43%foralossofWemodelledtheperformanceofthe5yDI(equivalentto10.6bp(USD160,000).DIJan-25)usingtwoexplanatoryvariables:domesticandUSmonetarypolicyexpectations,whichh
5、aveacascadingStrategyC:GoshortUSDZARvia18Sept2019IMM@effectonotherassetsandreflect,inthecaseofBrazil,the14.295(spot:14.215);allocation:USD10mn;target(spotprogressmadeonpensionreform).reference):13.57;stoploss:14.69(spotreference);carryis39bppermonth.WeusedanARDL(1,0,1)andextractedt
6、heimpulse-responsefunctionusingmonthlydatafromJanuary2010toStrategyD:WehavealsorecommendedaRVstrategyJanuary2019.Theformulalookslikethis:betweenCZKandHUFIRScurves(link:Relativeflattener-2s5sHUFvsCZK)y=[5yDIt]=δ[yt?1]+θ1[USExpΔMPt]+θ2[BrazilExpΔMPt]+θ3[BrazilExpΔMPt-1]+τε(t-1)+εTher
7、estoftheallocationsremainunchanged.LRcoefficient=-157bp;τ(errorcorrectionterm)=-0.193;coefficientsSeebelowtheexplanation,model’supdate,andforward-arestatisticallysignificantat5%.lookingsimulationsforthesestrategies.Weusedthecoefficientsoftheimpulse-responsefunctiontoderivethehypoth
8、eticalpathofthe5yDIandcompareditDIStrategynowwithYTDmarketperformance.Withanuneventful(lesshawkish)Fed,therisk-rewardofTheresultssuggestthat,allthingsbeingequal,5yDIhaskeepingtheDIApril-20payerpositioninourbooknowisperformedasestimatedbytheARDLequationYTD.Wequestionable.Assuch,ther
9、eisagrowingriskthattheexpe
