Our models suggest the PEN is now below fair value. This currency was oversold inJanuary 2016, converging to our model in the subsequent months. We believe that thesame dynamics will take place this time around.
We see the distribution of the PEN and CLP prices tilted to the upside for tworeasons: China and the positive effect on copper and industrial metals prices in theforeseeable future. Taking into account the market consensus for industrial metals inthe coming quarters, the trajectory of the PEN –ceteris paribus- should be to theupside.
Current official BNP Paribas forecast: 3.26 (from 3.50 previously expected) in Q2 2016,3.30 (3.45) in Q3 2016, 3.25 (3.55) in Q4 2016, 3.35 (3.50) in Q1 2017, and 3.25 in Q22017.
Strategy: go short EURPEN (we keep up with the strategy of avoiding US dollarsystematic risk, while getting the most out of carry) via 1-month NDF @ 3.705 (spotreference: 3.689); allocation: USD 8.0mn; initial target: +4% (carry included); stoploss: -3% off current levels (carry included). Carry is positive in 53bp per month. (责任编辑：admin) |