Brazil: FX and Capital Markets Highlights of the Week Monday, April 7, 1 Currency flow remains positive Brazilian currency maintained the good performance of the previous weeks. The real kept last week the upward trend, moving below the level of 3. reais per dollar. The international and domestic scenarios (which included the release of Petrobras financial statements) supported the performance of the real, and the currency ended the week at.9, an appreciation of 3% from the closing price of the previous week (Charts 1,, 3 and ). Central bank continued acting in the same way in the foreign exchange market. The central bank continued to roll over US$ 1.1 billion maturing in May at the pace of 1, contracts/day. The full rollover, as previously announced, ensures that the FX swap stock remains constant at US$ 113 billion (Charts and ). Currency flow remains positive in April and year-to-date. The currency flow was positive at US$. billion in April. Last week, in particular, financial inflows totaled US$.3 billion while the trade flows, previously close to zero, stood at US$ 1.1 billion. Year-to-date, the currency flow is positive at US$ 9. billion (Charts 7 and ). No new bond issuance overseas in the past week. Another week passed without any bond issuances in the external market. So far, issuances total US$ million year-to-date (Chart 9 and table). Foreign flows to the stock market remain positive in April. Foreign flows to the stock market remain positive in April at US$.7 billion, with inflows to both the futures and spot markets (Chart 1). Foreign investors, institutional investors and banks kept their positions in currency derivatives virtually unchanged. Last week, non-resident investors, institutional investors and banks maintained their positions in currency derivatives (dollar futures, cupom cambial and FX swaps) virtually unchanged at US$ 3. billion, US$.7 billion and US$. billion, respectively (Charts 11, 1, 13 and 1). Please refer to the last Page of this report for important disclosures, analyst and additional information. Itaú Unibanco or its subsidiaries may do or seek to do business with companies covered in this research report. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should not consider this report as the single factor in making their investment decision.
May-1 Jun-1 Jul-1 Aug-1 Sep-1 Oct-1 Nov-1 Dec-1 Jan-1 Feb-1 Mar-1 Apr-1 May-1 Jun-1 Jul-1 Aug-1 Sep-1 Oct-1 Jan-1 Feb-1 Mar-1 Apr-1 May-1 Jun-1 Jul-1 Aug-1 Sep-1 Oct-1 Nov-1 Dec-1 Jan-1 Feb-1 Mar-1 Apr-1 FX and Capital Markets Monday, April 7, 1 3.1 3. 3..9.9 3 1 13 3.33 Real: Weekly Evolution 3.11 Daily Trading Range reais per dollar.971.91 -Apr 1-Apr -Apr 3-Apr -Apr Currencies Volatility* *3-day moving st. dev. of log-differences BRL JPY MXN AUD EUR 1 appreciation BRL; -.9% Peer-currencies Weekly Performance COP; - 1.% AUD; -.% MXN;.3% CLP;.% -.% -.%.%.% 1 1 11 Volatility: historic x implied Historic* Implied** depreciation 3 3 1 USD billion 1 Outstanding FX Swaps by Maturity Dec-13 Apr-1 Aug-1 Dec-1 Apr-1 7 3 1 *3-day moving st. dev. of log-differences **1 month implied ATM volatility Source: Bloomberg,Itaú Net increase in FX swap position USD billion (+) = increase in Central Bank short position -1 Source: BCB, Itaú Source: BCB, Itaú Page
......... 1..1 3. 3. 3..3.9 7.. 1. FX and Capital Markets Monday, April 7, 1 1 Daily Flows Trade-related Financial 7 Exchange Rate Flows 1 1 Financial** Trade related - - million dollars 13-Apr 1-Apr 1-Apr 1-Apr 17-Apr Source: BCB and Itaú - -1-1 **services-related and capital flows Apr-13 Oct-13 Apr-1 Oct-1 Apr-1 Source: BCB and Itaú 1 1 1 Securities Issuances in the External Market Oct-13 Jan-1 Source: Valor Econômico and Itaú 3 1 1 - Net Foreign Flows to Brazilian Equities 9 1 million dollars -1 Spot market -1 Index futures flows Source: BMF, Bovespa e Itaú Issuer Maturity Value (million $) 1 Financial Institution (1) 1 3 Financial Institution (1) 1 Source: Valor Econômico and Itaú (1) Loan January 1: Issuance Details Page 3
FX and Capital Markets Monday, April 7, 1 1 Dollar Future Exposure Institutional Investors 11 7 Exposure in FX Swaps (+) long dollar 1 - -1 3 1 Institutional Investors - 3 1-1 - Cupom Cambial Exposure Institutional investors -3 13-1 3 1 FX Derivatives Position* *Dollar futues, cupom cambial, FX swaps Institutional investors - abr-13 out-13 abr-1 out-1 abr-1 1 Macro Research Itaú Ilan Goldfajn Chief Economist Tel: + 11 37-9 Click here to visit our digital research library. Page
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