HALISTER1: Pay 6-mo. Colombia IBR Swap at 7.13%, Targeting 7.63%: Nomura

Pay 6-mo. Colombia IBR Swap at 7.13%, Targeting 7.63%: Nomura

(Bloomberg) -- Trade based on view of later-than-expected start of easing cycle by Colombia’s central bank, which is supported by expected weakness in COP, Nomura strategists Mario Castro and Mario Robles write in note.
  • USD/COP seen around 3,350 by year-end
  • Expectation for “further decompression” of the U.S. term premium following election of Trump supports bearish view of COP and would trigger upside pressure in short-end of curve
  • BanRep easing cycle to begin in March 2017, with bias toward a later rather than sooner start
  • Recommend 6-month tactical payer in IBR at 7.13% with target at 7.63%, stop loss at 6.91%; allocated $5k DV01 to payer position
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Mario Castro (Nomura Holdings Inc)
Mario Robles (Nomura Holdings Inc)

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