Latam Strategy:post-referendum positions and new opportunities

　　We believe that the long end of the IR curves in Brazil, Colombia, and Chile is theplace to be now. Our G-10 interest rate team expects yields to fall further, so weexpect the local Latam curves to follow through in nominal terms.

　　While we still expect local and hard currency premia to the upside (measured in termsof spread over UST yields), a compression in the coming weeks is our most plausiblescenario (albeit at a higher level to that seen prior to the Brexit vote).

　　We reinforce that debt portfolio flows into EM are unlikely to reverse the currentpositive trend.

　　New Strategy: receive CLPxCAM 10y @ 4.45% and pay US 10y swap @ 1.35% (spreadover: 310bp); initial target (subject to be extended following market dynamics):260bp; stop loss: 360bp; allocation: USD 7.5k DV01. Carry plus roll-down is positivein 1.3bp/month.

　　Risk to the call: our only concern is the technical position.