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(F2) Extends Recent Gains


10Y Puts


Household Survey Looks Very Healthy


Move towards another session low


Effective Fed Funds Rate

BRAZILIAN REAL: VIEW: J.P.Morgan note that "despite 225bp of policy cuts from
the central bank year-to-date, 10Y rates in Brazil have sold-off 61bp over this
period, being the worst performing 10Y local yield amongst 23 EM and DM
countries. A look at the performance of 10Y yields over past easing cycles would
have suggested lower yields, and the beta of the 10Y to the policy in our
fundamental valuation models is positive (suggesting lower rates as BCB cuts).
However, the directionality broke in this last cycle, as fiscal deterioration
and political uncertainty are offsetting the dovish BCB stance. Going forward,
because the fundamental challenges are unlikely to be sorted out any time soon,
we stay UW Rates and the BRL in our model portfolio. We note that QE may help
tame some rates pressures, but it is unlikely to alter the rates direction
meaningfully. The BRL rally of last month was likely much more linked to the
currency's high beta and light positioning in the context of a broader EM FX
rally. China's V-shaped recovery likely also boosted commodity linked currencies
relative to peers. Looking forward, we think BRL could be significantly repriced
as its sources of global support diminish."