巴黎银行-欧洲-宏观策略-英国脱欧：我能踢它么？当然可以-20190129-10页_853kb

报告摘要

Brexit Summary: Market Implications and Trade Ideas

Core Content

This document provides an analysis of the Brexit situation as of 29 January 2019, focusing on the political and market implications of the UK's ongoing negotiations with the EU. It outlines the likelihood of a no-deal Brexit, the potential for an Article 50 extension, and the associated risks and opportunities for various financial instruments such as FX, rates, equities, and credit.

Main Viewpoints

Article 50 Extension Likely: The report reaffirms the view that an extension of Article 50 is probable, but the base case now leans towards MPs ratifying a Brexit deal rather than a second referendum.
No-Deal Risk Increasing: The probability of a no-deal Brexit has risen to 35%, up from 20%, due to the prolonged uncertainty and the lack of progress in negotiations.
Political Uncertainty: There is no stable majority in the House of Commons, and the government's motion was rejected, indicating continued political instability.
EU and UK Strategy: Both the EU and the UK are delaying decisions, with the UK aiming to use the 'no deal' threat to secure support for the deal, while the EU avoids premature concessions.
Key Date: 27 February is the next key date for a meaningful vote, and the final 'meaningful vote' may not happen before 29 March, the scheduled exit date.

Key Information

MPs Ratification: The government needs 116 MPs to change their stance to secure a deal through parliament.
Legislative Challenges: Even if the Cooper amendment is passed, the bill needs to become an Act of Parliament, which may be difficult given the tight legislative timeline.
No Customs Union: The UK government is unlikely to publicly support a customs union, as it is a key policy of the Labour Party, and this could affect the deal's acceptance.

Market Implications

FX

The report turns tactically neutral due to the absence of new information and a significant reduction in short GBP positions.
GBP short exposure has been reduced, with the current score at -7 (on a +/- 50 scale), suggesting the risk-reward for being long GBP has become balanced.
The long GBPCHF trade idea has been closed for a gain of 4.1%.

Rates

Gilts are expected to remain supported in the near term due to increased Brexit uncertainty.
10y gilt yields have fallen below 2018 lows, and the spread between UK and EUR/US 10y rates is tightening, with the spread still offering value.
Structurally, the report favors money-market steepeners and short inflation positions.

Equity Derivatives

A long SX5E quanto USD put and short SX5E vanilla put structure is suggested as a tail risk hedge for a no-deal Brexit.
The correlation between SX5E and EURUSD is expected to increase if both decline in tandem, as indicated by the rise in realized correlation.

Credit

The risk of a bearish pullback in the credit market has increased, with the probability of a no-deal Brexit at 33%.
Xover is significantly exposed to higher-beta Brexit-sensitive names, and the iTraxx Xover ATM receiver trade has been closed.
The report suggests positioning for a downward move in longer-dated inflation forwards.

Summary of Trade Ideas

FX: Tactically neutral, with reduced GBP short exposure.
Rates: Support for gilts, tightening 10y10y UK vs EUR/US spread, money-market steepeners and short inflation positions.
Equity Derivatives: SX5E-EURUSD correlation hedge.
Credit: Bearish pullback risk, focus on higher-beta Brexit-sensitive names.

Disclaimer and Legal Information

This document is a marketing communication and not independent research.
It does not constitute an offer to sell or issue any financial instrument.
It is intended for Professional Clients and Eligible Counterparties.
The information is based on public sources and may not be independently verified.
BNPP may have conflicts of interest due to its involvement in the markets and transactions.
No liability is accepted for any loss arising from reliance on the document.

Conclusion

The report highlights the increased risk of a no-deal Brexit and the potential for an Article 50 extension. It suggests a tactically neutral stance in FX, continued support for gilts in rates, and hedging strategies for equities and credit. The overall market sentiment is cautious, with uncertainty expected to persist until the final Brexit deadline.

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