20160907-法国巴黎银行-WEEKLY_CROSS-ASSET_MARKET_OUTLOOK_BNP_PARIBAS_MARKETS_CALL_12页_514kb

BNP PARIBAS MARKETS CALL: Weekly Cross-Asset Market Outlook (7 September 2016)

Core Content Summary

This report provides a market outlook for Q4 2016, focusing on interest rates, equities, credit markets, and foreign exchange (FX) dynamics. It highlights key events and potential market impacts, particularly emphasizing the European Central Bank (ECB) meeting on 8 September 2016 and the U.S. Federal Reserve's potential rate hike in September or December.

Key Market Outlook

• Interest Rates: The report anticipates higher rates and steeper yield curves globally.
• Risky Assets: A correction in risky assets is expected due to the potential tightening of monetary policy.
• FX Market: The USD is expected to strengthen, while AUD and JPY are seen as vulnerable, especially if the Fed hikes rates in September.

Central Bank Events

Federal Reserve (21 September 2016)

• Likely to hike rates in September or December.
• The market is anticipating a "dovish Fed hike", which would have limited and short-lived risk-off effects.

European Central Bank (8 September 2016)

• Expected to extend the PSPP & CSPP programme to September 2017 and adjust its parameters.
• No rate cut is anticipated.
• Potential changes include:
  • Increasing the issue/issuer limit to 50% for non-CAC bonds, which would lead to bull flattening of the German curve.
  • Removing the deposit floor, which could trigger curve steepening and tightening of spreads.
  • Shifting from capital key to debt-weighted key, which is considered the least likely scenario and would cause a significant upward correction in EGB yields, especially for the Bund.

Bank of Japan (21 September 2016)

• The outcome of the BoJ's monetary policy reassessment is critical.
• The BoJ may move towards monetisation of the Abe fiscal programme or shift from inflation targeting to price targeting.

Market Impact Analysis

• A change in ECB parameters could lead to:
  • Bund 10y yield returning to -0.20% if the issue/issuer limit is increased.
  • Significant correction in 10y Bund yield to 0.10% if the deposit floor is removed.
  • Bund yield overshooting to 0.20% and tightening of BTP/Bund spreads if the capital key is replaced with a debt-weighted key.
• Curve steepening is expected in US Tsys, Bunds, and JGBs due to these changes.

FX Positioning and Trade Recommendation

• FX Positioning Analysis indicates that investors are short USD and long AUD and JPY.
• Short AUDUSD is recommended, targeting 0.70 by end of Q3.
• Derivatives that position long volatility and risk-reversals are seen as attractive.
• The USD is expected to strengthen, while AUD and JPY are vulnerable to a Fed rate hike.

Risk Factors and Disclaimer

• The report includes regulatory disclaimers for various jurisdictions, indicating that it is intended for professional clients only and is not independent investment research.
• It is a marketing communication and not subject to the same independence standards as research reports.
• The views expressed are not objective, and BNP Paribas may engage in transactions inconsistent with the views expressed.
• The report may contain information obtained from public sources, and no warranty is given regarding its accuracy or completeness.

Conclusion

The report outlines a risk-off environment for equities and risk-on for credit markets. It emphasizes the ECB's pivotal role in shaping the yield curve and FX market dynamics, with a focus on potential curve steepening and risky asset correction. The USD is expected to strengthen, while AUD and JPY face downward pressure in response to a Fed rate hike.