巴黎银行-欧洲-宏观策略-欧洲央行量化宽松：市场将如何反应？-20191025-6页_606kb

报告摘要

CREDIT360 - ECB QE Market Reaction Summary

Core Content Overview

This document from BNP Paribas provides an analysis of how the European Central Bank's (ECB) Corporate Sector Purchase Programme (CSPP) may influence the credit market, particularly in the context of the broader Asset Purchase Programme (APP). The focus is on market expectations, bond performance, and the ECB's potential buying behavior in the corporate bond sector.

Main Views and Key Information

1. ECB QE Strategy and Market Expectations

CSPP2 Purchase Expectations: The ECB is expected to allocate 10-12% of the APP to CSPP2, with monthly purchases of €2-2.5bn. However, there is upside potential due to high PSPP redemptions and issuer/issue limits.
Market Reaction to CSPP: In 2016, the announcement of CSPP led to a 10bp outperformance of eligible bonds relative to non-eligible ones. This suggests a similar positive impact could occur again.
Credit Market Outlook: The authors are bullish on credit markets, expecting spreads to tighten by around 10bp across both USD and EUR investment-grade (IG) markets by year-end. They also anticipate High Yield (HY) to outperform IG, Cyclicals to outperform Non-Cyclicals, and low-rated credits to benefit.

2. CSPP Purchase Dynamics

PSPP Redemptions: The ECB is facing €16bn of monthly PSPP redemptions in the next six months, a 25% increase from September. This could lead to increased demand being redirected to CSPP.
CSPP-Eligible Net Supply: Despite a decline in EUR IG net supply, the corporate bond market has a healthy net supply, which should support ECB purchases.
Covered Bonds and ABS: Limited net supply in these sectors suggests that demand may be diverted to CSPP, especially as the ECB is not expected to significantly increase purchases in these categories.

3. Bond Performance and Investment Strategy

CSPP-Eligible Bonds: These have underperformed non-eligible bonds, but the historical correlation with ECB purchases suggests they could rally if the ECB starts buying more actively.
Single-A Bonds: The CSPP-eligible universe is heavily skewed towards single-A credits, which are expected to outperform BBB-rated bonds.
High Yield Bonds: HY bonds showed strong outperformance relative to IG in 2016, and the authors believe similar dynamics could unfold again, supporting their HY investment call.

4. ECB Purchase Criteria

Eligibility: The ECB continues to buy CSPP-eligible bonds, with an additional criterion allowing bonds trading below the deposit rate of -0.5%. However, this does not significantly expand the eligible universe as no bonds currently trade below this threshold.
Eligible Universe Composition: CSPP-eligible bonds are more concentrated in single-A credits compared to market indices, which reflect a broader range of credits.

5. Market Timing and Investor Behavior

Investor Behavior: In 2016, investors initially bought everything the ECB was purchasing (Stage 1), and later shifted to buying what the ECB was not (Stage 2). The authors expect a similar pattern, with HY bonds potentially outperforming IG.
Timing of CSPP2: The ECB is set to restart CSPP2 on 1 November 2019, with the program running until the ECB is ready to raise rates, currently expected in 2022.

Key Takeaways

Bullish Outlook: Credit markets are expected to benefit from ECB QE, with HY outperforming IG and spreads tightening.
CSPP Impact: Increased PSPP redemptions and limited supply in other sectors may lead to higher CSPP purchases, creating opportunities for eligible bonds.
Single-A and HY Focus: Single-A bonds and HY are highlighted as attractive investments due to their skewed representation in the CSPP-eligible universe and historical outperformance.
Market Dynamics: The ECB's buying behavior is likely to influence investor sentiment and market performance, with potential for a significant rally if purchases increase.

Supporting Charts and Data

Chart 1: CSPP share increased in 2018 due to PSPP redemptions and issuer/issue limits.
Chart 2: PSPP redemptions are expected to rise significantly, potentially diverting demand to CSPP.
Chart 3: € Corporate net supply remains robust, even with a decline in EUR IG net supply.
Chart 4: CSPP-eligible bonds have underperformed non-eligible bonds, indicating potential for future outperformance.
Chart 5: The ECB's eligible universe is more skewed towards single-A credits than the broader market.
Chart 6: HY has shown potential to outperform IG, with a faster market reaction in 2019 compared to 2016.

Important Disclosures

The document is a marketing communication and not a research report.
It is intended for professional clients and eligible counterparties under MiFID II.
BNPP may engage in transactions inconsistent with the views expressed.
No investment, financial, legal, or tax advice is provided.
Conflicts of interest are managed through policies, information barriers, and internal controls.
The document may include "Research" content, which is only available to those who have subscribed to BNP Paribas Global Markets Research packages.

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