20181005-法国巴黎银行-DATA_WATCH_GLOBAL_G10_INTEREST_RATES_13页_967kb

DATA WATCH | Global Summary

Core Content

This report provides an overview of G10 interest rate strategies, market outlook, and upcoming bond issuance schedules for the week of 5 October 2018. It highlights key trade ideas, market reactions to political uncertainty, and the expected supply and redemption levels in the eurozone and other regions. Additionally, it includes information on credit rating reviews, inflation outlooks, and strategic contacts within BNP Paribas for G10 rates.

Main Points

1. Expected Bond Supply and Redemption

• Eurozone: Expected gross supply of EUR12bn, with EUR17bn in redemptions and less than EUR1bn in coupon payments, resulting in a net cash outflow of EUR-6bn.
• United States: Expected USD74bn in note issuance.
• Key Issuances:
  • Germany: BUNDei 0.1% 15 Apr 2026 (2 October), Bund 0.25% 15 Aug 2028 (10/10), and OBL 13 Oct 2023 (11/10).
  • Netherlands: DSL 2.75% 15 Jan 2047 (10/10).
  • Italy: BTPs (26/10 and 30/10).
  • Japan: JGB 20 Sep 2048 (11/10), JGB 5-year (16/10), and JGB 20-year (18/10).
  • Sweden: ILB 0.125% 1 Jun 2032 (11/10).
  • Denmark: DGB (11/10).

2. Trade Ideas and Positions

• Buy Schatz ASW vs Bund ASW: Entry at 10.5bp, target at 2bp, stop at 14bp, carry -0.6/3m. P&L: +0.5bp.
• EUR OIS/BOR flattener: Entry at 3.1bp, target at -20bp, stop at 7bp, carry -0.4/3m. P&L: 0bp.
• Buy Dec Schatz call spread 111.90/112.20 for 6.5 cents: Expiry 23 Nov 2018. Maximum P&L: 23.5 cents if Schatz yield drops below -0.72%.
• Buy Dec Schatz call for 9 cents strike = 111.90, sell receiver swaption: Expiry 23 Nov 2018 into 2y Euribor swap, strike = -0.07% (ATMF). Target: 60bp. Swap spread strike: approx 46bp.
• 5s10s UKTi real yield steepeners: Entry level 53bp, target 70bp, stop 40bp, carry 10.6bp/1m.
• 10y20y Bund ASW tightener: Entry level 41bp, target 10bp, stop 55bp, carry 0bp/1m.
• Pay 10s on US 2s10s30s swap butterfly: Entry level 11bp, target 30bp, stop 0bp, carry 2.5bp/1m.
• Buy 30y JPY ASW vs 6mL JSCC: Entry level -4bp, target -8bp, stop -1bp, carry 0.2bp/1m.
• Closed Trades:
  • EUR 2y2y swap: P&L +6bp.
  • EUR 2s5s10s swap fly: P&L +2bp.
  • JPY 7y Tibor/Libor tightener: P&L +1.25bp.
  • JPY swap 2s5s flattener: P&L -0.9bp.
  • Buy JGB 40y (JU11): P&L -1bp.

3. Market Outlook and Risks

• The report notes the potential for opportunities in Italy and other markets due to subdued reactions to Italian political uncertainty.
• A trade idea to benefit from a flight to quality in the short end of Germany is suggested.
• The ECB's monetary policy statement and the evolution of the SOFR market are mentioned as factors influencing the UST curve.
• A trade to capture the steepening of the 5s10s UKTI real yield curve is recommended.
• The report also discusses the potential for a re-steepening of the JPY curve due to the BoJ's policy stance.

4. Inflation and Yield Outlook

• The 5s10s UKTI real yield steepeners are recommended due to Brexit uncertainty.
• The report suggests that TIPS breakevens could trade rich due to potential inflation surprises.
• The JGB 5s20s weighted steepener is expected to continue, with a target of 90bp.
• The JGB 10s20s steepener is recommended with an entry at 50bp and a target at 60bp.

Key Information

• Rating Agency Reviews:
  • On 5 October, S&P will review France and Moody's will review Spain and Ireland.
  • Upcoming reviews include Germany (S&P), Netherlands (S&P), Austria (Moody's), and more.
• Credit Rating Outlooks:
  • Some countries have seen their ratings or outlooks upgraded or downgraded, such as Portugal (positive) and Italy (negative).
• Strategic Contacts:
  • BNP Paribas has several strategists across different regions, including London, Americas, Japan, and Singapore, who can be contacted for more details on G10 interest rate strategies.

Summary of Strategic Trade Ideas

Figures and Graphs

• Fig. 1: Long-term supply schedule.
• Fig. 2: Short-term eurozone supply schedule.
• Fig. 3: Next week's eurozone coupons and redemption payments.
• Fig. 4: Supply pipeline.
• Fig. 5: Gross/net EGB supply with/without PSPP.
• Fig. 6: EGB gross supply breakdown by country.
• Fig. 7: EGB gross supply breakdown by maturity.

Rating Agency Updates

• Portugal: Outlook upgraded to positive (S&P).
• Italy: Outlook downgraded to negative (Fitch).
• Greece: Rating upgraded to B+ (S&P), outlook stable.
• Finland: Outlook upgraded to positive (Fitch).
• Austria: Outlook upgraded to positive (Fitch).
• France: Outlook upgraded to positive (Moody's).
• Japan: Outlook stable for most ratings.

Strategic Contacts

• BNP Paribas London branch:
  • Laurence Mutkin: Global Head of G10 Rates Strategy.
  • Eric Oynoyan: Europe Strategist.
  • Marco Meijer: Europe Strategist.
  • Camille de Courcel: Europe Strategist.
  • Parisha Saimbi: Inflation and UK Rates Strategist.
  • Agne Stengeryte: Europe Strategist.
• BNP Paribas Securities Corp:
  • Shahid Ladha: Head of Strategy for G10 Rates Americas.
  • Timothy High: US Strategist.
• BNPP Securities (Japan):
  • Reiko Tokukatsu: Relative Value Strategist.
  • Yusuke Ikawa: Japan Strategist.
• BNP Paribas Singapore branch:
  • Altaz: Contact details not fully provided in the text.

Conclusion

The report outlines the expected bond supply and redemption, strategic trade ideas, and market outlooks for the G10 currencies, particularly focusing on the eurozone and the United States. It highlights the impact of political uncertainty, ECB and BoJ policies, and inflation expectations on the markets. Key trade ideas are presented with their respective entries, targets, stops, and potential profits, offering a comprehensive view for investors and strategists.