20140618-巴黎银行证券-Volatility__Where_Global_Strategy_Outlook_66页_3mb

报告摘要

2014 Q3 Global Fixed Income & Equity Strategy Summary

Core Content Overview

This document outlines the BNP Paribas Corporate & Investment Banking's outlook for global fixed income and equity markets in the third quarter of 2014. The key themes revolve around central bank liquidity, low volatility, compressed risk premia, and the search for yield. It also provides specific market views for the US, Europe, UK, Japan, and Emerging Markets (EM), along with key trades across asset classes.

Main Views

Central Bank Policy & Liquidity

Global Central Banks (US, UK, Europe, Japan) are maintaining or increasing liquidity, which continues to drive down volatility and compress risk premia.
The ECB's new TLTROs and non-sterilization of the SMP program are expected to boost liquidity similar to the BoJ's ZIRP.
Negative deposit rates in the ECB's ZIRP will be in place for at least 4.5 years, lowering short-term money market and repo rates, and compressing yields in peripheral sovereigns, financials, and corporate credit.
The Fed remains dovish, with weak wage growth and labor market slack preventing a hawkish shift.
Real yields are now the key driver of investment flows and currency support.

Global Economic Outlook

Global GDP growth is expected to be 3.2% in 2014, up from 1.35% in 2013.
Developed Markets (DM) growth is expected to recover gradually, while Emerging Markets (EM) growth is weakening, particularly in China.
EM deficits and credit contraction are raising concerns about future growth and could lead to long-term underperformance in equities and credit.
EM currencies and bonds have seen strong inflows due to aggressive rate hikes and rising real yields, but the rally is overdone and not priced for downside.

Key Market Views

United States

Labor market slack and weak wage growth will limit treasury yield increases.
10Y Treasury yields are expected to rise to 2.8% but not exceed 3% in Q3.
US equities are range-bound due to a flat yield curve and moderate growth rebound.
US credit (both IG and HY) is supported by low volatility and a range-bound yield environment.
Small-cap stocks are underperforming due to weak consumer demand and limited wealth gains.

Europe

ECB liquidity measures and improving growth support European fixed income and equity markets.
Bund yields are expected to flatten further, with 10Y Bund yields around 1.2–1.4%.
Peripheral sovereigns (Italy, Greece, Spain, Portugal) are expected to outperform with 10Y spreads compressing by 40bp.
European equities offer an attractive earnings yield of 6.75% compared to the US.
European banks are favourable due to improving fundamentals and low cost of capital.

United Kingdom

UK GDP growth is expected to reach 3.4% yoy in 2014 and 3% yoy in 2015.
Gilts will see higher yields due to strong growth and expected rate hikes.
UK equities are supportive with an earnings yield of 7%.
GBP is expected to strengthen as real yields rise from rate hikes.

Japan

The BoJ is unlikely to ease further due to approaching full employment and weakened consumer spending.
JGB yields in the 10Y+ sector are expected to steepen as the BoJ reduces purchases.
JPY is expected to weaken gradually due to GPIF's shift away from JGBs and increased demand for foreign assets.
Japanese equities are supported by fiscal stimulus and BoJ ETF purchases, but foreign participation has waned.

Emerging Markets

Positive real yields and central bank rate hikes have driven flows into EM currencies and bonds.
EM equities are attractive but highly volatile and dispersed in performance.
EM sovereigns are less vulnerable to currency weakness due to local currency debt.
EM corporates and financials are more vulnerable due to excessive hard currency debt and weak fundamentals.
Volatility in EM currencies is expected to spike on an idiosyncratic basis, driven by country-specific risks.

Key Trades for Q3

Global Rates

Buy 5s30s steepener: Given the low probability of bear flattening before Q4 2014, investors should maintain carry strategies.
Buy EUR 5y30y steepeners: ECB's TLTROs and ZIRP are expected to steepen the curve.
Long 3y BTP and Bono vs. Germany: Short-end spreads are expected to compress further to 40bp.
Short EURGBP: Policy divergence between the ECB and BoE is expected to push EURGBP lower.
Long USDCHF: US yield increases and interest rate differentials are expected to support USDCHF.

Credit

Buy EUROSTOXX-Main: Dislocation between equities and credit offers entry points for risk-on trades.
Buy Peripheral banks subordinated paper: Banks like BPIM, Monte, and Bankia are benefiting from TLTROs and peripheral bond rallies.
Buy 10Y Polish bonds: The Polish nominal curve is expected to flatten, supported by low inflation and high real yields.

FX

Buy 1y USDCNH 25d Puts: The volatility surface is flattening, and implied volatility is overbought.
Buy 1y BEI in Brazil: Inflation is under pressure, and current volatility is an overreaction.
Buy 2m USDZAR call spreads and 3m USDTRY RKO: ZAR and TRY are expected to weaken due to weak growth and tight fiscal policy.

Summary of Investment Recommendations

Tail hedges via OTM volatility products are recommended to compensate for short-term asymmetric moves.
Risky assets (equities, credit, EM) are supported by central bank liquidity and low volatility.
EM equities and credit are attractive but vulnerable to fundamentals and currency weakness.
USD is marginal positive, while EUR is long-term negative.
Japan and Europe are more constructive than the US in terms of credit and equity performance.

Key Risks

Asymmetric liquidity risk in EM and credit markets.
Wage growth acceleration in the US could trigger volatility spikes.
Political instability in EM and the China slowdown pose long-term risks.
Central bank miscommunication could lead to market turbulence.

Conclusion

The global market environment is characterized by low volatility, compressed risk premia, and central bank-driven liquidity. While DM assets (especially Europe and the US) are supported, EM assets are more volatile and dependent on central bank actions. Investors should focus on yield and implement tail hedges to manage downside risk.