德银-新兴市场-宏观策略-波兰：期待什么以及如何进入NBP-20180306-11页_698kb

Summary of Emerging Markets Poland: EMEA Macro Notes

Core Content

This report provides a macroeconomic and fixed income outlook for Poland, focusing on the National Bank of Poland (NBP) monetary policy stance, inflation expectations, and investment strategies for the Polish fixed income market.

Monetary Policy Outlook

• NBP Policy Stance: The NBP is expected to keep interest rates unchanged at the March 2018 MPC meeting, in line with market expectations.
• Inflation Projections:
  • Headline inflation is forecasted to decrease to a quarterly average of 1.8% YoY in Q1 2018, due to base effects and PLN appreciation.
  • Headline inflation is expected to rise to 2.3% in 2018 and 2.8% in 2019, with underlying inflation pressures expected to accelerate by end-2018.
• Wage Growth: While the NBP previously assumed wage growth would peak below 10%, the November 2018 projections are expected to show a peak of 10–12%.
• Rate Hike Expectations: One 25bps rate hike is expected in Q4 2018, but risks are tilted toward a later lift-off date (H1 2019) due to PLN appreciation and the possibility of wage growth settling below 10%.
• End-2019 Policy Rate: The main policy rate of the NBP is expected to be 2.25% by end-2019, in line with tightening external interest rate environments.

Fixed Income Strategy

• Overall Positioning: The report advises turning neutral in the Polish fixed income market.
• 2Y2Y IRS:
  • Current yield: 2.85%
  • Entrance: 3.05%
  • Target: 2.70%
  • Revised stop: 2.95%
  • The trade is a receive trade, with a revised stop due to current valuations.
• 1Y Fwd 5s10s IRS Steepener:
  • Current steepener: 40bp
  • Entrance: 38bp
  • Target: 75bp
  • Stop: 25bp
  • This is a structural trade that benefits from increased price pressure later in the year.
• 10Y Bond Yield:
  • Current yield: 3.30%
  • Year-end target: 3.75%
  • The bond portfolio is neutral, with a focus on 10Y bonds.
• Attractive Bonds: The report highlights Apr-21, Oct-21, and Apr-22 as the most attractive bonds, while Oct-20, Apr-22, and Sep-22 are considered rich.
• 10Y Yield Forecasts in EMEA:
  • Poland: 3.50% by H1-2018, 3.75% by end-2018
  • Hungary: 2.70% by H1-2018, 3.10% by end-2018
  • Czech Republic: 1.90% by H1-2018, 2.10% by end-2018
  • Israel: 2.10% by H1-2018, 2.25% by end-2018
  • Russia: 6.90% by end-2018
  • South Africa: 8.50% by end-2018
  • Turkey: 11.25% by end-2018
  • US: 2.95% by end-2018
  • UK: 1.90% by end-2018
  • Germany: 0.90% by H1-2018, 1.25% by end-2018
  • Italy: 2.70% by end-2018

Key Points

• The NBP is expected to maintain a wait-and-see approach due to unresolved labor market issues.
• Wage growth is a key inflation risk, and the NBP may revise its assumptions upward in 2018.
• The short-end rates are now more in line with inflation expectations, but the long-end remains attractive relative to peers.
• The report suggests steepener trades are more favorable than short-end receive trades due to risk-reward considerations.
• The 10Y bond yield is expected to rise, with a target of 3.75% by year-end 2018.

Trade Recommendations

• 2Y2Y IRS Receive: Target 2.70%, with a revised stop at 2.95%.
• 1Y Fwd 5s10s IRS Steepener: Target 75bp, with a stop at 25bp.
• Bond Portfolio: Neutral, with a focus on 10Y bonds and a target yield of 3.75% by year-end 2018.

Analysts

• Kubilay Ozturk: Chief Economist, Deutsche Bank
• Christian Wietoska: Strategist, Deutsche Bank
• Carlos Galindo: Economist, Deutsche Bank

Important Disclosures

• The report is provided for informational purposes only.
• Opinions and estimates are subject to change without notice.
• Deutsche Bank may act as principal or agent in transactions related to the discussed securities.
• Conflicts of interest are managed through organizational arrangements and information barriers.
• Investors are advised to seek independent legal and financial advice before making investment decisions.

Risk Factors

• Interest rate risk: Increases in rates can lead to losses for fixed-income instruments.
• Inflation risk: Upside surprises can impact receivers.
• FX risk: Currency fluctuations may affect returns.
• Derivative risks: Market, counterparty, and liquidity risks are inherent in swaps and options.
• Exchange controls and devaluation: May affect currency value and investment returns.

Conclusion

The report outlines a cautious stance on Polish fixed income, suggesting a neutral position and a focus on steepener trades. It highlights the NBP's wait-and-see approach, the potential for inflation to rise, and the importance of wage growth in shaping monetary policy. Investors are advised to be mindful of interest rate, inflation, and FX risks, and to consider market conditions and macroeconomic variables when making investment decisions.