20161026-法国巴黎银行-Recent_economic_data_continue_to_point_to_a_steady,_slow_recovery_14页_941kb

报告摘要

BNP Paribas Markets Call Summary (26 October 2016)

Core Content

Overview of Market Conditions

Economic Recovery: Recent economic data, such as PMIs, suggest a steady but slow global economic recovery.
Monetary Policy: Financial and monetary conditions remain very accommodative in Europe and broadly neutral in the US and Japan.
Central Bank Influence: Global growth continues to be supported by central bank policies, but the US is expected to gradually tighten monetary policy.

Market Outlook

Unsupportive Environment: The current backdrop is not favorable for core bonds and risky assets.
Investor Behavior: Investors have accumulated large correlated positions in bonds through long duration or weaker credit quality, leading to increased systemic risk.
Volatility and Yield: Inflation breakevens are expected to rise significantly, and nominal yields will adjust upwards with rising volatility.
Currency Movements: EURUSD has reached its initial target of 1.09, and USDJPY is close to 105.
Asset Correction: Risk assets, especially US credit and equities, as well as emerging market (EM) assets, are expected to correct.

Key Financial Indicators

Asset Name	YTD Performance	Yield	Duration	Months for 10 bp	3mth Volatility
US equities	6.7%	-	-	-	9.7%
EZ equities	-1.9%	-	-	-	14.7%
US long dated gvt bonds	11.38%	1.76%	9.06	6.2	10.4%
EZ long dated gvt bonds	10.0%	0.03%	9.81	392.4	8.5%
US IG spread return	1.4%	0.74%	5.0	8.1	1.2%
EZ IG spread return	0.7%	0.71%	5.1	8.7	1.1%
US HY spread return	8.5%	3.97%	4.5	1.4	4.9%
EZ HY spread return	1.0%	3.19%	4.92	1.85	3.9%
US IG bond return	9.0%	2.89%	7.24	3.0	3.7%
EU IG bond return	5.6%	0.52%	5.22	12.1	1.9%
US HY bond return	17.0%	6.42%	3.81	0.7	2.3%
EU HY bond return	8.0%	3.57%	3.32	1.1	1.9%
EM$ sov bond return	14.4%	4.33%	7.35	2.0	4.20%
EM$ corp HY bond return	19.3%	6.95%	3.79	0.7	2.66%

Recommendations and Analysis

30Y Bund ASW Trade: Sell 30Y Bund asset swaps (ASW) at the current level, targeting a 20-22bp level. Add to the trade at 37bp with a 40bp stop.
Scarcity Premium: The current 30Y Bund ASW level implies an 11bp scarcity premium, which is expected to disappear after the ECB meeting in December.
ECB Policy Expectations: The ECB is likely to extend the PSPP in December without tapering, removing the depo floor constraints and increasing the issuer limit for non-CAC bonds.
Volatility and Correlation: Weekly return correlations are increasing, indicating rising systemic risk due to excessive liquidity.
Earnings and Debt: US earnings per share (EPS) have been flat or declining, while debt per share has risen. This makes US corporates more vulnerable to rising interest rates.
Equity Valuation: The US equity market remains strong due to high PE ratios, but this may not last as the Fed becomes more hawkish.
Europe: EPS is also weak, but European corporates are deleveraging, which is a positive sign.

Key Risks and Considerations

Market Volatility: Rising volatility in risk-free assets compared to risky assets is not reassuring.
Regime Change: Current valuations offer little buffer against yield or spread moves, indicating potential for a central bank regime change.
Oil Prices: Base effects will push up the annual rise in oil prices starting in early 2017, which is already reflected in the 10-year US inflation breakeven.
Correlation Risks: Increasing correlation between asset returns highlights the systemic nature of current market risks.

Conclusion

The market is in a state of slow recovery, supported by accommodative monetary policies, but this is unlikely to continue indefinitely. As central banks begin to adjust their policies, especially the US Fed, investors are advised to be cautious. The current environment favors short-term instruments and is not supportive of long-dated bonds or high-risk assets. The recommended trade for 30Y Bund ASW is based on expected policy changes and the disappearance of the scarcity premium. Investors should also be aware of the increasing correlation between asset returns and the potential for market corrections in risk assets.

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