20181031-法国巴黎银行-Key_contributors_26页_1mb
报告摘要
BNP PARIBAS MARKETS CALL Summary
Core Content
The BNP Paribas Markets Call provides a weekly cross-asset market view, emphasizing that the current market correction is not indicative of a bear market. The report highlights the ongoing divergence in equity markets, the impact of rising US real yields and a stronger USD, and the relative weakness of EM economies and currencies.
Main Points
- Market Correction: The current correction in US stocks is not a bear market, but it is expected to continue. US earnings remain strong, but concerns about future growth are leading to a re-rating of equities.
- Global Bond Markets: Bond markets have not reacted strongly to the recent stock pullback, as valuations are already high. Credit spreads have widened in both developed and emerging markets, but contagion has been limited.
- US Economic Fundamentals: Strong US economic data and rising real yields are supporting US risk assets, despite the current correction. The US is outperforming the eurozone and EM in terms of fundamentals.
- Eurozone and EM Weakness: The eurozone is experiencing weak economic momentum, with a negative risk premium and rising dispersion. EM economies are struggling with weak growth, and the USD's strength is increasing pressure on EM currencies and debt.
- Risk Appetite and Volatility: The report highlights that risk appetite has deteriorated, with the MarFA™ model indicating that 10y real yields and falling global risk appetite are key drivers. The BNP Paribas Global Risk Premium Index is at levels that historically led to market rebounds.
- Fund Flows: Dispersion in equity markets is increasing, with investors becoming more reactive. While US equity fund outflows have been limited, European financials and EM credit have seen outflows.
- Credit Outlook: Credit markets are expected to underperform into year-end, with US and EM credit bonds likely to see further declines. The report suggests that investors should be cautious about high leverage and weak covenants in credit markets.
- Trade Idea: A dispersion trade is recommended, with investors buying a Dec 19 volatility swap on a global dispersion basket and shorting a basket composed of 72.3% SPX and 27.7% SX5E, offered at 14.00 vol.
Key Contributors
- Robert McAdie: Global Markets Head of Strategy Research, BNP Paribas London Branch
- Pierre Mathieu: Senior Cross Asset Strategist
- Benedicte Lowe: Cross Asset Strategist
- Kris Gjini: Cross Asset Strategist
- Ankit Kumar Gheedia: Equity & Derivative Strategist, BNP Paribas London Branch
Prognosis Table
| Asset | 30/10/2018 LDN Close | 1-Month Prognosis | Prognosis vs Current |
|---|---|---|---|
| EURUSD | 1.1350 | 1.1250 | -0.88% |
| GBPUSD | 1.2703 | 1.2700 | -0.02% |
| USDJPY | 112.78 | 114.00 | +1.08% |
| 10y Gilt | 1.40% | 1.55% | +0.15% |
| 10y Bund | 36 bp | 50 bp | +14 bp |
| 10y Tsy | 3.09% | 3.35% | +0.26% |
| 10y JGB | 12 bp | 15 bp | +3 bp |
| S&P 500 | 2,655 | 2,700 | +1.7% |
| SX5E | 3,147 | 3,200 | +1.68% |
| SX7E | 96.3 | 98.0 | +1.81% |
| FTSE 100 | 7,036 | 7,150 | +1.62% |
| Nikkei 225 | 21,457 | 21,750 | +1.36% |
| Gold | 1,224 | 1,200 | -1.93% |
| Oil (CL1) | 66.0 | 70.0 | +6.14% |
| Itraxx Main S30 | 76 | 80 | +4 bp |
| Itraxx Xover S30 | 303 | 330 | +27 bp |
| CDX IG S31 | 71 | 75 | +4 bp |
Economic Strength and Risk Premia
- US Economic Strength: Strong US data supports the USD and risky assets, even during the current correction. The economic strength index remains close to yearly highs.
- Eurozone and EM Weakness: The Eurozone is experiencing weak economic momentum and negative risk premia, while EM economies are struggling with weak growth and rising USD pressure.
- MarFA™ Model: The model identifies 10y real yields and falling global risk appetite as key drivers of market performance. It also highlights the importance of dispersion in equity markets.
Trade Idea
- Long Dec 19 Volatility Swaps: Investors can consider buying a Dec 19 volatility swap on a global dispersion basket and shorting a basket composed of 72.3% SPX and 27.7% SX5E.
- Sector Exposure: The trade idea reflects the increasing divergence in equity markets, with a focus on sectors and companies affected by the US-China trade dispute and global economic conditions.
Dial-in Numbers
| Country | Number |
|---|---|
| UK | 0808 109 0700 |
| London | 14:00, Password: "The BNP Paribas Markets Call" |
| USA | 1866 966 5335 |
| Argentina | 0800 666 2709 |
| Austria (Local) | +43 (0) 2 68220 56552 |
| Austria (Toll Free) | 0800 005384 |
| Bahrain (Toll Free) | 800 04590 |
| Belgium (Toll Free) | 0800 746 68 |
| Brazil (Toll Free) | 0800 891 4709 |
| Bulgaria (Toll Free) | 00800 116 1131 |
| Canada (Toll Free) | 1 800 608 0547 |
| Chile (Toll Free) | 123 0 020 9636 |
| China (Toll Free) | 4001 200558 |
| Croatia (Toll Free) | 0800 222 820 |
| Cyprus (Toll Free) | 8009 6516 |
| Czech Republic (Toll Free) | 800 900 226 |
| Delhi | +91 (0) 11 6641 1598 |
| Denmark (Toll Free) | 8088 8649 |
| Finland (Toll Free) | 0800 914672 |
| France (Toll Free) | 0805 630061 |
| Germany (Toll Free) | 0800 673 7932 |
| Greece (Toll Free) | 00800 1273 78 |
| Hong Kong (Local) | +852 5808 3370 |
| Hungary (Toll Free) | 06 800 13360 |
| Iceland (Toll Free) | 800 8480 |
| Ireland (Toll Free) | 1 800 930 488 |
| Israel (Toll Free) | 1 809 216213 |
| Italy (Toll Free) | 800 986 477 |
| Japan (Toll Free) | 006633132499 |
| Lima | +51 (0) 1 705 7257 |
| Lithuania (Toll Free) | 8 800 30393 |
| Luxembourg (Toll Free) | 800 2 6438 |
| Malaysia (Toll Free) | 1 800 813 207 |
| Mexico (Toll Free) | 00 1 866 966 8830 |
| Mumbai | +91 (0) 22 6150 2370 then 00 |
Conclusion
The report suggests a cautious outlook with a focus on dispersion and risk management. While the current correction is not a bear market, the market environment is complex and requires careful consideration of macroeconomic factors, credit conditions, and global geopolitical risks. Investors are advised to take advantage of the dispersion trade and monitor the impact of rising real yields and USD strength on EM markets.
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