20170301-法国巴黎银行-Markets_are_complacent_21页_2mb

报告摘要

BNP PARIBAS MARKETS CALL Summary

Core Content

The BNP Paribas Markets Call for March 1, 2017, provides a weekly cross-asset market outlook, highlighting key trends and potential investment opportunities. The report discusses the current market environment, economic data, commodity price dynamics, and specific trading ideas, particularly focusing on the relative performance of European and US equities.

Main Views

Market Sentiment and Complacency

Markets are complacent despite increasing probability of a Fed rate hike and ongoing political uncertainty.
Volatility remains at historically low levels, indicating an overbought condition in risky assets.
Key risk indicators suggest that risky assets have rallied too far and too fast, raising concerns about sustainability.

Economic and Financial Conditions

Economic data and financial conditions continue to support risky assets globally.
PMI prints show continued improvement in growth, but commodity price increases are not broad-based, leading to increased dispersion and lower correlation.
The US and eurozone financial conditions have tightened slightly, but remain loose overall.

Commodity Prices

Commodity prices have rebounded, but the lack of a broad-based rally raises questions about long-term growth sustainability.
Industrial commodity prices have risen over the past six months, while the Bloomberg aggregate commodity price index is flat.
High oil inventories and net long futures demand limit the potential for significant price increases in oil.

US and Eurozone Asset Flows

Flows into US equities and EM remain strong, while flows into eurozone assets are more mixed.
US Treasury yields do not currently reflect a shift in Fed policy, with expectations of a flattening 2s10s curve and a rise in 10-year yields to around 3% by mid-year.
The large short positioning in US Treasury futures is a contrarian indicator of potential rate moves.

Eurozone Political Risks

Near-term European political risk is elevated, with the Dutch elections potentially triggering further market anxiety before the French presidential elections.
European risk premia are expected to rise further, affecting bond yields and creating pressure on core and peripheral bonds.
German bonds are supported by political risks, while eurozone financials appear undervalued compared to US counterparts.

Key Information

Trade of the Week: SX5E vs SPX

Eurozone equities are considered cheap on a cross-asset basis and compared to other developed markets.
European earnings have improved, supported by global growth.
The Love Panic index suggests that investor sentiment is overly pessimistic towards eurozone equities and overly optimistic towards US equities.
The differential between SX5E and SPX is at multi-year highs, indicating potential upside for eurozone equities.
A trade idea is proposed: buying the outperformance of SX5E over SPX with a September 2017 expiry, with a strike price of 102% and a call conditional on SPX being above 95% of its initial value.
The option is offered at 1.47%, which is cheaper than an outright 102% call.

Dial-in and Replay Numbers

The call is broadcast live every Wednesday from New York, London, Brussels, Hong Kong, and Tokyo.
Dial-in details are provided for various countries, with the password being "The BNP Paribas Markets Call."
Replay numbers are available for 5 days after the call and are listed for different regions.

Tables and Data

Table: 1-Month Prognosis vs Current Levels

Asset	28/02/2017 LDN Close	1-Month Prognosis	Prognosis vs Current
EURUSD	1.061	1.050	-1.02%
GBPUSD	1.242	1.240	-0.12%
USDJPY	111.93	115.00	+2.74%
10y Gilt	1.15%	1.50%	+0.35%
10y Bund	21bp	30bp	+9.2bp
10y Tsy	2.35%	2.60%	+0.15%
10y JGB	6bp	9bp	+3bp
S&P	2,360	2,300	-2.55%
SX5E	3,320	3,300	-0.59%
SX7E	114	113	-0.77%
FTSE 100	7,263	7,260	-0.05%
Nikkei 225	19,119	19,200	+0.42%
Gold	1,256	1,250	-0.51%
Oil (CL1)	53	50	-6.24%
Itraxx Main S26	73bp	80bp	+7bp
Itraxx Xover S26	292bp	300bp	+8bp
CDX IG S27	62bp	65bp	+3bp

Table: Asset Flows

Asset Class	Flows in M (Week)	WoW % flows	Flows in M (Mth)	MoM % flows	AUM (in M)
US stocks	8,032	0.7%	12,240	1.1%	1,164,461
US HY	629	0.4%	1,396	0.9%	162,425
US HG	1,284	0.5%	4,856	1.7%	284,191
EU stocks	281	0.2%	927	0.7%	143,114
EU HY	82	0.1%	159	0.3%	62,644
EU HG	-471	-0.3%	-1,425	-1.0%	142,087
EM Bonds	647	0.6%	3,353	3.1%	109,985
EM stocks	808	0.4%	6,940	3.2%	224,289

Table: Net Supply of EBGs (minus PSPP)

Country	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Austria	-0.6	-5.9	-0.7	-0.2	-0.2	-0.2	-0.1	-0.3	-7.9	4.6	-1.3	0.0
Belgium	3.5	0.1	-8.8	6.7	-1.8	-9.4	1.3	-1.2	-5.4	-0.2	0.8	-1.5
Finland	-0.7	-0.7	4.5	-5.5	-0.5	0.8	-0.5	3.6	-6.5	0.8	-25.9	-7.1
France	14.8	-10.7	6.5	-12.7	9.0	8.5	-23.0	1.9	11.9	-28.8	7.2	-3.1
Germany	-20.0	-13.7	-10.5	-13.4	7.1	-9.9	-16.9	13.2	-9.4	-10.0	6.6	-15.0
Italy	12.0	-19.7	3.7	8.7	-14.1	-16.3	16.0	-31.5	2.5	10.3	-25.9	-7.1
Netherlands	-10.6	-3.2	3.6	-12.6	1.0	3.3	-12.4	-1.6	2.3	-0.2	0.3	-1.9
Portugal	2.3	-0.5	2.0	1.2	1.1	0.7	1.0	0.9	0.5	-6.1	-0.4	-0.3
Spain	-11.7	0.0	6.1	1.3	-16.5	5.9	-8.3	0.0	3.5	-16.7	2.3	0.9
Grand Total	-7.5	-53.4	5.9	-26.0	-14.2	-16.9	-43.4	-15.2	-7.7	-51.7	-9.0	-28.7

Conclusion

The report emphasizes that while the market is currently complacent and shows low volatility, there are underlying risks and potential opportunities. The European market, particularly the eurozone, is seen as undervalued and may outperform the US market due to political risks and improving fundamentals. Investors are advised to consider the SX5E vs SPX trade as a strategic opportunity, given the current sentiment and valuation differences. The report also highlights the importance of monitoring the Fed's rate hike probability and the potential for the 2s10s curve to flatten further.

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