巴黎银行-欧洲-宏观策略-欧元区与贸易机会：2019同步减速-20181206-60页_6mb

报告摘要

Summary of Document: EUROZONE & TRADING OPPORTUNITIES

Core Content

This report provides an analysis of the eurozone's economic and financial landscape in late 2018 and early 2019, focusing on interest rates, bond yields, inflation expectations, and cross-border investment flows. It is authored by Eric Oynoyan, a Senior Fixed Income Strategist at BNP Paribas London Branch.

Main Views

Yield Trends

Bund Yields: The risk of a rally since October pushed yields to very low levels, but the author believes they are "floored" in the 25/30bp range. The yield is expected to rise to mid-50s in Q1 2019 due to upcoming supply, overstretched valuations, and stabilisation of equity indices.
Risk of a rise above 75bp: Not expected before H2 2019 due to political uncertainty.

Curve Dynamics

2s10s Segment: Found strong support in the 90/95bp area, with re-steepening expected in Q1 2019.
Short End of EUR Curve: Adjusted lower after the June ECB meeting.
5y to 10y Segment: Still trading with a high QE premium.
BTP Curve: Too steep, with the short end offering an attractive carry and rolldown.
Bono Curve: Remains too steep.
Pension Fund Positions: Improved, but renewed receiving in 30y swaps and buying in 15y/20y core is expected with higher yields.

Spread Analysis

10y OAT/Bund Spread: Expected to trade in a tight range and tighten to 25bp in H2-2019.
BTPs: Overpriced for rating downgrades (more than four), but not expected to happen.
10y BTP/Bund Spread: Expected to stabilise around 300bp in the near-term, widen to 350bp in Q2-2019, and tighten back in H2-2019.
PGBs: Remain expensive versus the EGB curve and Bonos.

Growth Forecasts

Global Slowdown: Expected across major economies, with the eurozone growth forecast below consensus.
Eurozone GDP Growth: 1.9% in 2018, expected to decelerate to 1.4% in 2019 and 1.2% in 2020.
Monetary Conditions: Tightening in most economies, with stronger consumption potentially weighing on funding costs and liquidity.

Inflation Expectations

Eurozone Core CPI: Expected to reach 1.6% in 2019 and 1.7% in 2020.
Headline HICP: Expected to stabilise at 1.8% in 2019 and decelerate slightly to 1.5% in 2020.

Trading Opportunities

Outright Positions

EUR 30y10y Swap: Paid at 1.56% and 1.45% in Q3 2018, with a stop at 1.37% and a 1y rolldown of +2bp.
July 2019 ECB Meeting: Paid at -34bp, targeting -30bp, with a stop at -37bp.

Curve Trades

Bono 7s15s Flattener: Structural flattener at 114bp and 118bp, targeting 100bp.
EUR 3y Expiry 2s30s Conditional Steepener: Entered at -1.9bp, targeting +13bp.
USD 2s10s30s Swap Fly: Entered at 11bp, targeting 30bp.
OAT Apr 26/May 36 ASW Box: Structural compression trade at 30bp, targeting 15bp.
Bono Oct 22/PGB Oct 22 Widener: Entered at 12bp and 8bp, targeting mid-20s.
Short Bund ASW vs 10y UST ASW: Target at 47bp, aiming for 30bp.

FX Forecasts

EURUSD: Expected to rise from 1.13 to 1.17 in Q2 2019, then to 1.25 in Q4 2019, and 1.34 in Q4 2020.
EURJPY: Expected to fall from 129 to 126 in Q2 2019, then to 125 in Q4 2019, and 121 in Q4 2020.
GBPUSD: Expected to rise from 1.28 to 1.36 in Q2 2019, then to 1.47 in Q4 2019, and 1.58 in Q4 2020.
USDJPY: Expected to fall from 114 to 108 in Q2 2019, then to 100 in Q4 2019, and 90 in Q4 2020.
USDCNY: Expected to fall from 6.94 to 6.70 in Q2 2019, then to 6.85 in Q4 2019, and 6.50 in Q4 2020.

Interest Rate Forecasts

US Fed Funds: Expected to rise from 2.00-2.25% to 2.75-3.00% in Q2 2019 and remain stable in Q4 2019 and Q4 2020.
US 2-year Yield: Expected to rise to 3.30% in Q2 2019, then to 3.25% in Q4 2019, and 2.75% in Q4 2020.
US 10-year Yield: Expected to rise to 3.40% in Q2 2019, then to 3.50% in Q4 2019, and 3.25% in Q4 2020.
Eurozone Deposit Rate: Expected to rise from -0.40% to -0.20% in Q3 2019 and to 0.00% in Q4 2020.
Eurozone 2-year Yield: Expected to rise from -0.61% to 0.00% in Q4 2020.
Eurozone 10-year Yield: Expected to rise from 0.36% to 1.00% in Q3 2019 and to 0.90% in Q4 2020.
France (10y): Expected to widen from 38bp to 40bp in 2018, then to 25bp in 2019 and 25bp in 2020.
Italy (10y): Expected to widen from 290bp to 350bp in 2019, then to 275bp in 2020.
Spain (10y): Expected to narrow from 120bp to 130bp in 2018, then to 90bp in 2019 and 90bp in 2020.

Key Indicators and Trends

PMIs: Have been decelerating.
G3 CBs: Adopted a less accommodative stance.
Unemployment Rates: Below the NAIRU for most countries.
Output Gaps: At or above 0 in 2018.
Core Inflation Leading Indicator (LICI): Shows inflationary pressure, with values above zero indicating above average inflation.
Japanese Investors: Net sellers of US Treasuries and net buyers of OATs since October 2017.
ECB PSPP Redemptions: Expected to peak in 2019 and remain high in 2020, with a total of more than EUR800bn to be reinvested by the end of 2027.

Carry and Rollover Analysis

1y Carry and Rollover: Stable for Portugal and Spain, but declined for Germany and rose for Italy.
1y Carry and Rollover (before budget release): Showed different dynamics across maturities.
Current 1y Carry and Rollover (5 December 2018): Highlights varying levels across different countries and maturities.

QE and Yield Correlation

Gross G4 QE: Has a significant negative correlation with 10y Bund and UST yields, and a positive correlation with 10s30s curve.
QE Premium: Returned to early 2017 levels, with Bund yields below 30bp.
Correlation Table: Shows varying degrees of correlation between QE and different yield series.

Conclusion

The report outlines a scenario of a synchronized slowdown in major economies, with the eurozone expected to experience a gradual deceleration in GDP growth and a rise in bond yields. It also highlights the role of the ECB in influencing the yield curve and the shift in investor behavior, particularly from Japanese investors, who have been net buyers of eurozone bonds. The analysis suggests that the 10y Bund yield is likely to rise to mid-50s in Q1 2019, with a gradual correction in the risk-off premium. The document concludes with a detailed view on carry and rolldown opportunities, as well as the expected impact of QE on yield curves.

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