德银-欧洲-投资策略-欧洲2020年宏观展望-2019.12.9.pdf

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1、DeutscheBankResearchGlobalRatesDate9December2019GlobalRelativeValueEURVol2020OutlookPanosGiannopoulosWeprovideanoverviewofthedifferentmacroregimesthatdroveEURratesvolinStrategist2019andtheregimesthatcanprovideatemplatein2020.Broadlyspeaking,we+44-20-754-73316highlightfou

2、rmacrodriversthatwilldeterminethedirectionoftravelforvolatilitySiddharthGargin2020.Wemaintainourbearishvegaviewheadinginto2020.Infact,wethinkResearchAssociatethata"bearishdelta/bearishvega"portfolioisattractivein2020andisbetterdiversifiedthanthepurebearishvegaportfolio,a

3、lsoinlinewithourmacrooutlook.Wealsothinkthatthereceiverskewis,ingeneral,expensivegiventheECBoutlook.Ouranalysishighlightstheattractivenessofintermediate(eg5y2s30s)bullsteepenersaswellas'diagonal'(eg10y2y-15y30y)bearsteepeners.Whencomparingvoltotheswapcurve(includingourca

4、rry/convexity/valuationframework)wefindthatlongdatedsteepeners(20s40sor30s50s)are'cheap'expressionsofthebearishvegaview.Ourmodelportfolioispositionedaccordingly.Weprovideacrossassetvolatilitycomparisonanddiscussprosandconsofusingan1yEUR/USDOTMFXcallasacheapproxyfor1yEURr

5、atepayer.Newtraderecommendations:nLongEUR1y10ypayerspread,shortUSD1y10yOTMpayer(modestnarrowingbiaswhilstrisksaremoreasymmetrictowardsasell-offforEURrateswhilstvolvaluationsattractive)nEUR5y30y1x2receiverspread(shortvega,shortreceiverskew,modestlyshortdelta)nEUR5y30yA+50

6、/A+100/A+150payerfly(lowbetabearishtrade,lowpremium,limiteddownside,flatcarry).Mostasymmetrictradeswithbearishbias:nLongdatedpayerfliessuchas5y30ypayerfly-lowbeta,limiteddownside,flatcarrymakeiteasytohold.n1y1y-2y1yEoniasteepener(orERH1-Z1steepener)-whilsthighercurrently

7、thantheflattestlevels,thisisthepartofthecurvewiththehighestexAnteasymmetry.Distributedon:09/12/201911:27:08GMTDeutscheBankAG/LondonDISCLOSURESANDANALYSTCERTIFICATIONSARELOCATEDINAPPENDIX1.MCI(P)066/04/2019.7T2se3r0Ot6kwoPa9December2019GlobalRelativeValueMacro-Reviewing20

8、19and2020outlookWefirstprovideanoverviewofthedifferentmacroregimesthatdrovevolatilityin2019.“Historydoe