全球利率前景展望-欧洲央行能否提供温和渐变

《全球利率前景展望-欧洲央行能否提供温和渐变》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、GlobalMacroStrategyGlobalRatesLandscape:CantheECBdeliveradovishtapering?CantheECBdeliveradovishtapering?WiththeGoverningCouncilshowingnorushtomakeataperingdecision,thekeyquestionishow'dovish'cantheECBmakeitspolicynormalisationpath.DrillingdeepintothedynamicsofQE,

2、wefindthatatareducedpaceof€40bn/month,theECBhasflexibilityforadrawn-outtaperingprocesswithlimitedcapitalkeydilution(possiblyaddingupto€480bnofadditionalAPPpurchasesin2018).Nonetheless,stress-testingourpreviousestimates,wefindthatasignificantQEextensionatthecurren

3、tpace(€60bn/month)isonlymathematicallypossible.WiththerequiredcapitalkeydeviationstheAPPwouldbecomecompletelyskewedtowardspurchasesinFranceandItaly.WeexpectagradualpolicynormalisationpathfromtheECBwithQEextensionatareducedpacetobedecidedintheautumn.Thisshouldbeth

4、estartingpointofaflexibletaperingprocesswithoutapredefinedschedule.OurbasecaseremainsquarterlyreductionsofQEpurchasesover6to9months(€180-210bnofadditionalAPPpurchases),buttheECBhasflexibilitytobemoregradual,ifnecessary.US:2s10sflattenersofferbetterrisk-rewardthan

5、sellingshort-endfuturesTheJulyFOMCstatementdoesnotalterouryear-end10yrcallat2.40%aswebelievebalancesheetunwindiswellpricedintothemarket.RelativetoeasierfinancialconditionssinceJune,thenear-termhikepathseemsquitemispriced.However,sellingshort-endFedfundsfuturesmay

6、notbeoptimalaswehavedebtceilingnegotiationslooming.Pastdebtlimitepisodesindicatethata2s10sflatteneristhebestrisk-rewardtrade.Moreover,the2s10sflattenertradealignswithourfundamentalview.EUR:GoldilocksboostforEGBspreadsEGBspreadsareenjoyingagoldilocksscenario.Weexp

7、ecttheECBtofurtherreducepurchasesin2018,resultinginthesmallestamountofnetassetpurchasessincetheinceptionoftheAPP.OuranalysissuggeststhatPSPPredemptionsareunlikelytobea'perfectsubstitute'forthedecliningnetassetpurchases.WeseevalueinFrenchandBelgiancreditcurvesteep

8、enersandholdontoour5s30sOATsteepenersand5s30sBTPssteepenervsSPGBflatteners.UK:AugustQIRmaysticktothescript,butthemarkethasadifferentviewUKGDPinthefirsthalfof20