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1、FOCUS
2、EUROZONEPleaserefertoimportantinformationand1August2019MARdisclosuresattheendofthisreportG10INTERESTRATES
3、MACROQUANT&DERIVATIVESPreECBQE2.0−revisitingGermanASWGermanASWmodelrefreshInthisreportweareupdatingourGermanASWKEYMESSAGESmodellingandvaluationgiven(i)ourcallfortheECB’sassetpurchaseprogra
4、mme(APP)toresume;RisingexpectationsofQEhaveledperipheraland(ii)renewedinvestorinterestinGermanASW.valuationstoreprice.ThishashadatighteningimpactonGermanASWfairvalues,aswesawpre-QEin2014.ThelastlegoftheBundrallyfromJune,fuelledbyrisingspeculationofQEresumptionbytheECB,didModelling:2yrollingistheopti
5、mumestimationperiodnotleadtoaricheningofGermanbondsversusswap.while+/-1.5sdfromfairvalueistheoptimumsignalforALMhedgingflows,infact,pushedASWlower,aswetrades,ouranalysissuggests.BundandBUXLASWareflaggedinALMhedginglikelytointensifytherally.belowfairvaluebutnotatthat1.5sdthresholdyet.Pre-QE2014period
6、−arecapAugustseasonalityandfurtherrepricinginItalianCDSRisingspeculationofECBQEin2014ledtoasteepaheadofQEshouldcapASWnearterm,inourview.decline(100bp)in5yItalianCDS.MostoftheWesuggestinvestorswaitforlow40sbylateAugustrepricingofperipheralspreadstoBundsoccurredbeforeenteringlongBundASW.beforetheECBan
7、nouncedPSPP.PeripheralspreadsbottomedoutjustafterthePSPPstarted.ThelongOATinvoicespreadlooksasafertradeatthemoment.Wetarget33/35bpinearlyQ4.AsFig.2shows,thepre-QEperiodcanbedividedintotwophases.Initially,therepricingofperipheralmarketriskaheadoftheECB’sPSPPweighedonGermanASW(phase1).Theturningpointf
8、orGermanASWcamewhenItalianCDSfoundafloor(startofphase2).BetweentheECB’sPSPPannouncementandthestartofthePSPP,ASWwidenedbackaboveourfairvalue(seeTable1).Fig.1:GermanASW&ECBQEFig.2:GermanASWinitiallytightenedon2014QEspeculationSource:BNPParibasSource:BNPParibas*corridorrepresentsthefairvalue+/-1.5stand
9、arddeviationEricOynoyan,G10RatesStrategist,EuropeMichaleSneyd,HeadofMacroQuantitative&DerivativesStrategy
10、BNPParibasLondonBranch
11、FOCUS01/08/20191G10INTERESTRATES
12、MACROQUANT&DERIVATIVESPreECBQE2.0−revi
