巴黎银行-全球-宏观策略-第二轮量化宽松和新的欧元收益率预测-20190703.pdf

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1、FOCUS

2、EUROZONEPleaserefertoimportantinformationand3July2019MARdisclosuresattheendofthisreportG10INTERESTRATESQE2andnewEURyieldforecastsBNPParibaseconomistsnowforecasttheECBtoKEYMESSAGESdeliveronedepocutinSeptemberandoneinOctober,followedinDecemberbytheannouncementWeadjustourforecastsandlaunchanew

3、ofaEUR40bn/monthassetpurchaseprogrammetoBTP/Bundtradeideafollowingoureconomists’newlastbetweensixandninemonths.ECBcall.OurintrinsicvaluemodelsuggestsaEUR35bnriseinOurend-20192yand10yBundyieldforecastsBundholdingshasa5.5bpdampeningeffectonhavebeenloweredto-85bpand-50bpyields.respectively.Thepaceof

4、APPpurchasesisasimportantastheWenowexpectthe10yOAT/Bundspreadtoriseinexcessliquidity,ifnotmoreso.tightenbackto20bp,the10yBono/BundspreadtoSpreadstendtoanticipateQEandwethinktheycouldfallto50bpandthe10yBTP/BundspreadtofallcompressfullybeforetheECBannouncesitsAPP.below170bpbytheendoftheyear.TRADEID

5、EASNewtrade:InvestorsagreeingwithourECBAPPcallcouldbenefitfromtheverysteepBTPcurveandgolongBTPSep49versusBundAug48.Entry:237bp.Target:200bp.Stop:250bp.1mthprofitofcarry:+1.2bp.StaylongtheOATinvoicespreadwithanewtargetof33-35bp.Staylong15yOATversus7yBono.NewBNPParibasEURratesforecastsSep-19Dec-

6、19Dec-20GermanySpot(bp)NewForecastvsForecastvsNewforecastNewforecastForecastvsforwardinbpforecastforwardinbpforwardinbp2y-0.76-0.85-6-0.85-6-0.85-95y-0.68-0.75-8-0.75-10-0.75-1910y-0.35-0.45-12-0.50-20-0.40-2330y0.250.10-160.00-270.10-21Sep-19Dec-19Dec-2010yspreadstoSpot(bp)NewForwardGermanyNewfo

7、recastForwardspreadNewforecastForwardspreadforecastspreadFrance28202820292030Italy197190202179208150230Spain64556550685070Source:BNPParibasEricOynoyan,G10RatesStrategist

8、BNPParibasLondonBranch

9、FOCUS03/07/20191G10INTERESTRATESTheAPP’seffectonBundyieldintrinsicvalueThemodelsuggeststhatthecurrentmar

10、ketlevelmaybeBundQEpremiumisrelatedtotheAPPexplainedwithadeclineininflationtobelow0.5%andanholdingsandtheexcessliquidityintheEuroincreaseinincreaseliquidityofEUR400bn,Orsystemalternatively,withcurrentinflationstableat