巴黎银行-欧洲-投资策略-欧洲STOXX 50股息监测器-20190703.pdf

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1、FOCUS

2、SX5EDividendsPleaserefertoimportantinformationandMARdisclosuresattheendofthisreport3July2019TMEQUITYDERIVATIVESEuroSTOXX50dividendmonitorKEYMESSAGESWhatispricedinThereshufflecouldimpactupto4.2pointsonourbaseDEDZ1remains,inourview,thesweetspotonthecaseforbo

3、th2020and2021.Theimpactontheimpliedcurveforcarrytradeswith6.5%expected1yreturn.basketofsinglestockdividendfutures(SSDF)wouldbeEuroSTOXX50dividendsremaindiscountedto3.3and2.9pointson2020and2021maturitiesfundamentalexpectationsbutinourviewtheydorespectively.notapp

4、eardislocatedwhenlookingatSX5EandHowever,DEDZ0doesnotcurrentlyappeartopriceinbundyields.thesereshufflerisks–reflectedinthebottomupofOnshort-termmaturities,theriskaroundtheSSDF,whereDEDZ0iscurrentlytradingataslightSeptemberindexreshuffleremainhigh,especiallypremi

5、umto2020SSDFs.asthe2020maturitydoesnotseemtopriceintheMeanwhileDEDZ1istradingata1.8ptdiscounttoreshufflerisks.Theseriskscouldhavea-4.2pointSSDFs,andthereforeseemstoalreadyaccountforimpactonourbasecaseifUnibailandSociete60%ofthemaximumimpactonthematurity(2.9pts)o

6、fGeneraleexittheindex.thenextSeptemberreshuffle.Long-termdividendyieldshavelaggedthepullbackWecontinuetofavourDEDZ1forSX5EdividendcarryinEuropeanbondyields,andcurrentlyappearrichtrades,asthematuritydisplaysthehighestexpected1yversus10yregressionlevels.return,fac

7、toringinthereshufflerisks.ReshuffleupdateLong-termimplieddividendyieldsappearrichNasperhasdelayedthelistingofNewcoinAmsterdam,Long-termdividendyieldshavelaggedthepull-backinremovingtheriskofitsinclusionthisyearintheEuroEuropeanbondyields,andcurrentlyappearrichST

8、OXX50(SX5E).PernodRicardstilldoesnotpasscomparedtocurrentbundlevels/inflationswaps.Onathesector-basedinitialfilter,butisclosetobeingeligiblehistorical10yregression(Figure2),thecurrent6ytoentertheindex.implieddividendyieldpointsto0.2%and1.5%forUnibailandSocieteGe

9、neralearejust4.0%and2.7%bundsand5y5yinflationswapsrespectively.respectivelyabovethecurrentautomaticdeletionWecontinuetofavourrelative-valuetradesforSX5Ethreshold.Ifei