巴黎银行欧洲外汇策略长期英镑兑欧元互换远期合约进一步扩大

1、Please refer to important information and MAR disclosures at the end of this reportG10 INTEREST RATESLong-dated GBP vs EUR swap forwards to widen furtherTRADE IDEAFalling UK LDI demand could put upward pressure on long-dated GBP forward rates, but we expect demand for long-dated forwards to remain s

2、trong in the eurozone. The data suggest that UK defined benefit (DB) schemes have continued to de-risk theirNew trade: Pay 10y20y GBP swap forward vs receive 10y20y EUR swap forward. Entry: 30bp. Target: 80bp. Stop: 0bp. Carry: flat. Current: 30bp.portfolios. While we do not expeignificant changeClo

3、sing trade: Pay 10y20y GBP swap forward receive 10y20y USD swap forward. Profit: 27bp.vsto traditional LDI, it may be peaking. We expect cash- driven investment to increase resulting in a shift into shorter-dated, often higher-yielding securities and, onbalance, a reduction in demand for long-dated

4、Gilts (see our previous note for more details).This is in contrast to Dutch pension funds, which have EUR1.4trn in AUM. A significant drop in their funding ratios in May on the back of the fall in rates and weakening of equities. Swap rates have since fallen further suggesting that a recovery in fun

5、ding ratios is unlikely in the near term. Meanwhile, the impact of the new UFR methodology, to be introduced by 2021, is likely to weigh on many Dutch pension funds funding ratios. Were bond yields to fall and the stock market to correct, we would expect de-risking via long-term bonds and swaps. Ban

6、k ALM receiving flows on the back of expectations that rates will stay lower for longer would also be likely to contribute to a fall in long-end forwards (see our recent note for more).Fiscal easing possible in the UK, less so in the eurozone. In the UK, the political outlook whoever is chosen as th

7、e next prime minister and whatever the Brexit outcome appears to imply a rise in the governments budget deficit and therefore gilt funding, putting upward pressure on long-dated GBP forwards (Figure 2). In a recent speech “Sea change”, BoE governor Mark Carney said that if there was a material trade

8、 shock, other policies, including fiscal policy, would probably need to support the economy.This outlook contrasts with the eurozone, where there is limited evidence of fiscal expansion at best, bar in countries where it risks breaching EU fiscal rules, resulting in political friction with EU instit

9、utions.Fig. 1: GBP vs EUR 10y20y swap forwardsSources: Macrobond, BNP ParibasAgne Stengeryte, Europe rates Strategist | BNP Paribas London Branch| TRADE IDEAS18/07/20191KEY MESSAGESLast December, we argued that long-dated USD and GBP swap forwards were likely to converge due to two main drivers: a d

10、ivergence in the de-risking of US and UK defined benefit pension schemes and a narrowing of the forward rate differential between the UK and the US.We continue to expect the GBP leg to underperform, but now prefer to position for this view against EUR swap.We expect the spread to widen further due t

11、o differences in LDI demand dynamics and in monetary and fiscal policy.TRADE IDEA | EUROPE18 July 2019获取报告1、2、3、每周群内7+报告；当日华尔街日报、4、行研报告均为公开利归原作者所有，起点财经仅分发做内部学习。扫一扫关注 回复：加入“起点财经”群。G10 INTEREST RATESThere is a risk that the EUs fiscal rules result in an excessive tightening of member states fiscal pol

12、icies asInflation dynamics in the UK and Europe suggest long-dated swap forward divergence can extend. In the eurozone, long-end swap forwards appear to be sensitive to market inflation expectations (Figure 4). We expect eurozone inflation to remain weak in Q3 with any pickup later this year and at

13、the start of next year likely to be limited. Therefore, we would expect inflation expectations to remain anchored close to current levels, but, as illustrated by the blue area in Figure 4, a significant rally in long-end forwards is possible with inflation expectations broadly unchanged, as was the

14、case in March 2015.In the UK, the relationship between long-end swap forwards and market inflation expectations is less stable, but, if anything, currently suggests 10y20y GBP swap forwards are slightly low versus the level of 5y5y RPI breakeven swap (Fig. 5). We would expect the inflation risk prem

15、ium to fall further if risks of a no-deal Brexit subside. A no-deal Brexit would be damaging for GDP growth in the near term and the immediate reaction by 10y20y would be to rally, as was the case following the Brexit referendum in March 2016. Looking through the immediate reaction, however, the inc

16、reased risk of long- term inflation pressures and of fiscal expansion would, we believe, soon raise long-dated UK forward rates by some extent, as can be seen in the blue area in Figure 5.the economy weakens., we expect economicactivity to be weak in Italy which could risk fiscal tightening if the c

17、ountry abides by fiscal rules.BoE and ECB monetary policies to diverge. UK monetary policy remains very accommodative (Figure 3) and as the probability of a no-deal Brexit remains high (40% in our view), the current market pricing of the risk seems fair to us. Were a no-deal Brexit avoided and Brexi

18、t uncertainty reduced, we would expect Bank rate to be raised ahead something that is not currently priced in also suggesting upward pressure on rates along the term structure.In contrast, in the eurozone, we expect the ECB to have reintroduced an easing bias into its forward guidance, delivered two

19、 10bp cuts to the deposit rate, introduced tiering and announced a resumption of quantitative easing all by the end of 2019 (see our recent note for more). With the EUR curve relatively steep versus the GBP curve, an announcement of rate tiering increasingly likely in our view and LDI demand unlikel

20、y to subside, we expect EUR long-dated forwards to reprice downwards.Fig. 2: UK PSNB vs GBP 10y20y swap forwardFig. 3: BoE policy remains very accommodativeSources: Bloomberg, BNP Paribas. To estimate GBP 3yF1y , we subtract the forward RPI swap from Sonia forward swap, and adjust for 100bp RPI/CPI

21、wedge. Note there are various and wide-ranging estimates of the natural rate.Sources: Macrobond, BNP ParibasFig. 5: GBP inflation expectations vs long-end swap forwardFig. 4: EUR inflation expectations vs long-end swap forwardSources: Macribond, BNP Paribas. Green area denotes relationship since 201

22、5, blue the rally in EUR fwds around the start of QE in March 2015 and red area the relationship since the start of 2019.Sources: Macrobond, BNP Paribas. Green area denotes relationship since 2015, blue area relationship between the Brexit referendum and QE, red area the relationship since the start

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