J.P. 摩根-全球-投资策略-2019年2月全球SSA展望-2019.2.20-42页.pdf

Global SSA Feb19 outlook:go for carry in-SSA vs DEMGlobal Rates Strategy20 February 2019Aditya ChordiaAC(44-20)7134-J.P.Morgan Securities plcGianluca Salford(44-20)7134-J.P.Morgan Securities plcAC Indicates certifying analyst.See last page for analyst certification and important disclosures.Phoebe White(1-212)834-J.P.Morgan Securities LLCLuke Chang(1-212)834-J.P.Morgan Securities LLCFrancis Diamond(44-20)7134-J.P.Morgan Securities plcAntoine Gaveau(44-20)7134-J.P.Morgan Securities plcG l o b a l S S A o u t l o o k1Summary-SSA-SSA spreads near term outlook:turn neutral-SSAs vs.swaps but maintain a bullish bias on-SSAs vs.Germany(slide 3)Trading theme 1:take profit on OW 10Y ESM vs.Germany;preference for OW 3-5Y sector,especially in ESM,in the near term on carry considerations(slide 4)Trading themes 2:stay OW German regional bonds vs.federal bonds in 8-20Y maturities;hold long 10Y NRW vs.Germany(slide 5)Trading theme 3:hold 10s/30s EFSF flattener vs.Germany on valuations and limited supply pressures(slide 6)Trading theme 4:stay OW KfW vs.Finnish and Dutch agencies as PSPP demand fades for smaller core agencies;hold UW 4-7Y FINNVE vs.KfW(slide 7)Trading theme 5:Spanish regional bonds at 15bp+pick up over sovereign bonds are attractive(slide 8)Supply:as expected-SSAs have been heavy issuers YTD with lower 10Y+;lower gross-supply in 2019 vs.2018(slides 13-14)ECB QE:we expect a monthly reinvestment pace of 1bn-2bn for the rest of 2019(slides 15-16)$-SSA$-SSA spreads outlook:while the balance of risks points to range bound spreads across$-SSA issuers,the spread pickup over US Agencies remains subdued near the narrow end of its 2-year range(slide 21)Trading themes:stay neutral on$-SSAs vs.US Agencies.Continue to favor KfW debt over EIB.We no longer recommend extending from 3Y to 5Y year EIB debt(slides 22-23)Supply:we make modest revisions to our supply forecast,and now look for$92bn in gross issuance of benchmark$-SSA debt over 2019,$3bn lower than we previously anticipated(slide 24)-SSA-SSA spreads outlook:-SSA 10Y ASW remain cheap historically vs.10Y gilt ASW but we have a neutral view over the short term(slide 28)Trading theme 1:close long EIB 1.125%Sep21 vs.gilt 3T21(slide 29)Trading theme 2:13Y EIB cheap vs.KfW,go long EIB 5.625%Jun32 vs.selling 9.77mn KfW 5.75%Jun32(slide 30)-SSA market update2-SSA market flow update12$-SSA market update20All exhibits shown in the presentation are sourced from J.P.Morgan unless otherwise stated-SSA market update25Appendix36G l o b a l S S A o u t l o o k310Y-SSAs are now trading marginally dear vs.swapsJ.P.Morgan-SSA fair value model statistics;2012-currentCore wtd(ex DEM)ASWGross PSPP flow(3M MA)*Italy political riskEFSF1.14-0.310.08-4.08.191%-3EIB0.97-0.920.07-8.76.594%-2ESM*0.72-0.220.06-12.25.179%-1EU0.81-1.180.05-13.36.692%0KfW0.34-3.070.02-14.34.286%-1NRW0.43-2.350.01-1.44.590%2BetaInterceptStd.error(bp)R-squared(%)Residual(bp)-SSA spreads near term outlook:turn neutral-SSAs vs.swaps but maintain a bullish bias on-SSAs vs.GermanyWe forecast 10Y-SSAs to outperform vs.swaps and vs.Germany in 2H19J.P.Morgan forecast of 10Y-SSA spreads;bpSince our last SSA outlook in mid-January,-SSAs have outperformed vs.swaps(1-5bp)and especially vs.Germany(1-7bp).The-SSAs outperformed despite widening of core sovereign spread vs.swaps and Germany(see slide 10).-SSA spread medium-term outlook:tightening bias vs.swaps and especially vs.Germany in 2H19 on tighter core spreads,narrower German swap spread and reduced Italy uncertainty-SSA spread near term outlook:after strong outperformance over the past month,we find-SSAs marginally dear vs.swaps and vs.core sovereigns.We,therefore,take some risk off the table and turn neutral-SSAs vs.swaps but maintain a bullish bias on-SSAs vs.GermanyDrivers of our-SSA outlook:Valuations:current 10Y spread vs.swaps are 3-5bp dear based on our fair value framework Supply:lower gross-supply in 2019 vs.2018 mainly due to lower EIB,ESM&EFSF supply;we expect lower 10Y+supply compared to QE periodQE:despite the end of net QE,supply vs.QE dynamics in 2019 will deteriorate only marginally vs.2018 due to lower supply and increasing PSPP redemptions(see slide 15)Idiosyncratic factors:Italy to remain a key driver in the near term,with our expectation of 10Y Italy-Germany to range trade at 250-300bp,Brexit remains the main wild card for-SSA markets for 2019;we do not expect material impact on EIB due to UK withdrawal*ASW=bond yield maturity matched swap yield.Note:Forecast vs.Germany calculated as forecast vs.swaps German swap spread forecast.Source:J.P.Morgan*Gross PSPP flow defined as net PSPP flow+PSPP reinvestments.*For ESM analysis starts in November 2013.Note:all explanatory variables are statistically significant.See2019-SSA outlook for details on J.P.Morgan-SSA fair value model.Source:J.P.Morgan19-Feb1Q192Q193Q194Q19EFSF-7-6-7-9-11EIB-10-9-10-12-14ESM-9-9-10-14-15EU-11-14-14-18-19KfW-17-17-17-19-19NRW-5-9-9-10-11EFSF4748433937EIB4545403634ESM4645403433EU4440363029KfW3837332929NRW5045413837Memo:Core wtd.ASW ex Germany-14-18-18-21-22Core wtd.ASW to Germany413632272610Y German b/m ASW-55-54-50-48-4810Y Italy-Germany270260250225215Gross PSPP flow supras1.61.61.61.61.6Gross PSPP flow German agencies0.60.60.60.60.6Gross PSPP flow German regions0.80.80.80.80.8vs.Germany vs.swapsG l o b a l S S A o u t l o o k4Trading theme 1:take profit on OW 10Y ESM vs.Germany but maintain a bullish bias on-SSA vs.Germany with preference for 3-5Y sectorWe take profit on OW 10Y ESM vs.Germany but maintain a bullish bias on-SSA vs.Germany given our medium-term view.We prefer 3-5Y sector,especially in ESM,for OW in the near-term on carry considerationsValuations:after the recent outperformance vs.core sovereigns-SSAs are now trading marginally dear vs.swaps in our fair value framework.Over the medium term,we still expect-SSAs to outperform vs.swaps and vs.Germany given our view of tighter core spreads,narrower German swap spread and reduced Italy uncertainty.However,in the near term,we see room for a more sideways move and small relative underperformance vs.other core sovereigns(ex Germany).We,therefore,close longs 10Y ESM vs.Germany,but retain a bullish bias Carry considerations:we find 3-5Y sector attractive in-SSA space to express OW-SSA vs.Germany on carry considerationsIssuer and sector preference:we prefer ESM to express OW view in 3-5Y maturities on attractive valuations.2-5Y ESM trades flat or small pick-up to lower rated EFSF in those maturitiesTrade detail:close long 10Y ESM vs.Germany,close long 25mn ESM Sep28 vs.24.4mn Bund Aug28 47.5bp.3M carry:1.0bp&3M slide:0bp.P&L since inception(17 September 2019):3.5bp.After the recent outperformance vs.core sovereigns-SSAs are now trading marginally dear vs.swaps in our fair value frameworkResidual of J.P.Morgan-SSA fair value model;bpNote:See exhibit on previous slide for model details.Y variable:avg.of 10Y EFSF,EIB,ESM,EU,KfW and NRW ASW spread-SSA offer attractive carry over Germany,especially in 3-5Y maturities3M carry for-SSA vs.Germany benchmark spread;bp*Average of EFSF,EIB,EU,ESM and KfW.ESM only added since November 2013.Source:J.P.Morgan-25-20-15-10-5051015202520132015201720190.00.51.01.52.02.53.03Y5Y10Y30YEFSFEIBESMEUKfWG l o b a l S S A o u t l o o k5Trading theme 2:stay OW German regional bonds vs.federal bonds in 8-20Y maturities;hold long 10Y NRW vs.GermanyRemain OW German regional debt vs.Germany via longs in 10Y NRW vs.Germany on attractive pick-up,ongoing PSPP reinvestment flows and limited supply pressuresValuations:over the past month German regional spreads outperformed vs.Germany but underperformed relative to KfW and supranationals.German regional spreads in 5Y+maturities are still trading close to their widest levels since 2013;also based on our fair value framework(see slide 3),10Y NRW-Germany spread is trading around 3bp too wide at current levelsOngoing PSPP pressures:as discussed in our previous piece on QE reinvestments,there is limited room for PSPP purchases on German federal curve,therefore we expect PSPP re-investments in Germany to be allocated more to regional bonds as we believe there is still room in regional space given that PSPP regional purchases started around a year later in early 2016Limited supply pressures:German states are running close to a balanced budget if not a small surplus,therefore net issuance over the last couple years and also going forward will be close to zeroSector preference:the NRW vs.KfW spread is now trading at the wide end of its past few years trading ranges,especially in the long end.We,therefore,find value in 8-20Y sector on the German regional curve for OW,whereas,in shorter maturities,KfW offers better value(see slide 7 for details on OW short end KfW view)Trade detail:keep long 10Y NRW vs.Germany,open long 25mn NRW Nov28 vs.short 24.9mn Bund Aug28 53.4bp.3M carry:1.0bp and 3M slide:0bp.P&L since inception(17 September 2019):3.0bp.8-20Y German regional bonds are attractive,in our view,at more than 50bp pick up over German federal bondsFrench,KfW and NRW bonds vs.interpolated German curve;bpGerman regional bond spread vs.KfW is now trading at the wide end of their past few years trading ranges,especially in the long end 5Y and 10Y NRW-KfWASW*spread;bp*ASW=bond yield maturity matched swap yield.Source:J.P.Morgan020406080201920242029203420392044FranceKfWNRWBond maturity date024681012141618Aug 17Feb 18Aug 18Feb 195Y NRW-KfW10Y NRW-KfWG l o b a l S S A o u t l o o k610s/30s-SSA credit curve vs.Germany continued to steepen similar to 10s/30s French credit curve and is now trading close to its steepest levels 10s/30s-SSA*vs.Germany and France vs.Germany boxes;bpTrading theme 3:10s/30s-SSA credit curve flatteners are attractive proxy for-SSA OW;hold 10s/30s EFSF flattener vs.GermanyWe like 10s/30s-SSA flatteners vs.Germany as a proxy for OW-SSAs vs.Germany;hold 10s/30s EFSF flattener vs.Germany on valuations and limited supply pressuresValuations:The 10s/30s-SSA credit curve vs.Germany continued to steepen,similar to 10s/30s French credit curve over the past few months,and is now trading steeper compared to pre-QE levels and just marginally flatter than 2016 levels(due to heavy 10Y+EFSF supply in 2016)Proxy for OW-SSA:The 10s/30s-SSA vs.Germany curve has shown strong directionality vs.level of 10Y-SSA spread vs.Germany and is now trading more than 5bp too steep vs.the level of 10Y spreads.Declining supply pressures:We also expect average-SSA issuance maturity to decline in 2019(see slide 13),which should help the credit curve flattening view Issuer preference:We prefer to express the view via EFSF credit curve flatteners as EFSF credit curve is one of the steepest in-SSA space.Also the EFSF has already completed its 1Q19 issuance target of 7.5bn and therefore supply pressure should be limited until end of 1QTrade detail:keep10s/30s EFSF flattener vs.Germany;long 25mn EFSF Jul48 vs.short 63.4mn EFSF Feb28 and short 22.9mn Bund Feb28 vs.long 62.8mn Bund Feb28 22.2bp.3M carry:0bp and 3M slide:1.0bp.P&L since inception(7 June 2018):-9.5bp*For 10s/30s-SSA history we use EFSF and EIB credit curve.We exclude ESM due to lack of history and KfW/EU due to lack of 30Y benchmark.Source:J.P.Morgan 10s/30s-SSA credit curves vs.Germany are trading 5-6bp too steep vs.the level of 10Y spreads10s/30s*-SSA vs.Germany boxes regressed against 10Y spread to Germany;past 12M bp*For 10s/30s analysis we use EFSF,EIB and ESM credit curves.We exclude KfW/EU due to lack of 30Y benchmark.Source:J.P.Morgan 024681012141618201520253035404550556010Y SSAvs.Germany;bpY=0.35 X1-3.86R=78%-5051015202530101520253035404520152017201910s/30s SSAvs.Germany10s/30s France vs.GermanyG l o b a l S S A o u t l o o k7We see room for further underperformance of Dutch and Finnish agency bonds vs.KfW on reduced QE flowsBNG,KfW,Finnvera and MuniFin ASW curves*;bpTrading theme 4:Stay OW KfW vs.Finnish and Dutch agencies as PSPP demand fades for smaller core agencies;hold UW 4-7Y FINNVE vs.KfWWe see room for further Dutch and mainly Finnish agencies to underperform vs.KfW on back of reduced QE flows in these agency bonds after the end of net QEAfter significant underperformance around year end,the Dutch and Finnish agencies moved broadly sideways vs.KfW over recentmonths.The Dutch and Finnish agency bonds are still trading in the lower half of their past few years trading ranges vs.KfW;FINNVE bonds were the relative outperformers among these agencies recently and are still trading close to their tightest levels vs.KfWAs discussed in our 2019-SSA outlook,we expect demand dynamics to deteriorate in 2019 after the end of net QE purchases for smaller core agencies relative to KfW,thus warranting a wider spread vs.KFWOW KfW vs.smaller core agencies is also a good hedge against risk-off dynamics in markets,as was the case during 2017 French Presidential election and to a lower extent during May 2018 Italy political uncertainty Trade detail:keep short 5Y FINNVE vs.KfW:open short 25mn FINNVE Apr26 vs.25.4 KfW Mar26 12.3bp,3M carry:-0.5bp and 3M slide:0bp.P&L since inception(17 September 2019):4.1bp.*ASW=bond yield maturity matched swap yield.Source:J.P.MorganFINNVE bonds are still trading to their tightest levels vs.KfWFINNVE Sep22 KfW Jul22,MuniFin Oct21 KfW Jan22 and BNG Jul23 KfW Aug23 ASW spread*;bp*ASW=bond yield maturity matched swap yield.Source:J.P.Morgan-30-20-1001020182023202820332038KfWFINNVERAMuniFinBNGBond maturity date051015202530201420152016201720182019FINNVE Sep22-KfW Jul22MuniFin Oct21-KfW Jan22BNG Jul23-KfW Aug23MuniFinBNGFINNVEG l o b a l S S A o u t l o o k8-100102030405060708090201920212023202520272029AndaluciaAragonBalearsCanariasCastillaLa ManchaValenciaExtremaduraMadridMurciaNavarraBasqueRiojaSpain(sov)ICO(agcy)FADE(agcy)Spanish regional vs.Spanish sovereign spread has broadly followed Spain vs.Germany sovereign spread over the past few yearsMadrid May24-Bono Apr24 and Bono Apr24-Bund May24 ASW spread*;bpTrading theme 5:Spanish regional bonds at 15bp+pick up over sovereign bonds are attractiveSpanish region bonds are an attractive alternative to position for Spain OWThere has been increasing interest in Spanish regional bonds as more and more regions who have been receiving funding via Spanish governments Fondo de Liquidez Autonomica(FLA)programme or the Regional Liquidity Fund since 2012 have made or planning to make a come back to funding marketsWe discussed the structure,macro and fiscal variable for the Spanish regional bond markets in a earlier note Spanish regions:A simple fair value modelCurrently,the Spanish regional bonds trade at 15bp or more pick up over the Spanish sovereign bonds and also trade flat or at small pick-up over Spanish agencies like ICO and FADE.We exclude Catalonia from our analysis as it trade more like credit products due to higher political risksAlso,historically,Spanish regional vs.Spanish sovereign spread has broadly followed Spain vs.Germany sovereign spread over the past few year