J.P. 摩根-全球-宏观策略-2019年5月全球SSA展望-2019.5.24-45页.pdf

Global SSA May19 outlook:scale back OWsGlobal Rates Strategy24 May 2019Aditya ChordiaAC(44-20)7134-J.P.Morgan Securities plcJay Barry(1-212)834-J.P.Morgan Securities LLCAC Indicates certifying analyst.See last page for analyst certification and important disclosures.Luke Chang(1-212)834-J.P.Morgan Securities LLCAntoine Gaveau(44-20)7134-J.P.Morgan Securities plcFrancis Diamond(44-20)7134-J.P.Morgan Securities plcG l o b a l S S A o u t l o o k1Summary-SSANear term outlook:turn neutral on-supras on less favourable PSPP dynamics in coming months;at the same time we remain constructive on German and Spanish regional bonds on still attractive pick-up over sovereign bonds and ongoing PSPP flows(slide 3)NEW Trading theme 1:stay OW German regional bonds vs.federal bonds;move longs from 10Y NRW vs.Germany to 5Y(slide 4)NEW Trading theme 2:Spanish regional bonds at 10-15bp pick up over sovereign bonds look attractive;enter long 10Y Madrid vs.Spain(slide 5)Trading theme 3:stay OW short-end-SSAs vs.France on attractive valuations via long 5Y KfW vs.France(slide 6)Trading theme 4:10s/30s-SSA credit curve flatteners works as a convex risk-on trade(slide 7)Trading theme 5:close long 30Y ESM vs.Germany(slide 8)QE flows:gross-supra PSPP to be around 1bn/month from Jun-Sep vs.2-3bn/month for April and May due to lack redemptions(slides 14-15)Supply:almost 60%of our estimated 2019-den.-SSA issuance target already covered;lower 10Y+vs.2018 as expected(slides 16-17)$-SSA$-SSA spreads outlook:we do not think current valuations are sustainable with spreads at multi-year tights,and expect spreads to widen alongside US Agency spreads and the EUR/USD cross-currency basis(slide 23-24)Trading themes:supply seasonals suggest issuance should rebound over 3Q,and relative supply dynamics imply Washington SSA debt could underperform.Stay underweight 3-year Washington SSA debt vs.US Agencies (slides 25)Supply:$-SSA bellwether supply over the first 4 months of the year has run at just 58%of the pace observed in recent years.We look for$92bn in gross issuance of benchmark$-SSA debt over 2019(slide 26)-SSA-SSA spreads outlook:valuations look fair but stay neutral given increased uncertainty on Brexit risks(slides 30-31)Trading theme:take profit on long EIB 5.625%Jun32 vs.KfW 5.75%Jun32(slide 33)-SSA market update2-SSA market flow update12$-SSA market update22All exhibits shown in the presentation are sourced from J.P.Morgan unless otherwise stated-SSA market update27Appendix39G l o b a l S S A o u t l o o k310Y-SSAs are now trading 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%-4EIB0.97-0.920.07-8.76.594%-2ESM*0.72-0.220.06-12.25.179%-1EU0.81-1.180.05-13.36.692%-1KfW0.34-3.070.02-14.34.286%-2NRW0.43-2.350.01-1.44.590%0BetaInterceptStd.error(bp)R-squared(%)Residual(bp)-SSA spreads near term outlook:turn neutral on-supras but remain constructive on regional bonds We expect 10Y-SSAs to move broadly sideways in the coming monthsJ.P.Morgan forecast of 10Y-SSA spreads;bpSince our last SSA outlook in late-April,-SSAs have outperformed vs.France(2bp)and moved broadly in line with Germany and swaps(see slide 11).-SSA spread medium-term outlook:tightening bias vs.swaps and vs.Germany in late 2019 on tighter core spreads,narrower German swap spread and reduced Italy uncertainty-SSA spread near term outlook:we turn neutral on-supras on less favourable PSPP dynamics in coming months;at the same time we remain constructive on German and Spanish regional bonds on still attractive pick-up over sovereign bonds and ongoing PSPP flowsDrivers of our-SSA outlook:Valuations:after their recent outperformance vs.semi-core sovereigns,10Y-SSA spread vs.swaps are trading broadly expensive on our fair value frameworkQE:we expect gross-supra PSPP to be around 1bn/month for the next few months vs.2-3bn/month for April and May due to lack of redemptions(see slides 14-15)Supply:with almost 60%of 2019-den.issuance already covered based on our forecasts,we expect lower supply intensity going forward(see slide 16)Idiosyncratic factors:Brexit remains the main wild card for-SSA markets for 2019*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.Morgan21-May2Q193Q194Q19EFSF-12-11-12-14EIB-17-16-17-17ESM-14-16-18-18EU-13-13-16-17KfW-20-21-21-22NRW-10-11-11-13EFSF37393634EIB32343131ESM35343030EU36373231KfW29292726NRW39393735Memo:Core wtd.ASW ex Germany-15-20-21-22Core wtd.ASW to Germany3430272610Y German b/m ASW-49-50-48-4810Y Italy-Germany267250225215Gross PSPP flow supras1.61.61.61.6Gross PSPP flow German agencies0.60.60.60.6Gross PSPP flow German regions0.80.80.80.8vs.Germany vs.swapsG l o b a l S S A o u t l o o k4Trading theme 1:Stay OW German regional bonds vs.federal bonds;move longs from 10Y NRW vs.Germany to 5YStay OW German regional debt vs.Germany on attractive pick-up,ongoing relative PSPP reinvestment flows and limited supply pressures;switch longs from 10Y NRW vs.Germany to 5Y sectorValuations:German regional bonds in 5Y and longer maturities trading at more than 30bp pick up over German federal bonds are quite attractive in our view;the regional vs.federal spread is still trading in the upper of their past few years trading rangesWe move our longs from 10Y NRW vs.Germany to 5Y NRW vs.Germany as the 5s/10s NRW vs.Germany box has flattened aggressively since the start of the year and is now trading close to the lower end of its past 12M range.Given the flatness of the credit curve,we prefer moving to shorter maturities for similar pick-upOngoing relative 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 zeroTrade detail:open long 5Y NRW vs.Germany,long 25mn NRW Mar25 vs.short 25.3mn Bund Feb24 38.5bp.3M carry:1.5bp and 3M slide:9bp.Close long 10Y NRW vs.Germany,long 25mn NRW Nov28 vs.short 24.9mn Bund Aug28 43.5bp.P&L since inception(17 January 2019):13.0bp.NRW 5s/10s credit curve vs.Germany has flattened aggressively since the start of the year and is now trading close to the lower end of its past 12M range5s/10s NRW-German box;bpGerman regional bonds in 5Y and longer maturitiesare attractive at more than 30bp pick up over German federal bonds German,French,KfW and NRW ASW*curve;bp*ASW=bond yield maturity matched swap yield.Source:J.P.Morgan45678910111213Aug 18Nov 18Feb 19May 195s/10s NRW-DEM-70-60-50-40-30-20-10010202018202320282033203820432048GermanyFranceKfWNRWBond maturity dateG l o b a l S S A o u t l o o k5Spanish regional vs.Spanish sovereign spread has broadly followed Spain vs.Germany sovereign spread over the past few yearsMadrid Apr27-Bono Apr27 and Bono Apr27-Bund Feb27 ASW spread;bpTrading theme 2:Spanish regional bonds at 10-15bp pick up over sovereign bonds are attractive;enter long 10Y Madrid vs.SpainWe view Spanish regional bonds as an attractive alternative to position for Spain OW;enter long 10Y Madrid vs.SpainThere 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 a return 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 broadly at 5-15bp pick up over the Spanish sovereign bonds and also trade close to flat over Spanish agencies like ICO and FADE.We exclude Catalonia from our analysis as it trades more like credit products due to higher political risksHistorically Spanish regional vs.Spanish sovereign spread has broadly followed Spain vs.Germany sovereign spread over the past few years.Given our broadly constructive medium term outlook on Spanish sovereign,we find Spanish regional bonds at 15bp+pick up over the sovereign bonds attractive Spanish regional bonds have been eligible for PSPP purchases since January 2016 and we believe that part of Spanish PSPP reinvestment flows in 2019 would be going to regional bondsTrade details:long 10Y Madrid vs.Spain;long 25mn Madrid Apr29 vs.short 24.8mn Bono Apr29 14.0bp.3M carry:0.5bp and 3M slide:0bp.Spanish regions,Spanish sovereign,ICO(agency)and FADE(agency)ASW*curves;bpASW=bond yield maturity matched swap yield.Note:we exclude Catalonia bonds from the chart as they trade at wider spreads due to higher credit risk.Source:J.P.Morgan510152025303560708090100110120130140150160May 17Nov 17May 18Nov 18May 19MadridApr27-BonoApr27BonoApr27-Bund Feb27-2002040608010020202022202420262028AndaluciaAragonBalearsCanariasCastillaLa ManchaValenciaExtremaduraMadridMurciaNavarraBasqueRiojaSpain(sov)ICO(agcy)FADE(agcy)G l o b a l S S A o u t l o o k6-SSA lagged France in recent tightening move and we find 3-6Y spreads trading 10-15bp cheapKfW,EIB,EFSF,and ESM ASW curves*;bpTrading theme 3:OW 2-6Y-SSAs vs.France via long 5Y KfW vs.FranceStay OW short-end-SSAs vs.France via long 5Y KfW vs.France on attractive valuationsValuations:2-6Y-SSA bonds trading with 5-15bp pick up over France,in the upper half of past year ranges,is quite excessive in our view.Specifically 10bp pick-up of higher rated KfW over 3-5Y France is hard to justify on the basis of liquidity premiaLimited supply pressures:we see room for pick up in 3-5Y$issuance by-SSA issuers going forward as cross-currency pick-up is positive now vs.negative before;this should reduce pressure on 2-5Y-SSA-denominated curveTrade detail:stay long 5Y KfW vs.France;long 25mn KfWNov23 vs.short 22.5mn OAT Oct23 10.1bp.3M carry:0.5bp and 3M slide:0bp.P&L since inception(20 Mar 2019):1.3bp.*ASW=bond yield maturity matched swap yield.Source:J.P.Morgan$issuance by-SSA issuers might pick up going forward as cross-currency pick-up is positive now vs.negative before Average funding benefit*from issuing in USD vs.EUR for EIB and KfW with maturity matched currency hedge;1M mov.avg.;bp*Funding benefit calculated as the negative of(USD EIB/KfWb/m spread to Libor+EUR/USDcross-currency basis 3m/6m EUR Libor basis EUR EIB/KfW b/m spread to Libor).Source:J.P.Morgan-20-10010203040Jan 15 Jul 15 Jan 16 Jul 16 Jan 17 Jul 17 Jan 18 Jul 18 Jan 193Y5Y10Y-20-15-10-5051015201920242029203420392044KfWEIBEFSFESMBond maturity G l o b a l S S A o u t l o o k7y=0.30 x-2.03R=73%y=-0.097x+23.6R=9%04812162024102030405060Jan18-Jan19Feb19-May1910Y-SSA vs.Germany spread;bpLatest0481216202420253035404510s/30s France vs.GermanyY=1.01 X1-19.63R=86%At current extreme levels the 10s/30s-SSA vs.Germanycredit curve flattener works as a convex risk-on trade10s/30s*-SSA vs.Germany box regressed against 10Y spread to Germany;since Jan18;bpTrading theme 4:10s/30s-SSA credit curve flatteners works as a convex risk-on tradeSimilar to 10s/30s France-Germany credit-curve flattener,we have a flattening bias on 10s/30s-SSA credit curves vs.Germany given stretched valuations and limited supply pressuresThe 10s/30s-SSA credit curves,similar to 10s/30s France-Germany credit curve,are trading close to their steepest levels over the past few years.Also at current extreme levels the 10s/30s-SSA vs.Germany credit curve flattener works as a convex risk on trade:moving sideways in a flight-to-quality risk-off move and flattening otherwise.In a search for yield environment,we expect investors to eventually move further out the curve as pick-up in shorter maturities becomes less attractive.We have a 10s/30s-SSA credit curve flattening bias.Also in our sovereign portfolio we have been recommending 10s/30s France flattener vs.GermanyWe also expect average-SSA issuance maturity to decline in 2019(see slide 16),which should also help the credit curve flattening view*For 10s/30s history we use EFSF,ESM and EIB credit curve.We exclude KfW/EU due to lack of 30Y benchmarks.Source:J.P.Morgan 10s/30s-SSA-Germany box has been strongly directional with 10s/30s France-Germany box10s/30s-SSA vs.Germany box regressed against 10s/30s France vs.Germany box;since Jan18;bp10s/30s-SSA credit curves vs.Germany are trading close to their historical steepest levels10s/30s*-SSA vs.Germany box;bp-5051015202530201520172019*For 10s/30s long term 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 G l o b a l S S A o u t l o o k8Trading theme 5:Close longs in 30Y ESM vs.GermanyTurn neutral on-supras on less favourable PSPP dynamics in coming months;close long 30Y ESM vs.Germany PSPP dynamics:given higher redemptions in April/May,we expect gross PSPP-supra flows to increase to 2-3bn/month in coming months vs.1-2bn/month in Feb/MarValuations:-SSAs outperformed aggressively vs.core sovereigns since early January;at current levels we prefer selective OW in core space over-supras,especially in 10Y and longer maturitiesTrade detail:close long 30Y ESM vs.Germany;long 25mn ESM Nov46 vs.short 20.6mn Bund Aug46 57.5bp.P&L since inception(20 Mar 2019):0.0bp.-supras have outperformed core Euro area sovereigns since the beginning of 2019J.P.Morgan estimate of-supras PSPP redemptions profile;bnWe expect gross-supra PSPP purchases to decline to 1bn/month from Jun-Sep due to lack of redemptions J.P.Morgan estimate of-supras PSPP net and gross purchases for 2019;bn-2-101234Jan 19Mar 19May 19Jul 19Sep 19Nov 19Net PSPP supra purchasesGross PSPP supra purchasesSource:ECB,J.P.Morgan10152025303540455055May 18Nov 18May 1910Y SSAvs.Germany10Y wtd.core vs.Germany*Average of EFSF,EIB,EU and ESM.Source:J.P.MorganG l o b a l S S A o u t l o o k9-SSAs offer higher yield pickup over JGBs on a rolling currency-hedged basis compared to France and particularly USAnnualized yield pickup over 10Y JGBs*for yen-based investors from different 10Y currency bonds;using 3M rolling*currency hedges;bpAnnualized yield pickup*for yen-and US dollar-based investors from foreign currency bonds vs.domestic bonds of the same maturity,with no hedge,3M rolling*and maturity-matched*currency hedges*Yield pickup defined as foreign currency yield hedge cost domestic currency yield,using par curves.*Cost of 3M rolling hedge defined as 3M FX cross-currency basis+domestic 3M swaprate(3s curve)