巴黎银行-欧洲-投资策略-瑞典：量化宽松再投资政策将为2019年定下基调-20190417-8页.pdf

|FOCUS 17/04/2019 1 FOCUS|SWEDEN 17 April 2019 SEK QE reinvestment policy to set tone for 2019 KEY MESSAGES At its 25 April monetary policy meeting,the Riksbank will likely announce further details of its reinvestment policy.The decision will be a key driver for the SEK this year,in our view.We argue that the SEKs beta to the Riksbanks QE programme is large.A strong portfolio rebalancing effect away from SEK assets has been evident since the programme started in 2015.The portfolio rebalancing channel has been strong because(i)the Riksbanks balance sheet expansion has been so large(relative to the domestic bond market);and(ii)Sweden has a large net deficit in its debt portfolio investment account.to the size of the domestic bond market is large:only the Bank of Japan holds a larger percentage share of its domestic bond market(see Fig.1).During the Riksbanks QE programme,foreign investor holdings of Swedish government debt more than halved from around SEK500bn in 2015 to a low of just above SEK200bn in Q3 2018(Fig.2).Hence,the Riksbanks QE has had a strong portfolio rebalancing effect.Riksbank expected to unveil reinvestment plan at next MPC meeting:The Riksbank is widely expected to announce the details of its reinvestment policy for 2019 and 2020 at its monetary policy meeting on 25 April.The central banks next bond redemption is SEK 62.609bn on 1 December 2020.The Riksbank could announce that this large principal payment due in December 2020 will be distributed across the rest of 2019 and 2020.As Figure 3 shows,short SEK FX investor positioning suggests that it will announce that at least a portion of this payment will be distributed.Such an announcement would see the Riksbanks balance sheet continue to expand this year,as it did in 2018,even though QE has formally ended.It would also likely result in foreign investors continuing to rebalance their portfolios away from SEK-denominated assets.Please refer to important information at the end of this report Fig.1:The Riksbank has out-QEd most major central banks Fig.2:Portfolio rebalancing effects of Riksbank QE Sources:Statistics Sweden,BNP Paribas Sources:xxx,xxx,BNP Paribas G10 FX Sources:Riksbank,Fed,BoE,ECB,BoJ,BNP Paribas,Macrobond Riksbank QE programme and the impact on SEK:In January 2015 the Riksbank launched a quantitative easing(QE)programme.In December 2017 it formally announced its end,but at the same time announced a policy to reinvest the proceeds during 2018 from bonds maturing in 2019.As a result,even though new purchases have ended,the central banks balance sheet continued to grow in 2018.The Riksbanks stock of bond holdings relative Sam Lynton-Brown,Head of G10 FX Strategy,Europe Alexander Jekov,G10FX Strategist|BNP Paribas London Branch|FOCUS 17/04/2019 2 We are focused on the reinvestment details,but policy rate projections are also key.The Riksbanks latest projections indicate a 25bp rate hike in H2 2019 and about two further 25bp hikes a year for 2020 and beyond.This is a steep profile,which the market is not discounting,in our view:the market is pricing in a cumulative 15bp over a 1-year horizon and a cumulative 34bp over a 2-year horizon.Since the Riksbanks last monetary policy report on 13 February,BNP Paribas data surprise and economic strength indices point to macroeconomic data improving versus both trend(ESI)and expectations(DSI)(Fig.5).However,the Riksbank remains focused on inflation,which has surprised to the downside versus its own forecast.Furthermore,G10 central banks,with the exception of Norges Bank,have turned much more dovish:those with a prior tightening bias have now turned neutral;and those who had a neutral bias have shifted towards an easing bias.As a result,we think Swedens central bank is likely to revise down its rate-hike profile.Setting the tone:We think the reinvestment policy announcement will set the tone for how the SEK trades over the rest of 2019:no front-loading of reinvestments should lead to significant SEK appreciation,in line with our bullish forecasts and existing long SEK trade idea which we hold in our trade ideas portfolio.EURSEK appears rich vs.medium-term fair value.BNP Paribas CLEER model indicates EURSEKs fair value at 9.80,declining to 9.56 by end-2019(Fig.4).The end of the Riksbanks balance sheet expansion could lead to EURSEK trading back towards levels that more accurately reflect its medium-term fair value,we argue.We still hold a EURSEK put spread,with strikes of 9.60 and 10.00,expiring 3-Dec-19.The trade has not worked(initiated with spot at 10.23).If the Riksbank does announce a dovish reinvestment policy,we would consider closing it and re-visiting our bullish SEK forecasts.SEK QE reinvestment policy to set tone for 2019|G10FX|Fig.5:Swedish data improving vs.trend and expectations Fig.4:EURSEK CLEER Source:BNP Paribas Sources:BNP Paribas,Macrobond Fig.3:FX investor positioning in SEK is short Sources:BNP Paribas,Macrobond 8.008.509.009.5010.0010.5020122014201620182020BNP Paribas EURSEK CLEER EURSEKEURSEK appears overvalued vs its CLEER of 9.80 Sam Lynton-Brown,Head of G10 FX Strategy,Europe Alexander Jekov,G10FX Strategist|BNP Paribas London Branch Fig.6:Swedish portfolio debt investment deficit large Sources:BNP Paribas,Macrobond,IMF Legal Notice This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting from their interaction with sales and trading which could affect the objectivity of this report.This document is non-independent research for the purpose of the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),non-independent research constitutes a marketing communication.This document is not investment research for the purposes of MiFID II.It has 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