汇丰银行-全球-宏观策略-全球宏观策略：感受负担-2019.4.30-37页.pdf

Disclosures&Disclaimer This report must be read with the disclosures and the analyst certifications in the Disclosure appendix,and with the Disclaimer,which forms part of it.Issuer of report:HSBC Bank plc View HSBC Global Research at:https:/ As oil slips off its peak,we assess the extent to which moves in oil prices influence global inflation breakevens It seems inevitable that long-end Euro inflation forwards will fall from the ECBs target,especially without Dutch pension buying The persistent richness of 5y5y RPI is puzzling,but it may be a result of insurance and pension-related activity Fuel for thought Oil prices have retreated off their six month highs,and further weakness could be ahead.US breakevens are most sensitive to changes in oil prices,but we should not overplay their importance for 10-year TIPS valuations where we maintain a mildly bullish view.Sell long-end Euro inflation forwards Faced with a structurally low inflation outlook,it seems improbable that long-end inflation swap forwards will sustain their current levels which are still near the ECBs target of close to 2%.We add to our structurally bearish Euro inflation exposure by selling 20y10y HICPxT.Furthermore,on the demand side,there is now lower activity in the 10-year+sector of the HICPxT curve from Dutch pension investors.This shows no sign of changing anytime soon as funding levels remain too low.In fact,four out of the largest five pension funds recently warned that the likelihood of future cuts to pension rights and benefits had increased.5y5y RPI defies gravity At the time of writing,the UK inflation market is still awaiting the governments response to the House of Lords report on RPI reform which was supposed to be forthcoming in April.As uncertainty lingers on,the persistent richness of 5y5y RPI continues to puzzle market participants.We agree that from a purely macroeconomic perspective,intermediate RPI forwards look expensive.However,we think valuations may have been distorted by a change in investor demand.LDI hedging flows and insurance buying may be richening the 10-year point.But increased buy-out activity could offer relatively more support for the longer-end of the RPI curve.30 April 2019 Daniela Russell Head of UK Rates Strategy HSBC Bank plc +44 20 7991 1352 Real Ideas Rates&Economics Global Feeling the load Rates&Economics Global 30 April 2019 2 Global key themes 3 Fuel for thought 3 Trade ideas and supply 5 UK strategy 6 5y5y RPI richness remains puzzling 6 US strategy 8 Eurozone strategy 10 Sell long-end Euro inflation swap forwards 10 Keep front-end long positions 12 CUTE results 13 UK Inflation 18 US inflation 20 Eurozone inflation 22 France inflation 24 Key macroeconomic figures 26 Inflation volatility 27 Carry(assuming settlement on 29 April)28 Seasonality 30 Disclosure appendix 32 Disclaimer 35 Contents 3 Rates&Economics Global 30 April 2019 Fuel for thought Oil prices have retreated from their six month highs,having previously surged by USD25/bbl from the low point in December.While the latest weakness might have been partly driven by profit taking,our oil analysts suspect further weakness is ahead(see Fuel for thought:Oil in a multi-asset context,25 April 2019).They argue that much of the Q1 rally was supply-driven,resulting from lower-than-expected OPEC output and concerns over further reductions in Venezuelan and Iranian supply.But there are now signs that US activity is picking up and so they think oil prices should revert to an average price target of USD65.2/bbl for 2019.Many assets are linked with oil to a varying degree,but how important are oil price swings for inflation breakevens?Alongside our multi-asset strategists,we have constructed a correlation matrix which displays the correlation between weekly changes in oil and inflation breakevens over the last year(Figure 1).Darker red or higher numbers indicate stronger positive correlations.Oil is important for the US front-end US breakevens are most sensitive to changes in oil prices,with the strongest relationship seen at the front-end,and the correlation then decreases as maturity increases.This is not a surprise given the relatively high weight of energy in the inflation basket in the US,the lower tax rate and its quick pass-through into CPI.Nevertheless,these results support our current preference for owning inflation protection further out the curve in the US,as well as our 5-30-year breakeven steepening recommendation(Table 1).Global key themes Daniela Russell Head of UK Rates Strategy HSBC Bank plc +44 20 7991 1352 Max Kettner Multi-Asset Strategist HSBC Bank plc +44 20 7991 5045 Duncan Toms Multi-Asset Strategist HSBC Bank plc +44 20 7991 3025 Changes in oil prices have had the biggest impact on front-end US breakevens while the correlation with UK inflation is relatively low Figure 1.Oil prices are most highly correlated with front-end breakevens in the US Source:HSBC,Bloomberg Brent crudeUS 2Y InflationUS 5Y InflationUS 10Y InflationEUR 2Y InflationEUR 5Y InflationEUR 10Y InflationGBP 2Y InflationGBP 5Y InflationGBP 10Y InflationBrent crude28US 2Y Inflation7656US 5Y Inflation648738US 10Y Inflation47769331EUR 2Y Inflation4344525146EUR 5Y Inflation495666659129EUR 10Y Inflation41536970829623GBP 2Y Inflation2323323238433955GBP 5Y Inflation232627262130279249GBP 10Y Inflation26292826182928849737 Rates&Economics Global 30 April 2019 4 but we should not overplay its importance for 10-year TIPS valuations Despite the strong correlation with the front-end of the curve,moves in oil prices cannot explain all the volatility in breakevens and so we should also consider a range of other factors.For example,our models indicated that TIPS were cheap relative to realistic views of inflation at the start of this year.However,they now appear more fairly priced as valuations have adjusted.Further out the curve,we find that factors such as Treasury yields and corporate bond spreads(which reflect both economic growth and bond market liquidity)also have an important influence on breakevens.Consequently,investors should not overplay the influence of oil in driving valuations in the 10-year sector where we continue to have a mildly bullish view(Page 8).Oil prices and Euro inflation expectations have diverged Figure 2 shows oil prices have a relatively smaller influence on Euro breakevens.This has been quite apparent in 2019 as a clear divergence emerged between the trend of rising oil prices but falling inflation breakevens.Although lower oil prices might now weigh on appetite for owning inflation protection,we remain cautiously optimistic on front-end euro linkers in the near-term.From a valuation perspective,the short-end still looks cheap and the upcoming carry is highly positive.The positive carry for May does not automatically create a bullish backdrop,but it will not act as an additional headwind as it did in March.Unless there is a material further decline in oil prices,it should therefore provide investors with a sufficient cushion.On page 10 we analyse the carry-adjusted gains in short-dated breakevens in Q2 in recent years and find this supports our tactical bias to be long over this period.Other factors have a bigger role in driving UK breakevens UK breakevens are the least responsive of the three markets to changes in oil prices.The correlation increases when we look at it in sterling terms,but not markedly so.Brexit has been a key driver of UK inflation in recent years,and it continues to muddy the outlook.We have been highlighting that valuations embedded a Brexit risk premium,which caused them to trade expensive versus fundamentals.As it now looks increasingly likely that the UK will avoid a disorderly no-deal Brexit scenario,front-end breakevens have started to tighten.However,we think they have room to fall further as front-end linkers remain around 45bp expensive versus our forecasts of where RPI will print in the coming months.Therefore we remain short UKTi Mar-24s on breakeven(Table 1).Factors such as corporate bond spreads are also important Generous positive carry provides reason to be cautiously optimistic Brexit muddies the outlook for front-end BE in the UK Figure 2.Euro breakevens have fallen in spite of the rise in oil prices Source:HSBC,Bloomberg 1.21.31.41.51.61.71.81.9203040506070809020152016201720182019%USD/bblOil price USD/bbl(LHS)5Y5Y Euro inflation swap(RHS)5 Rates&Economics Global 30 April 2019 For full 12-month history of related trades please see DM Rates Trade Tracker,26 April 2019.Table 1.New and open trade ideas Position Instrument Entry Target Stop Current Rationale and risks Buy 5Y30Y RPI swap-18bp-10bp-22bp-18bp Rationale:The 20-year sector in RPI swaps is rich and we favour 5Y30Y RPI forwards.A cushion of 19bp carry over the next five years makes it even more appealing.Risk:a further appreciation of the 20-year sector.Sell 5Y15Y RPI swap(30 Jan 18)Sell Buy 10Y RPI 30Y RPI-9bp(17 Jan 19)+6bp-9bp (prev-16bp then-3bp)-5bp Rationale:UK inflation expensive;curve should dis-invert Risk:further FX weakness Buy Sell Pay OATei27 OAT2.75 10/27 8Y HICPxT 11bp(22 Jan 19)0bp 17bp 15bp(carry adjusted)Rationale:cash breakevens cheap versus swaps Risk:risk-off tone weighs on cash BE Buy Sell OATi21 OAT 3.75 4/21 73bp(22 Jan 19)105bp 55bp 77bp(carry adjusted)Rationale:market pricing excessively low inflation outlook Risk:oil prices fall,weighing on breakevens Buy 10Y HICPxT 49bp 35bp 45bp 40bp Rationale:Persistently low inflation should flatten the term structure Sell 30Y HICPxT(27 Feb 19)(prev 39bp)(prev 55bp)Risk:ASW buying further suppresses 10Y inflation swaps Sell UKTi 46s 292bp 278bp 299bp 288bp Rationale:UK long-end inflation expensive relative to upcoming risk;Buy UKT 1H47(70%)(18 Mar 19)we think the positive supply outlook is already priced in.Risk:lack of inflation supply keeps valuations rich Buy 30Y US BE 10bp 20bp 5bp 15bp Rationale:attractive risk vs.reward for BE scenarios.Sell 5Y US BE(19 Mar 19)Risk:sudden jump in oil or headline CPI Buy BTPei 9/23 90bp+30bp gain-15bp loss 0bp(carry Rationale:cheap valuations and positive carry Sell BTPS 4.75 8/23(5 Apr 19)adjusted)Risk:fall in oil prices Sell UKTi 24s 327bp 300bp 345bp 312bp Rationale:front-end breakevens expensive versus our estimate of Buy UKT 2T 24(8 Apr 19)fair value.Risk:fall in sterling,or rise in oil prices Sell 20y10y HICPxT 1.94%1.70%2.12%1.94%Rationale:Persistent period of sub-target inflation in Euro area (30 Apr 19)Risk:rising inflation Trade ideas and supply Table 2:Upcoming inflation-linked bond auctions projected in May Date Country Segment Details Ticker Amount 1 May(2:00CET)New Zealand 22Y Re-opening of 2040 IL security NZGB2.5 9/40 NZD0.1bn 7 May(11:30CET)Germany 27Y Re-opening of Bundei46 DBRI0.1 4/46 EUR0.50bn 9 May(10:30CET)Spain 4Y Re-opening of SPGBei23 SPGBei0.15 11/23 EUR0.5-1.0bn 16 May(11:50CET)France 9Y Re-opening of OATi28 FRTR0.1 3/28 EUR1.0-1.5bn France 10Y Re-opening of OATei29 FRTR0.1 3/29 France 17Y Re-opening of OATei36 FRTR0.1 7/36 23 May(18:00CET)US 10Y Re-opening of 10-year TIPS TII0.875 1/29 USD11.0bn 23 May(11:30CET)UK 10Y Re-opening of IL28 UKTI0.125 8/28 GBP1.0bn 28 May(11:00CET)Italy 4Y Re-opening of BTPei23 BTPS0.1 5/23 EUR1.0-1.5bn Italy 22Y Re-opening of BTPei41 BTPS2.55 9/41 Source:Official debt agency website(s),HSBC projections,*auctions where the details are known are italicised Rates&Economics Global 30 April 2019 6 5y5y RPI richness remains puzzling At the time of writing,the UK inflation market is still awaiting the governments response to the House of Lords report on RPI reform which was supposed to be forthcoming in April.We are therefore waiting for this before reassessing our UK inflation positioning.For now,we retain a short bias which is expressed via short UKTi 24s on breakeven,short UKTi 46s beta-adjusted breakeven and 10-30-year RPI steepeners(Table 1).As uncertainty about the future of RPI lingers,the persistent richness of 5y5y RPI continues to puzzle market participants.The forward is still towards is post-crisis high,and many investors we have spoken to have tried to position for it to move lower(Figure 3).5y5y trades persistently expensive It is relatively easy to understand why inflation breakevens at either end of the curve are elevated.The rise in inflation prints in 2016 and 2017 and the threat of a no-deal Brexit have resulted in strong demand for short-dated inflation protection in recent years.Meanwhile,structural pension fund demand has historically helped support long-end breakevens.But the ongoing richening of the 10-year point on the RPI curve remains a mystery(Figure 4).In order to assess fair value for medium-term inflation expectations,it is tempting to use a rule of thumb such as the BoEs CPI target of 2%plus a long-term assumption for the RPI-CPI wedge of 80-90bp,and some risk premium.Alongside the ongoing risk of a reform of RPI which results in the inflation prints moving lower,surely 5y5y RPI is far too expensive at levels close to 3.60%?Long-term inflation risk premium From a fundamental perspective,it seems hard to disagree.However,it is also worth keeping in mind that it is possible that the UK becomes a less open economy after Brexit,with the possibility that tariffs are imposed on goods.Furthermore,it is also possible that there is a UK strategy Daniela Russell Head of UK Rates Strategy HSBC Bank plc +44 20 7991 1352 It is easier to understand why 5Y and 30Y breakevens may be elevated Figure 3.Richness of 5y5y RPI is puzzling Figure 4.10Y RPI is still the rich point on the curve Source:HSBC,Bloomberg Source:HSBC,Bloomberg Risk of a more closed UK economy 2.72.82.93.03.13.23.33.43.53.63.73.83.94.02010201120122013201420152016201720182019%5y5y RPI-45-40-35-30-25-20-15-10-50510152010201120122013201420152016201720182019bp5-10-30Y RPI 7 Rates&Economics Global 30 April 2019 change in government which results in a more expansionary fiscal stance,or even a change in the BoEs mandate which casts doubt over its independence in setting monetary policy.All of these factors would argue for an elevated inflation risk premium.Examining the role of pension and insurer demand On top of this,it is possible that the 10-year point of the inflation swap curve has benefited from increased demand from pension funds and insurers.We have extensively discussed the impact of the structural shift in the profile of LDI demand,and what it means for nominal UK rates and ASW spreads(for example,please see LDI Insights:Reaching the end game 8 February 2019).These same themes also impact the inflation market.In particular,many UK defined benefit pension schemes are moving towards the end game and are therefore placing greater emphasis on more precisely matching a liability profile which has become smaller and shorter.This could be resulting in more demand for 10-year inflation swaps,with relatively less further out the curve.The usage of 10-year inflation swaps by LDI investors is not particularly new.Due to the relativ