巴黎银行-全球-外汇策略-2019年欧元兑美元基本面展望-20190220-28页.pdfVIP免费

PleaserefertoimportantinformationattheendofthisreportEUR/USDxccybasis2019OUTLOOKFebruary2019CamilledeCourcel,SeniorRatesStrategist|BNPParibasLondonBranch2KeymessagesOuranalysisofvariousfactorsconvergetowardsthesameconclusion:theEUR/USDxccybasishasroomtorisefurtherin2019:ThepotentialfortighterUSDOIS/BORspreads;TheearlyendtoFedbalancesheetnormalisationwhich,relativetotheendofECBQE,supportstighterxccybasis;Ourcreditanalysts’viewthatUScreditwilloutperformEURin2019.Relativefundingcostsarebacktoneutral.Seasonalityanalysispointstoawidening(morenegative)patterninthetwoweeksstarting11February.However,theunusualwideningthatoccurredinJanuaryreducesthelikelihoodthatFebruary’stypicalseasonalwideningwillbeseenthisyear.Thefollowingtypicalseasonalpatternisatightening(rise)towardstheendofMarch.Incontrasttopreviousyears,cross-borderinvestmentflowsnormalisedsharplyin2018andweexpectthemtocontinuetonormalisein2019,supportingtighter(higher)xccybasis.ThebenchmarkreformandISDAfallbackmethodologiesforderivativescouldspurawideningatthelongerend.Tradeideas:againstthisbackdrop,wemaintainourlong-term‘normalisation’tradeidea.Pay3y2yEUR/USDxccybasisversusreceive10y20y(enteredat32bpon5September2018;target:15bp;carry:+3.5bp/year;current:29bp).301Sensitivityanalysis4Summary:MostdriverssuggestafurthertighteningaheadUSDOIS/BOR:AfterfallingsharplysincetheUSmoneymarketfundreform,theOIS/OISxccybasis’sensitivitytoUSDOIS/BORhasreturnedtomean.Arbitragebetween‘domestic’USDunsecuredfundingand‘secured’funding(xccyswap)isback,butwestillexpecttheOIS/OISbasistoremaininsensitivetorisk-off.Underour‘untwist’basecasescenariofortheendoftheFed’sbalancesheetnormalisation,weseescopeforfront-endUSDOIS/BORspreadstobesupported,potentiallyeventighten.This,aswellastheprospectofdecliningT-billissuancein2019,favourstighter(higher)front-endxccybases,inourview.ECBexcessliquidityandnewTLTRO:IftheECBintroducesanewTLTROasweexpect,excessliquidityislikelytoremainaroundcurrentlevels,suggesting...