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瑞银_2019_2020年全球利率展望(宏观)2018.12.6_46页

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Global Macro Strategy 6 December 2018Contents
Global Rates views summary…..3
Focus: Peak US yields and peak divergence in G4 rates...….4
US: Cyclical peak in USTs in 2019……..12
Europe: The next stage in gradual policy normalization....19
UK: 2019 expected to be the eye of the storm……..24
Japan: More YCC flexibility allows for higher yields……...30
ANZ: The only way is up...……...….34
Global sovereign bond supply overview ...…37
Global Rates forecasts and trade recommendations…..….40
Global Macro Strategy 6 December 20180B
Summary of Global Rates views
UBS Research Rates Views
Region Duration/Outright Curve Inflation Spreads
US Biased to receive long-
end real and nominal
duration.
Trade: Receive 10-year
real rates as they are
inconsistent with falling
breakevens and neutral
real-rate estimates.
Maintain curve flattening
view, but take out spot
2s10s curve flatteners for
its more symmetric risk-
reward.Maintain 10s30s
curve flatteners. Long the
belly of 2s5s10s gross fly
if it cheapens to 10+bp.
Recommending 2s5s
real curve steepeners
for trade war.
Maintain 10s30s
breakeven steepeners.
Receive real rates above
1%.
Cross-market: US fwd starting flatteners
versus forward starting EONIA steepeners
Long 30y US TIPS vs OATei.
ASW: 3y swap spread wideners: long USTs
vs Libor swaps.
Volatility: Sell US 6m10y strangles vs
Eur 6m10y strangles.
Eurozone Short-duration bias for
long-end Bunds (in
particular via real rates).
2s10s EUR IRS steepeners
10y weak part on the
curve.
Outright-hedged 2y1y vs
4y1y Eonia fwd
steepeners.
10y Bund breakeven
tighteners regression-
weighted (sell DBRei
Apr26 vs 65% DBR
Feb26).
ASW: German swap spreads to remain
structurally wide, Schatz ASW wideners are
a good risk-off hedge.
EGB: 5s30s OAT curve steepeners vs Bunds.
Steepening bias for Italian credit curves
long front-end GGBs.
UK Yields expected to rise if
and when EU Withdrawal
Agreement fully ratified.
Likely to flatten as a more
active hiking path from
the MPC is priced in.
Headline CPI likely to
drop below 2.0% in
2019 on stronger GBP.
Rec 5y5y (RPI) inflation
(i.e. short inflation).
Cross-market: Buy long Gilts vs Bunds. 10y
Gils expected to underperform vs Treasuries.
Japan Cautious; the BoJ still
appears on path to guide
10y+ yields higher in
2018/2019.
Steeper over time. Bullish breakevens. Cross-market: Japan real yields can fall
further vs global peers.
Switzerland Front end has potential
to underperform.
- - Cross-market:Take profit on 1y1y vs 4y1y
CHF 3-month Libor swap curve steepeners
boxed against Eonia flatteners.
Australia Neutral on yield levels.
Like paying Australian
long-end yields versus
UST yields.
Flatteners structurally
attractive.
Cautious; still risk of
relative disinflation vs
the US.
Cross-market: 10y+ tenors to trade ~pay
Aussie long-end yields versus receive USTs.
Source: UBS
Global Macro Strategy 6 December 2018Global: Peak US yields and peak divergence in G4 rates
In the medium term, the baseline forecast from our economists suggests that
last year’s growth divergence between the US and G4 peers should come to
an end through 2019 and 2020.
The Fed’s tightening cycle is maturing over our forecast horizon, while
improving underlying inflation alongside favorable financial conditions should
enable the ECB and the BoJ to continue on a gradual monetary policy
normalization path.
We expect 10y UST yields to peak during the course of next year, ending
2019 at 3.40% and decline to 2.80% by end-2020.
We expect spread convergence within the G4 against USTs over the next two
years, with Bund and JGB yields rising above forwards. However, current
forwards in the 10y UST vs Bund (or JGB) spread remain tough to beat during
2019. We forecast 10y Bund yields at 0.85% by end-2019 and at 1.10%
by end-2020 (c.15–20bp above forwards). Gilts hold considerable
underperformance potential during 2019 given our baseline case of some
Brexit relief; however, thereafter difficult negotiations over the UK’s long-term
relationship with the EU should weigh on Gilt yields.
With respect to curves, we see the flattening trend to prevail in the US,
whereas euro-area curves hold steepening potential, driven by 5y to 10y.
G4 growth and (core) inflation convergence over our forecast horizon
With the US fiscal stimulus set to wane, our economists’ baseline sees this year’s
economic divergence (US growth accelerating in relative and absolute terms
against G4 peers) morphing into a more synchronised moderation of growth,
especially in the US vs euro area in 2019 and 2020 (Figure 1).
With inflation firmly anchored in the US (Figure 2), the Fed’s tightening cycle is
maturing over our forecast horizon. At the same time, we expect the underlying
(core) inflation dynamic in the euro area and Japan to improve. Alongside
favorable financial conditions, this should enable the ECB and the BoJ to continue
along a gradual monetary policy normalization path.
Figure 1: US vs G4 real GDP growth gap converging
alongside…
Figure 2: …a more sustainable inflation dynamic in the
euro area and Japan
Source:Haver, UBSSource:Haver, UBS
-1.5
-0.5
0.5
1.5
2.5
3.5
201220132014201520162017201820192020
% y/y UBS Economics forecast
US
Euro area
Japan
UK
real GDP
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
201220132014201520162017201820192020
% y/y
UBS Economics forecast
US
Euro area
Japan
core CPI
Macro Rates Strategy Team
Peak growth divergence in G4 is
now in the past, while…
…core inflation converges over
our forecast horizon。。。