歐洲-外匯策略-英鎊利率：通過支付方互換做空頭寸.pdf

| TRADE IDEAS 08/08/2019 1Agne Stengeryte, Europe Rates Strategist | BNP Paribas London BranchTRADE IDEA | UK8 August 2019 Please refer to important ination andMAR disclosures at the end of this reportTRADE IDEAKEY MESSAGESIf a deal is reached on Brexit or Article 50 is revoked, thescope for a rise in GBP rates is significant, in our view.However, the policy path will ultimately be decided bypolitical developments in the coming months, and theprobability of ‘no deal’ has risen recently.We therefore favour cost-effective ways of taking a shortposition in the market without unlimited downsideexposure.After last week’s Bank of England (BoE) meeting, weconcluded that there should be little reason for themarket to extend its rate-cut expectations. Ourinterpretation is that no consensus on rate action inthe event of no deal should be interpreted ashawkish.On the political front, if a Brexit deal is reached orArticle 50 is revoked, our economists continue to seescope for a rebound on the investment side of theeconomy and a resumption of interest-rate hikes inlate 2020. In such a scenario, the scope for a GBPrate rise is significant, in our view.However, the policy path will ultimately be decidedby political developments in the coming months, andthere is little clarity at present. Indeed, the probabilityof no deal seems to have risen recently, and themarket is now pricing in a full 25bp rate cut byJanuary 2020, partly reflecting the expectation ofrate cuts globally.Therefore, we favour cheap strategies for higherrates and we like buying GBP ATMF+50bp versusselling GBP ATMF+75bp payer swaptions, as a cost-effective way of being short the market withoutunlimited downside exposure.The 2y swap rate was above the first strike not longago, at the start of this year (Figure 1). The 18mexpiry seems reasonable, in light of our expectationfor rate hikes in late 2020, based on a positive Brexitoutcome. Figure 2 shows the net pay-off.GBP rates – Position short via payer swaptionsBuy GBP100m 18m2y ATMF+50bp (strike 1.08%) payerswaption.Sell GBP100m 18m2y ATMF+75bp (strike 1.33%) payerswaptionEntry: 81k (about 4bp) net premium. Target: 230k (about11.5bp). Spot ref 2y: 0.667%; 18m2y: 0.58%.1y carry roll: -45k (about -2.3bp).At initiation, delta: -7.9%; vega: 9.3k for 10% change in vol.Fig. 2: Net pay-offSource: BNP ParibasSources: Macrobond, BNP ParibasFig. 1: GBP 2y swap rate and option strikesG10 INTEREST RATES -200,000-100,0000100,000200,000300,000400,000500,000+25 +50 +75 +1006m decay1y decayAt expiryLegal NoticeThis document has been written by our Strategist and Economist teams within the BNP Paribas group of companies (collectively “BNPP”); itdoes not purport to be an exhaustive analysis, and may be subject to conflicts of interest resulting from their interaction with sales and tradingwhich could affect the objectivity of this report. This document is non-independent research for the purpose of the UK Financial ConductAuthority rules. For the purposes of the recast Markets in Financial Instruments Directive (2014/65/EU) (MiFID II), non-independent researchconstitutes a marketing communication. 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