J.P.摩根-全球投资策略-相对的货币政策和美联储的量化紧缩支持了更广泛的外汇隔夜指数互换基础-2022.6.1-34页.docx

Cross currency basis 3Q22 Outlook Relative monetary policy and Feds QT support wider FX OIS basis Monetary policy differential between the Fed and other DM central banks, both via the policy rates and balance sheet channel will most likely be the main driver of the cross currency basis dynamic, with some potential impact from risk aversion if geopolitical concerns increase Faster and larger hikes in policy rate from the Fed in a simultaneous tightening cycle across DM central banks into 2H22 will put widening pressure at the short end of the cross currency bases curves, with further push from a relatively more aggressive quantitative tightening from the Fed, with ECB and BoJ unlikely to join any balance sheet normalization for the rest of 2022. In the US, even after the start of balance sheet normalization this month, we are a long way off from seeing a narrowing in the EFFR/IORB spread as reserves will only decline slowly and continue to be abundant for some time. The amount of excess deposits (total deposits minus total loans) at banks continues to be substantially higher than pre-pandemic levels, limiting their need to borrow in fed funds. In EUR/USD, we are biased toward receiving 1Yx1Y €STR/SOFR basis on expected further relative tightening by the Fed versus the ECB over the coming months; steepening bias on the basis curve. In GBP/USD, we have a modest widening bias on 1Yx1Y basis on risks of an expected faster relative pace of Fed vs. BoE rate normalization compared to market pricing. In USD/JPY, we expect the short-term basis to trade sideways or widen at a gradual pace. In the intermediate sector, stronger demand for USD funding needs points to wider basis. In Sweden, we are tactically neutral on SEK/EUR basis while keeping a medium term widening bias, as too much Riksbank tightening is priced in relative to the ECB. Look for a steeper 2s/5s AUD/USD basis curve, led by roll-down in the front-end as banks rotate shorter market funding toward term deposits.