Event Comment
Macro Report
Friday, January 16, 2015
SNB removes CHF minimum exchange
rate as Eurozone QE looms ahead
CHF cap seen as unsustainable, hinting at Eurozone QE
Key data:
■
■
■
■
The Swiss National Bank (SNB) discontinued its minimum
exchange rate of 1.20 vs the Euro
SNB cut deposit rates by 0.5 ppt to -0.75% in effort to deter
excessive appreciation of CHF
CHF appreciated sharply, up 20% vs the Euro, 1.5% vs the USD
SNB action strongly hints at a large-scale Eurozone QE, we
view odds of QE in next week’s meeting have risen
China Merchants Securities (HK) Co. Ltd
Hong Kong Equity Research
Lynn SONG
+852 3189 6122
[email protected]
Dr. Cliff Zhao, CFA
+852 3189 6126
[email protected]
Dr. David Xie
+86 755 83295524
[email protected]
Key forecasts
U.S.
Comment:
%
By removing the minimum exchange rate, the SNB ended a three year policy
designed to defend the Swiss economy from overvaluation and excessive safe
haven flows. Though the central bank official statement stated that “overvaluation
has decreased,” it is unlikely this was the core driver behind the decision. More
tellingly, SNB Chairman Thomas Jordan indicated this cap had been scrapped due
to being “unsustainable.”
GDP
The central bank concurrently cut deposit rates further from -0.25% to -0.75% (55
bp lower than the ECB) in an effort to keep monetary conditions accommodative
and also prevent an excessive appreciation of the CHF, but the immediate impact
was vastly overshadowed by the scrapping of the minimum exchange rate. The
CHF sharply appreciated following the announcement, as the timing took the
markets completely by surprise as just weeks ago the central bank highlighted the
policy’s continuing importance of the minimum exchange rate. The biggest catalyst
for this policy change is external factors will make a hard ceiling for the CHF too
difficult to defend. With that said, the SNB will likely still face enormous pressure to
defend the CHF moving forward. It is likely the SNB will cut deposit rates further
negative if the CHF continues to appreciate too strongly.
Given the close ties between the SNB and the ECB, one of the key implications of
the unexpected timing of the Swiss announcement moving forward is that a
Eurozone QE of significant scale is likely soon on the way (market estimates a
scale of EUR 500-600 bn), with increasing probability it will be announced at the
nd
ECB’s January 22 meeting. Risks for delayed action remain. Though Draghi
insisted Greek elections had “absolutely no impact” on ECB decisions, with
the Greek elections just days after the ECB meeting and the anti-austerity and
reform Syriza party still leading in the polls, policymakers are likely shying
away from purchasing Greek assets as part of a QE program. This may lead
to a workaround such as purchasing only investment grade assets.
CPI
Unemployment
Current Account /GDP
Fiscal balance /GDP
Policy rate
Dollar index
14E
15E
2.3
2.9
1.7
5.8
-2.4
-2.9
0.25
88.5
1.5
5.6
-2.3
-2.6
1.00
97.0
14E
15E
0.9
0.9
0.5
11.5
2.3
-2.5
0.05
1.25
0.5
11.3
2.5
-2.3
0.05
1.10
14E
15E
0.8
1.1
2.8
3.6
0.1
-8.0
0.1
118.0
1.5
3.4
0.9
-7.8
0.1
121.0
Eurozone
%
GDP
CPI
Unemployment
Current Account /GDP
Fiscal balance /GDP
Policy rate
EUR/USD
Japan
%
GDP
CPI
Unemployment
Current Account /GDP
Fiscal balance /GDP
Policy rate
USD/JPY
Source: Bloomberg，CMS(HK)
Momentum appears to be shifting for ECB action at next week’s meeting; from
the perspective of economic data, namely the inflation outlook amid still sliding
crude oil prices, there is a strong case for immediate QE. If the ECB does not
announce QE, there should be some disappointment in the market. We view
odds for an ECB QE announcement next week are significant, and even
if QE is delayed it will likely be delayed to the March 5th meeting at latest.
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1
事件点评
招商证券（香港）有限公司
证券研究部
宏观报告
2015 年 1 月 16 日(星期五)
欧元区QE即将到来，瑞士央行取消瑞郎
汇率上限
瑞郎上限政策不可持续，暗示欧元区QE如箭在弦
宋林
+852 3189 6122
[email protected]
赵文利博士, CFA
+852 3189 6126
[email protected]
主要观点：
■
■
■
瑞士央行终止了欧元兑瑞郎1.2的汇率下限
■
瑞士央行的举动强烈暗示了欧元区大规模QE政策即将到来，我们认
为下周欧洲央行会议推出QE的机率大增
瑞士央行下调存款利率0.5个百分点至-0.75%避免瑞郎升值过度
瑞郎汇率飙升，瑞郎兌欧元汇率暴涨20%，瑞郎兌美元汇率亦有1.5%
增幅
点评︰
通过取消汇率下限，瑞士央行结束了为期三年的防止避险资金过度流入导致
经济过热的货币政策。尽管央行官方声明称“经济过热已经缓和”，但这不
太可能是此次决定的主导因素。更值得关注的是，瑞士央行主席托马斯•乔
丹（Thomas Jordan）暗示瑞郎汇率上限由于其“不可持续性”而被宣告作
废。
为了维持较为宽松的货币政策及防止瑞郎过度升值，瑞士央行同时将存款利
率进一步从-0.25%下调至-0.75%（低于欧洲央行55个基点），但这一举措
的即时影响由于汇率下限的取消而大打折扣。由于几周之前瑞士央行仍在强
调坚持汇率下限的重要性，市场完全没有预期到此次政策公布的时间点，于
是瑞郎在取消汇率下限之后大幅升值。此次政策改革的最大催化剂是外部压
力使瑞郎原有上限难以维持。瑞士央行因此将面临防止瑞郎继续升值的巨大
压力。如果瑞郎继续保持强劲的升值态势，瑞士央行很有可能进一步下调存
款利率至更低的负值。
谢亚轩博士
+86 755 8329 5524
[email protected]
主要预测
美国
14E
15E
GDP
2.3
2.9
CPI
1.7
5.8
1.5
5.6
外贸顺差/GDP
-2.4
-2.3
财政赤字/GDP
-2.9
-2.6
央行基准利率
0.25
1.00
美元指数
88.5
97.0
%
失业率
欧元区
14E
15E
GDP
0.9
0.9
CPI
0.5
11.5
0.5
11.3
%
失业率
外贸顺差/GDP
2.3
2.5
财政赤字/GDP
-2.5
-2.3
鉴于瑞士央行与欧洲央行的关系较为紧密，此次瑞士方面在出乎市场意外的
时间点上宣布重要举措，暗示了欧元区大规模的QE可能很快就要推出（市
场预计5千亿至6千亿欧元的规模），极有可能在1月22日的欧洲央行会议上
推出。推迟计划的风险仍然存在。尽管德拉吉（Draghi）坚称希腊大选对欧
洲央行的决定“毫无影响”，但是希腊大选仅仅在欧洲央行会议几天之后举
行，反对紧缩和改革的Syriza政党在民意调查中依然处于领先地位，因此政
策制定者可能会在QE中避开购买希腊资产。这可能导致一些变通，例如仅
仅购买投资级资产。
央行基准利率
0.05
0.05
欧元/美元
1.25
1.10
外贸顺差/GDP
0.1
0.9
下周欧洲央行会议的行动的推动力可能会发生转变；从经济数据角度来讲，
主要是通胀前景在原油价格影响下仍在下滑，立即推出QE势在必行。如果
欧洲央行暂不推行QE，市场可能会表现出失望情绪。我们预期下周ECB会
议推出QE的可能性比较大，否则，极有可能最晚推迟于3月5日的会议。
财政赤字/GDP
-8.0
-7.8
彭博终端报告下载: CMHK <GO>
日本
14E
15E
GDP
0.8
1.1
CPI
2.8
3.6
1.5
3.4
%
失业率
央行基准利率
美元/日元
0.1
0.1
118.0
121.0
资料来源：彭博，招商证券（香港）
2
Friday, January 16, 2015
Chart 1: Sharp appreciation of the CHF following the
removal of the minimum exchange rate, up 20% vs EUR
Chart 2: Swiss benchmark rate was cut 0.5 bp, deflation
is a concern in Switzerland and Europe at large
2.0
4.0
1.8
3.0
1.6
2.0
1.4
1.0
1.2
USD/CHF
EUR/CHF
Benchmark rate (%)
15
14
13
12
11
10
09
08
07
06
05
04
03
02
00
15
14
13
12
11
10
09
08
07
06
05
04
03
-2.0
02
0.6
01
-1.0
00
0.8
01
0.0
1.0
CPI (YoY %)
Sources: Bloomberg, CMS (HK)
Sources: Bloomberg, CMS (HK)
Chart 3: Swiss exports gradually adjusted to strong CHF,
but may face challenges after minimum rate is scrapped
Chart 4: SNB widened interest rate differential with ECB
in effort to defend the CHF from excessive appreciation
1.2
-5
0.5
1.1
-10
0.0
1
-15
(0.5)
0.9
-20
(1.0)
0.8
Switzerland Benchmark Deposit Rate (%), LHS
ECB Benchmark Deposit Rate (%), LHS
EUR/CHF, RHS
Exports growth (YoY %), RHS
USD/CHF, LHS
EUR/CHF, LHS
Sources: Bloomberg, CMS (HK)
15
1.0
14
0
13
1.3
12
5
11
1.4
1.5
10
2.0
09
10
08
1.5
07
15
06
1.6
2.5
15
14
13
12
11
10
09
08
07
06
05
04
03
02
01
00
0.6
1.7
3.0
05
0.8
3.5
20
04
1.0
25
03
1.2
1.8
02
1.4
4.0
01
1.6
30
00
1.8
Sources: Bloomberg, CMS (HK)
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Friday, January 16, 2015
Chart 5: Gap between current levels and ECB target
means there is room for large-scale QE
3,500
Chart 6: ECB eligible assets breakdown shows any large
scale QE will have to be centered on sovereign bonds
Asset
Backed
Securities,
684.2, 5%
ECB
Target
3,000
Covered
bonds ,
1489.1, 11%
2,500
Central
Government
Securities,
6578.9, 47%
2,000
Others,
3454.1, 24%
1,500
1,000
Corporate
bonds,
1412.8, 10%
500
15
14
13
12
11
10
09
08
07
06
05
04
03
02
01
00
0
Regional
government
securities,
433.9, 3%
ECB Total Assets (EUR bn)
Sources: Bloomberg, CMS (HK)
(1Q14, EUR bn)
Sources: Bloomberg, CMS (HK)
Table 1: ECB 2015 meeting schedule, we view odds are ECB will announce QE by March at latest
Date
Meeting
22/1/2015
Governing Council of the ECB: monetary policy meeting in Frankfurt
5/3/2015
Governing Council of the ECB: monetary policy meeting in Cyprus
19/3/2015
General Council meeting of the ECB in Frankfurt
15/4/2015
Governing Council of the ECB: monetary policy meeting in Frankfurt
3/6/2015
Governing Council of the ECB: monetary policy meeting in Frankfurt
18/6/2015
General Council meeting of the ECB in Frankfurt
16/7/2015
Governing Council monetary policy meeting of the ECB in Frankfurt
3/9/2015
Governing Council of the ECB: monetary policy meeting in Frankfurt
17/9/2015
General Council meeting of the ECB in Frankfurt
22/10/2015 Governing Council of the ECB: monetary policy meeting in Malta
3/12/2015
Governing Council of the ECB: monetary policy meeting in Frankfurt
17/12/2015 General Council meeting of the ECB in Frankfurt
Sources: ECB, CMS (HK)
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Friday, January 16, 2015
Investment Ratings
Rating
Definition
OVERWEIGHT
Expected to outperform the market index by > 10% over the next 12 months
NEUTRAL
Expected to outperform or underperform the market index by 10% or less over the next 12 months
UNDERWEIGHT
Expected to underperform the market index by >10% over the next 12 months
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