2020年全球利率展望：金边债券表现不佳
下面是小编为大家整理的2020年全球利率展望：金边债券表现不佳,供大家参考。
2 0 2 0
G l ob a l
R a t e s
O u t l oo k
Gilts to Underperform N e u t r a l
o n
U S
T r e as u r i e s
a n d
J G B s ,
un d e r w e i g h t
G e r m a n B un d s
a n d
U K
g i l t s .
G i l t s
s h o u l d
un d e r p e r f o r m
o n
a
c r o ss- m a r k e t
b as i s ,
g i v e n
a
un iq u e
mo n e t a r y
po l i c y
p a t h
a mo n g ce n t r a l
b a n k s .
B uy
U S T
2 y
v s .
U K T
2 y ,
e n t e r
D B R
5 s 3 0 s s t ee p e n e r s ,
b uy
I r e l a n d
1 0 y
v s .
Be l g i u m ,
s e ll
2 0 y
J G B s
o n 1 0 s 2 0 s 4 0 s
5 0 : 5 0
f l y .
Interest Rate Strategy
A c r o ss
t h e
U S ,
t h e
U K ,
e u r o
a r e a
a n d
J a p a n
bo n d
m a r k e t s ,
2 0 2 0
s h o u l d
s ee a
m a t e r i a l
d ec l i n e
i n
s u pp l y
–
n e t o f
r e d e mp t io n s
a n d
ce n t r a l
b a n k p u r c h as e s
–
o f
$ 33 0 b n
( i n
U S
do ll a r
e q u i v a l e n t t e r m s ) .
I n
t h e
U S ,
w e
discuss the Fed"s asymmetric reaction function that should keep rate cuts in
MORGAN STANLEY & CO. INTERNATIONAL PLC+ Tony Small
STRATEGIST the price. We discuss how the US presidential election could impact the Treasury market, in particular how expectations for policy and the effect it has on sentiment will matter. Finally, we discuss why term premiums embedded into the 10y yield will remain negative, to account for the downside risks and a still-elevated set of rate expectations. In the UK , we focus on the outlook for supply, given our economists" expectations for a significant rise in fiscal stimulus. In the euro area , we note the strong
Tony.Small@morganstanley.com Robert J Brown
STRATEGIST Robert.J.Brown@morganstanley.com Alina Zaytseva
STRATEGIST Alina.Zaytseva@morganstanley.com Lorenzo Testa
STRATEGIST Lorenzo.Testa@morganstanley.com +44 20 7677-2571
+44 20 7425-4638
+44 20 7677-1120
+44 20 7677-0337 tendency for 30y yields to rise in the years after a strong total return year for euro area treasury benchmarks. We ask whether Japanese investors will
MORGAN STANLEY MUFG SECURITIES CO., LTD.+ Koichi Sugisaki
STRATEGIST c o n t i nu e
t o
p u r c h as e
s i g n i f i c a n t a mo un t s
o f
OA T s
i n
2 0 2 0 ,
g i v e n
t h a t domestic investors are now better off owning JGBs. We discuss how a
Koichi.Sugisaki@morganstanleymufg.com
Shoki Omori
+81 3 6836-8428 negative-yielding euro aggregate treasury benchmark could lead to investor
STRATEGIST Shoki.Omori@morganstanleymufg.com
+81 3 6836-5466 outflows, while highlighting the significant amount of debt maturing in the
next two years with a coupon above 3%, by country. We note why increased
r e i nv e s t m e n t r i s k
a n d
t h e
c o n t i nu e d
d e t e r io r a t io n
i n
c o u po n
i n c om e
m a y c o n t i nu e
t o
p u s h
i nv e s t o r s
t o w a r d s
BT Ps .
W e
u pd a t e
o u r
f o r ec as t s
f o r 2 0 2 0
E G B
s u pp l y .
I n
J a p a n ,
w e
h a v e
r e v i e w e d
o u r
e s t im a t e s
f o r
F Y 2 0 2 0 J G B
i ss u a n ce
p l a n s
a n d
s u pp l y / d e m a n d
f o r
e a c h
m a t u r i t y
b u c k e t .
W e
a l s o l ook
i n t o
w h a t J a p a n e s e
i nv e s t o r s
h a v e
b ee n
doi n g
d u r i n g
1 H
F Y 2 0 1 9
a n d di s c u ss
o u r
v i e w
o n
t h e i r
f u t u r e
a c t i v i t i e s .
Inflation-Linked Bonds
I n
t h e
U S ,
a
c ombi n a t io n
o f
t h e
U S
e l ec t io n
d yn a mi c s ,
a
F e d
o n
p a u s e
( un t i l f u r t h e r
n o t i ce ) ,
a n d
t h e
s t a bi l i t y
o f
r e a l i ze d
i n f l a t io n
l e a d s
u s
t o
f o r ec as t r e l a t i v e l y
un c h a n g e d
1 0 - y e a r
b r e a k e v e n s ,
e n di n g
2 0 2 0
a t 1 . 6 0 % ,
a n d
r e a l y i e l d s
s t a y i n g
i n
po s i t i v e
t e rr i t o r y ,
e n di n g
2 0 2 0
a t 1 5 bp .
W e
di s c u ss
t h e s t i c ki n e ss
o f
r e a l i ze d
i n f l a t io n
a n d
t h e
do w n w a r d
r i s k s
ass o c i a t e d
w i t h s h e l t e r
C P I .
W e
s ee
s t a b l e
a n d
p r e di c t a b l e
i ss u a n ce
o f
T I P S
i n
2 0 2 0 ,
w i t h
a p u ll - b a c k
i n
f o r e i g n
d e m a n d
f o r
T I P S
i n
2 0 1 9
as
a
k e y
r i s k
t o
T I P S
d e m a n d i n
2 0 2 0 .
I n
t h e
e u r o
a r e a ,
w e
s ee
1 0 y
H I C P
s w a p s
as
a
h i g h e r
b e t a
p l a y
f o r
Due to the nature of the fixed income market, the issuers or bonds of the issuers recommended or discussed in this report may not be continuously followed. Accordingly, investors must regard this report as providing stand-alone analysis and should not expect continuing analysis or additional reports relating to such issuers or bonds of the issuers. Morgan Stanley does and seeks to do business with companies covered in Morgan Stanley Research. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of Morgan Stanley Research. Investors should consider Morgan Stanley Research as only a single factor in making their investment decision. For analyst certification and other important disclosures, refer to the Disclosure Section, located at the end of this report.
+= Analysts employed by non-U.S. affiliates are not registered with FINRA, may not be associated persons of the member and may not be subject to NASD/NYSE restrictions on communications with a subject company, public appearances and trading securities held by a research analyst account.
December 1, 2019 05:00 AM GMT MORGAN STANLEY & CO. LLC
Matthew Hornbach
STRATEGIST Matthew.Hornbach@morganstanley.com
+1 212 761-1837 Guneet Dhingra, CFA STRATEGIST Guneet.Dhingra@morganstanley.com
+1 212 761-1445 Edward von der Schmidt, CFA
STRATEGIST Edward.Von.Der.Schmidt@morganstanley.com
+1-212-761-7085 Ailing Deng
STRATEGIST Ailing.Deng@morganstanley.com
+1 212 761-0481 Kelcie Gerson
STRATEGIST Kelcie.Gerson@morganstanley.com
+1 212 761-3983 James Cho
STRATEGIST James.Cho@morganstanley.com
+1 212 761-1288 David Harris
QUANTITATIVE ANALYST David.G.Harris@morganstanley.com
+1 212 761-0087
t h e
f i r s t h a l f
r ec o v e r y
i n
g r o w t h .
W e
e x p ec t 1 0 y
H I C P
s w a p s
t o
r e a c h
1 3 5 bp b y
J un e
2 0 2 0 ,
w id e n i n g
b y
n e a r l y
2 5 bp
f r om
c u rr e n t s po t l e v e l s .
W e s u gg e s t b e i n g
s h o r t U S
C P I
v s .
1 0 y
H I C P
s w a p s .
I n
t h e
U K ,
w i t h
e x p ec t a t io n s f o r
a n
o r d e r l y
B r e x i t ,
a n d
t h e
B o E
s i g n a l i n g
r a t e
h ik e s
i n
2 0 2 0 ,
w e
s ee
r e a l y i e l d s
i n
t h e
U K
e n di n g
2 0 2 0
n e a r
- 1 . 5 % .
W e
s ee
t w o - w a y
r i s k s
f o r b r e a k e v e n s ,
w i t h
1 0 - y e a r
U K
b r e a k e v e n s
e n di n g
2 0 2 0
a t 2 9 0 bp .
W e
a l s o t a k e
a
c l o s e r
l ook
a t F X
p ass- t h r o u g h
i n t o
R P I
i n f l a t io n .
I n
J a p a n ,
w e c o n t i nu e
t o
a d v o c a t e
c a u t io n
v i s-à- v i s
J G B i
p r i ce s
a n d
b r e a k e v e n s .
W e
a l s o s ee
l i tt l e
p r o s p ec t o f
s i g n i f i c a n t s u ppo r t f r om
d e m a n d / s u pp l y ,
g i v e n
t h a t m a r k e t s e n t im e n t r e m a i n s
b e a r i s h .
W e
c o n t i nu e
t o
r ec omm e n d
b e i n g
l o n g J G B i
# 2 4
o n
a
r e a l
y i e l d
b as i s ,
g i v e n
c h e a p
v a l u a t io n s .
Short-Duration Strategy
I n
t h e
U S ,
w e
di s c u ss
o u r
o u t l ook
f o r
t h e
y e a r - e n d
t u r n .
W e
b e l i e v e
t h a t
t h e
m a r k e t i s
f a i r l y
p r i c i n g
i n
a
y e a r - e n d
t u r n
o f
3 . 5 % ,
w i t h
t h e
g r e a t e r
r i s k t h a t r e po
t r a d e s
c h e a p e r
as
oppo s e d
t o
r i c h e r .
W e
t h e n
di s c u ss
o u r
o u t l ook f o r
C P
a n d
T - bi ll
i ss u a n ce
i n
2 0 2 0 .
W e
s u gg e s t b uy i n g
1 2 m
a n d
3 m
T - bi ll s
v s .
O I S ,
as
w e ll
as
m a i n t a i n i n g
l o n g
U S T
2 y
v s .
O I S .
W i t h
e x p ec t a t io n s
o f i n c r e as e d
C P
i ss u a n ce
a n d
s h o r t e r
p r im e
MM F
W A M s
i n t o
y e a r - e n d ,
w e s u gg e s t m a i n t a i n i n g
D ec
F R A / O I S
w id e n e r s .
L as t l y ,
w e
e x p ec t t h e
F e d
t o
e n d T - bi ll
p u r c h as e s
i n
A p r i l
a n d
e x p ec t n e t po s i t i v e
bi ll
i ss u a n ce
i n
2H2 0 ,
d r i v i n g
f un di n g
r a t e s
h i g h e r .
A s
s u c h ,
w e
s u gg e s t J un e - S e p
F R A / O I S s t ee p e n e r s .
I n
J a p a n ,
w e
di s c u ss
o u r
2 0 2 0
o u t l ook
f o r
t h e
U S D J P Y
b as i s .
W e
e x p ec t t h e
U S D J P Y
b as i s
t o
r e m a i n
a t t i g h t l e v e l s
a c r o ss
t h e
c u r v e .
W e s u gg e s t p a y i n g
U S D J P Y
b as i s
2 y 1 y
a n d
5 y 5 y
o n
dip s ,
a n d
1 s 1 0 s
E U R J P Y
b as i s s t ee p e n e r .
Interest Rate Derivatives
I n
t h e
U S ,
w e
p r o v id e
a
r a t e
a n d
v o l
b u ll / b as e / b e a r
s ce n a r io
m a t r i x
a n d
a q u a n t i t a t i v e
f r a m e w o r k
t o
id e n t i f y
t h e
m a c r o
a n d
m a r k e t o u t c om e s
a n d
t h e c o rr e s po n di n g
v o l
r e a c t io n s
h e a di n g
i n t o
2 0 2 0 .
B o t h
t h e
s ce n a r io s
a n d
t h e imp l i e d
r a t e
v o l
f a i r
v a l u e
mod e l
poi n t t o
a
n e g a t i v e
r a t e
a n d
v o l
c o rr e l a t io n
w i t h
nu a n ce s
t o
e a c h
p a r t o f
t h e
s u r f a ce .
On
s t r u c t u r a l
f l o w s , w e
r e v i s i t t h e
d yn a mi c s
o f
2 0 1 9
a n d
di s c u ss
t h e
o u t l ook
f o r
2 0 2 0 .
W e a n a l y ze
h o w
t h e
s y s t e m a t i c
s e ll i n g
s t r a t e g y
i n
t h e
g a mm a
s ec t o r
a n d
t h e c a ll a b l e
bo n d
i ss u a n ce
i n
t h e
v e g a
s ec t o r
c o u l d
un f o l d
un d e r
v a r io u s m a r k e t s ce n a r io s .
L as t l y ,
w e
p r o v id e
o u r
m a i n
t r a d e
t h ...