摩根士丹利-全球宏观策略：救市计划中的定价-2021.2.6-120页 (2).pdf

February 6,2021 12:38 AM GMTMatthew.HGuneet.DDavid.S.AAndrew.WKelcie.GDavid.G.HJames.LTony.SSheena.SGek.Teng.KAlina.ZLorenzo.TKoichi.SShoki.OMORGAN STANLEY&CO.LLCMatthew HornbachSTRATEGIST+1 212 761-1837Guneet Dhingra,CFASTRATEGIST+1 212 761-1445David S.Adams,CFASTRATEGIST+1 212 761-1481Andrew M WatrousSTRATEGIST+1 212 761-5287Kelcie GersonSTRATEGIST+1 212 761-3983David HarrisSTRATEGIST+1 212 761-0087MORGAN STANLEY&CO.INTERNATIONAL PLC+James K LordSTRATEGIST+44 20 7677-3254Tony SmallSTRATEGIST+44 20 7677-2571Sheena ShahSTRATEGIST+44 20 7677-6457Gek Teng KhooSTRATEGIST+44 20 7425-3842Alina ZaytsevaSTRATEGIST+44 20 7677-1120Lorenzo TestaSTRATEGIST+44 20 7677-0337MORGAN STANLEY MUFG SECURITIES CO.,LTD.+Koichi SugisakiSTRATEGIST+81 3 6836-8428Shoki OmoriSTRATEGIST+81 3 6836-5466Global Macro StrategistGlobal Macro Strategist|Global GlobalPricing In The Rescue PlanWe believe markets are closer to pricing in the deficit impactof the$1.9tn American Rescue Plan than the growth,inflationimpact.Liquidity,unused and forthcoming,provides the meansfor risk-takers to price in an even brighter future.Stay in USTsteepeners,short UST vs.DBR,neutral USD.Interest Rate StrategyWe maintain 5s30s curve steepeners(dv01 ratio 1:1),while adding 5s30sTIPS real yield curve steepeners(dv01 ratio 1:2).We maintain long 30yGerman Bunds vs.short 30y US Treasuries,long Ireland October 2031s vs.short France May 2031s and UKT 10s30s steepeners.We enter JGB 7s20sflattener,and maintain long 20y JGB ASW.We add long AustraliaNovember 2024s vs short April 2024s and explore how to position for RBAYCC ending.RBNZ may push back on hiking expectations;we overlay ourshort NZ long-end rates exposure with a 1y1y OIS receiver.Currency&Foreign ExchangeWe remain USD neutral and prefer relative value trades such as shortCHF/CAD and EUR/CNH and long NZD/JPY.We add long CAD/MXN andUSD/JPY and stay bullish NOK.Upside USD/CHF 6m skew is attractive.Inflation-Linked BondsWe maintain 5y breakeven wideners.We also update our shelter inflationmodel,which suggests a V-shaped recovery in shelter inflation starting in1Q21,led by less urban(class B)regions.Short-Duration StrategyDespite no further increases to coupon sizes,we expect$142bn of T-billpaydowns in CY2021,with the majority of paydowns occurring up until thedebt ceiling deadline of August 1,2021.As such,we continue to recommendlong 12m T-bill vs OIS and M1/H2 FRA/OIS steepeners.Interest Rate DerivativesIn the US,we look at swap spread drivers outlined in the TreasuryBorrowing Advisory Committees 1Q report,and incorporate MBS durationand the 5s30s curve into our swap spread models.Our updated models for10y and 30y swap spreads moved 1bp and 3bp tighter,respectively.Wecontinue to recommend 1x2 payer spreads on 6m5y and 1y30y swaptions.Technical AnalysisIn G10 rates,bond-bearish trends,many weak,keep strengthening.In G10FX,USD is trendless.EUR/CHF,EUR/JPY trending higher,AUD/NZD lower.Please click here if you would like to receive the daily Global Macro CommentaryDue to the nature of the fixed income market,the issuers orbonds of the issuers recommended or discussed in thisreport may not be continuously followed.Accordingly,investors must regard this report as providing stand-aloneanalysis and should not expect continuing analysis oradditional reports relating to such issuers or bonds of theissuers.Morgan Stanley does and seeks to do business withcompanies covered in Morgan Stanley Research.As aresult,investors should be aware that the firm may have aconflict of interest that could affect the objectivity ofMorgan Stanley Research.Investors should considerMorgan Stanley Research as only a single factor in makingtheir investment decision.For analyst certification and other important disclosures,refer to the Disclosure Section,located at the end of thisreport.+=Analysts employed by non-U.S.affiliates are not registered withFINRA,may not be associated persons of the member and may notbe subject to FINRA restrictions on communications with a subjectcompany,public appearances and trading securities held by aresearch analyst account.1 Thank YouLeading with exceptional ideas is one of five core values at Morgan Stanley.Every yearand throughout the year,Morgan Stanley Research aims to deliver exceptional ideas toour clients.Once a year,we compete in the Institutional Investor(II)Global Fixed-IncomeResearch poll.The poll represents an anonymous way for our clients to provide us withfeedback on how well we are delivering on this core value.We received results from the 2021 II Global Fixed-Income Research poll at the end ofJanuary.As a Global Macro Strategy team,we solicited your support in September2020,during a tumultuous year for markets and for humanity.As a result of thevaluable time you spent filling out ballots,II awarded us rankings at the team andindividual analyst level found in the tables below.We highly value the partnership that has developed with our clients through ourresearch over the years.Your feedback,either directly or through your votes in the IIpoll,inspires us to improve our understanding of markets and share with you ourfindings and perspectives.Thank you for entrusting us with your time every week.Andthank you for your support.Matthew Hornbach and James LordTeam RankingExhibit 1:2021 Institutional Investor Global Fixed-Income Research team rankingsCategoryRegionRankingTreasury Inflation-Protected SecuritiesUS1stFixed-Income StrategyJapan1stInterest Rate StrategyJapan1stFixed-Income StrategyUS2ndInterest Rate DerivativesUS2ndSovereign Debt StrategyEmerging EMEA2ndLocal Markets FX StrategyAsia(Ex-Japan)2ndSovereign Debt StrategyAsia(Ex-Japan)2ndLocal Markets FX StrategyLatin America2ndMacro StrategyGlobal3rdU.S.Rates StrategyUS3rdFixed-Income StrategyAsia(Ex-Japan)3rdLocal Markets Rates StrategyAsia(Ex-Japan)3rdCurrency&Foreign ExchangeJapan3rdCurrency&Foreign ExchangeUSRUFixed-Income StrategyEuropeRULocal Markets FX StrategyEmerging EMEARULocal Markets Rates StrategyLatin AmericaRUSovereign Debt StrategyLatin AmericaRUSource:Morgan Stanley Research,Institutional Investor Note:RU stands for runner-up2Analyst RankingExhibit 2:2021 Institutional Investor Global Fixed-Income Research analyst rankingsCategoryRegionRankingOverallGlobal1stTreasury Inflation-Protected SecuritiesUSA1stSovereign Debt StrategyEmerging EMEA1stSovereign Debt StrategyAsia(ex-Japan)1stLocal Markets Rates StrategyLatin America1stLocal Markets FX StrategyLatin America1stOverall JapanJapan1stInterest Rate StrategyJapan1stLocal Markets Rates StrategyAsia(ex-Japan)1stLocal Markets FX StrategyAsia(ex-Japan)1stU.S.Rates StrategyUSA2ndInterest Rate DerivativesUSA2ndEconomics StrategyUSA2ndMacro StrategyGlobal2ndLocal Markets Rates StrategyAsia(ex-Japan)2ndSovereign Debt StrategyLatin America2ndInterest Rate StrategyJapan2ndFixed Income StrategyJapan2ndFixed Income StrategyUSA3rdTreasury Inflation-Protected SecuritiesUSA3rdLocal Markets Rates StrategyEmerging EMEA3rdLocal Markets FX StrategyEmerging EMEA3rdCurrency&Foreign ExchangeEurope3rdSovereign Debt StrategyEmerging EMEA3rdOverallLatin America3rdInterest Rate StrategyJapanRULocal Markets FX StrategyLatin AmericaRUInflation-Linked BondsEuropeRULocal Markets Rates StrategyEmerging EMEARULocal Markets FX StrategyAsia(ex-Japan)RUCurrency&Foreign ExchangeJapanRUSource:Morgan Stanley Research,Institutional Investor Note:RU stands for runner-up3 Global Macro StrategyMORGAN STANLEY&CO.LLCMatthew HornbachMatthew.H+1 212 761-1837Andrew WatrousAndrew.W+1 212 761-5287Ioana ZamfirIoana.Z+1 212 761-4012 Pricing in US Fiscal StimulusIn Fiscally Focused,we suggested investors remain positioned for risk-on.We arguedthat the US fiscal stimulus package proposed by the Biden administration,worthbetween 5 and 10pp of nominal US GDP,would dominate economic data and prettymuch everything else in the formation of investor expectations about the future.Over the past two weeks,investor expectations about the size of fiscal stimulus havegrown.The resulting positive risk impulse has dominated both the negative storylinesaround Europes vaccine distribution issues.In addition,it has dominated the occasionalpiece of negative economic data,e.g.,Fridays mixed US nonfarm payroll report.At some point,expectations about the size of the US fiscal stimulus package will meetreality.The bid/offer on the actual size remains wide,at US$1.0-1.9tn.But,based ondiscussions with investors,we think markets priced in only a 90%probability of US$1tntwo weeks ago,i.e.,markets priced in$900bn worth of stimulus.Today,given recent developments,expectations may be closer to US$1.5tn with a 75%probability,i.e.,markets are pricing in US$1.125tn of stimulus.This estimate is within theUS$1.0-1.5tn range our US economists have built into their new growth outlook.Exhibit 3:2021 US real GDP Y/Y forecast:Morgan Stanleytoday vs.Bloomberg consensus history6.54.11.02.03.04.05.06.07.0Feb-20May-20Aug-20Nov-20Feb-21Bloomberg consensus 2021 US real GDP Y/YMS current forecast 2021 US real GDP Y/Y%Source:Morgan Stanley Research,BloombergExhibit 4:2021 US core CPE inflation Y/Y forecast:MorganStanley today vs.Bloomberg consensus history2.21.71.01.21.41.61.82.02.22.4Feb-20May-20Aug-20Nov-20Feb-21Bloomberg consensus 2021 US core PCE inflation Y/YMS current forecast 2021 US core PCE inflation Y/Y%Source:Morgan Stanley Research,Bloomberg4In that sense,market pricing is in line with their projections now.But which projections?Is market pricing in line with their deficit projections-and the associated Treasurysupply-or is market pricing in line with their GDP growth projections?How fully aremarkets pricing in the American Rescue Plan after all?We believe markets are closer to pricing in the deficit impact of President Bidens planthan the growth and inflation impact.Exhibit 3 helps make the case.Bloombergconsensus real GDP forecasts for 2021 have risen 0.2pp only since the Senate runoffelections in Georgia.In contrast,our US economists raised their 2021 projections 1.6pp.While economist projections lag markets,its fair to say,the gap remains considerable,inall likelihood.We think a similar story exists for the inflation outlook.Our economists now projectcore PCE inflation to end 2021 at 2.2%Y/Y vs.Bloomberg consensus at 1.7%Y/Y(seeExhibit 4).Furthermore,they project headline CPI inflation at 2.6%Y/Y in 2022 vs.Bloomberg consensus at 2.1%Y/Y.All of this comes with inflation expectations,on ourmodel,remaining stuck below 2%(see Exhibit 5).As a result,TIPS 5y breakevens incorporate some positive inflation risk premium today,but not enough,given the outlook,in our view.Relative to history,TIPS 5y breakveveninflation risk premiums find themselves in a range they occupied during the easymonetary policy environment of 2003-2004(see Exhibit 6).However,at 35bp,5y inflation risk premiums are at the lower end of that range,withanother 50bp of upside relative to the peak in late 2003.We note that,in 2003,therewas a positive fiscal impact from governmental policy throughout the year.And,its fair to say that the fiscal impact in 2021 and 2022 will be even larger.All of thiscomes in an environment when central banks are aiming for a high-pressure economy.And markets arent yet pricing it in,in our view.Exhibit 5:TIPS 5y breakevens and short-term inflationexpectations%-1.0-0.50.00.51.01.52.02.53.03.5Jan-03Jan-06Jan-09Jan-12Jan-15Jan-18Jan-21Short term inflation expectationsTIPS 5y BEI%Source:Morgan Stanley ResearchExhibit 6:TIPS 5y breakeven inflation risk premium-3.0-2.5-2.0-1.5-1.0-0.50.00.51.0Jan-03 Jan-06 Jan-09 Jan-12 Jan-15 Jan-18 Jan-215y inflation risk premium estimate%0.35Source:Morgan Stanley Research5How can markets be pricing the deficit impact on Treasury supply,but not the economicimpact?We detailed our views on how the bond market,at least,prices fiscal stimulus(and quantitative easing)in Between a Rock and a Hard Place.In short,we thinkinvestors have an easier time figuring out how the Treasury will finance a deficit thanfiguring out how the policies will impact economic activity.For example,we believe debate around the future of Treasury issuance is mostly settledafter this weeks Treasury refunding announcement.As we discussed in TreasuryRefunding:3 Takeaways and our latest podcast,Strong Views on Global Macro,we dontthink the US Treasury will have to increase coupon sizes until November.Whileinvestors may disagree to a certain extent,that debate will be limited in scope.On the other hand,as we showed above,economists disagree quite a bit on theeconomic outlook.As such,markets often take more time to price in the expectedeconomic impact of stimulus.We saw this very clearly after the Tax Cuts and Jobs Act(TCJA)of 2017 passed into law.Confidence began to build that the TCJA was coming together after Labor Day onMonday,September 4,2017.As a result,the Treasury market began to price an increasein supply with modestly higher 10y yields,but much higher 2y yields-resulting in adramatic bear-flattening of the 2s10s curve(see Exhibit 7).The TBACs report to the Treasury Secretary drove the curve flatter by suggesting,Inthe modeling framework,the current environment of low real yields,low term premiumand rising budget deficits favors issuance in the belly of the curve.For the avoidance ofdoubt,the“belly”is defined as 2-,3-,and 5-year notes.It was during this period,before the president signed the TCJA into law,that the bondmarket priced in the expected increase in coupon supply.Of course,that pricing did notoccur in isolation.Of course,markets began to price some of the expected economicimpact from the TCJA,as evidenced by strength in the equity market and higher 10y realyields(see Exhibit 8).Exhibit 7:UST 10y yield and UST 2s10s curve around thesigning of the TCJA0.40.50.50.60.60.70.70.80.80.90.92.02.12.22.32.42.52.62.72.82.93.0Sep-17Nov-17Jan-18Mar-18UST 10yUST 2s10s(rhs)%TCJAsignedTBACReportSource:Morgan Stanley Research,BloombergExhibit 8:MSCI USA price index and 10y real yields aroundthe signing of the TCJA0.20.30.40.50.60.70.80.92,3002,3502,4002,4502,5002,5502,6002,6502,7002,7502,800Sep-17Nov-17Jan-18Mar-18MSCI USA price return indexTIPS 10y real yield(rhs)IndexTCJAsignedTBACReport%Source:Morgan Stanley Research,Bloomberg6However,after the president signed the TCJA into law,Treasury real yields and theequity market exploded higher-without a coincident flattening of the yield curve.Thissuggests that markets priced in the last leg of expected economic growth at this time,instead of the expected increase in Treasury coupon supply.Of course,history may not repeat itself.The end of 2020/beginning of 2021 may notlook like the end of 2017/beginning of 2018,even though we identified similarities inReminiscences of 2018.But,we think history is rhyming.As such,we remain enamoredwith a risk-on stance,and suggest investors position accordingly.The Cash Continues to ComePart of our fascination with being positioned for risk-on is liquidity.We often discuss thesheer amount of liquidity co