摩根士丹利-全球-宏观策略-全球利率策略：在下降中买入-2019.3.2-71页.pdf

Matthew.HGuneet.DTony.SSam.EDavid.G.HShreya.CRobert.J.BKoichi.SShoki.OMORGAN STANLEY&CO.LLCMatthew HornbachSTRATEGIST+1 212 761-1837Guneet Dhingra,CFASTRATEGIST+1 212 761-1445Tony SmallSTRATEGIST+1 212 296-5876Sam ElprinceSTRATEGIST+1 212 761-9491David HarrisSTRATEGIST+1 212 761-0087MORGAN STANLEY&CO.INTERNATIONAL PLC+Shreya ChanderSTRATEGIST+44 20 7425-4740Robert J BrownSTRATEGIST+44 20 7425-4638MORGAN STANLEY MUFG SECURITIES CO.,LTD.+Koichi SugisakiSTRATEGIST+81 3 6836-8428Shoki OmoriSTRATEGIST+81 3 6836-5466Please click here if you would like to receive our dailyinterest rate market commentary:the TreasuryMarket Commentary.Global Interest Rate StrategistGlobal Interest Rate Strategist|Global GlobalBuy This DipThe small breakout higher in yields on the back of nascentimprovement in global growth is providing yet anotheropportunity for investors to buy the dip in US duration.Ifglobal growth does continue to drive rates higher,we thinkthe US will still win another round in the Ryder Cup.Duration and CurvesIn the US,we continue to suggest selling 2y notes vs.buying 5y notes,notional neutral.In the euro area and UK,we continue to suggestexpressing a duration underweight against a duration overweight in the USand Canada.In Japan,we move from bullish to neutral on durationtactically,but continue to suggest a JGB 20s40s flattener.SovereignsIn the US,we attribute the recent rise in Treasury yields to improvement inoutlook for global growth.At the same time,the Fed will not ignore andneither should the Treasury market continued weakness in US economicdata.Should 10y Treasury yields move toward 2.80%,we would look tobuy them outright.In the meantime,we continue to suggest maintainingshort 2y notes vs.long 5y notes,notional neutral.InflationIn the US,even as carry turns positive for the month of March after twostrongly negative months,we do not expect much support from this changein carry.Our backtest shows that a carry-driven strategy hasnt worked wellrecently.Additionally,our iBMIs continue to suggest a neutral stance onbreakevens.We continue to suggest being long 5-year real yields.Money MarketsIn the US,the TED spread between Libor and T-bills has collapsed tohistorical lows,and we expect this to erode Prime MMF yields.In the euroarea,we review developments in transitioning from EONIA to ESTER,andthe policy implications of the new RFR.In Japan,we dig into the currentcheapness of foreign currency denominated JGB ASW.We still suggest longmedium-term JGB ASW for EUR and GBP investors.DerivativesIn the US,we explore how investors can take advantage of the richness in2y10y skew to historical levels through 1x2 or 1x1 receiver spread structuresto express either bearish or bullish views on rates.We also recommendbuying 3m2s5s curve caps and 3m10s30s conditional bear steepeners forinvestors that expect a rise in long-term inflation expectations.Due 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 NASD/NYSE restrictions on communications with asubject company,public appearances and trading securities held bya research analyst account.1March 2,2019 12:32 AM GMT Duration and Curves Global summaryMORGAN STANLEY&CO.LLCMatthew HornbachMatthew.H+1 212 761-1837Our Bond Market Indicators,BMI(10),moved bullish on Germany Bunds and UK gilts.This matches up with our Smarter Beta strategy,which has 200%long exposure to theUK and 100%long exposure to Germany.Our BMI(10)models are neutral on the USand Japan,but our Smarter Beta strategy has a 200%long exposure to the US.In ourBMI framework,bond market momentum continues to be supportive of duration.Whileequity market performance argues against long-duration exposure,it has argued less soover the past week.Our BMI(2)models went negative on the US and Germany.In the US,we continue to suggest maintaining short 2y notes vs.long 5y notes,notionalneutral.If the Fed does hike rates later this year,we like the flattening exposure fromthe 2s5s flattener.In addition,we think further rate hikes would not be welcomed byrisk assets,and this should put downward pressure on term premiums further out thecurve.Finally,we still see a larger risk of a dovish dot plot at the March FOMC meetingthan a hawkish dot plot,and per our analysis last week,think rate expectations have aways to fall(see Video|Dont Miss the Bull Market).Exhibit 1:Morgan Stanley Bond Market Indicators-BMI(10)Vol Adj.CarryMomentumEquity MarketsBusiness CycleFX/RatesAverageOverallUST-8.1(-8.4)9.7(9.9)-2.9(-4.5)-4.0(2.4)-7.5(-8.3)-2.6(-1.8)0.0(0.0)DBR-0.4(-0.7)6.8(7.9)-3.3(-3.2)0.4(6.9)6.3(6.3)2.0(3.4)2.0(0.0)UKT-1.4(-1.8)8.1(8.8)-1.5(-1.7)2.7(3.6)1.3(-2.5)1.9(1.3)1.9(0.0)JGB-2.8(-2.3)9.8(9.9)-1.5(-3.3)-5.9(-8.5)0.8(1.9)0.1(-0.5)0.0(0.0)ACGB4.4(4.0)9.6(9.1)-3.7(-4.6)0.8(1.5)-3.2(1.1)1.6(2.2)1.6(0.0)NZGB4.7(3.9)9.5(7.7)-0.5(-2.8)-0.5(-2.3)0.0(0.0)2.6(1.3)2.6(0.0)CAN-9.2(-9.3)8.4(9.3)-2.7(-5.0)2.2(4.1)-3.3(-3.5)-0.9(-0.9)0.0(0.0)Source:Morgan Stanley ResearchExhibit 2:Morgan Stanley Bond Market Indicators-BMI(2)Vol Adj.CarryMomentumEquity MarketsBusiness CycleFX/RatesAverageOverallUST-8.4(-8.3)9.6(10.0)-2.9(-4.5)-4.0(2.4)0.0(0.0)-2.8(-2.1)-2.8(0.0)DBR-7.3(-7.6)-4.9(-4.1)-3.3(-3.2)0.4(6.9)4.1(3.1)-2.2(-1.0)-2.2(0.0)UKT1.6(-0.6)-1.1(3.3)-1.5(-1.7)2.7(3.6)3.8(2.1)1.1(1.3)0.0(0.0)JGB-1.1(-3.1)9.6(9.0)-1.5(-3.3)-5.9(-8.5)-1.3(1.7)0(-0.8)0.0(0.0)ACGB-7.0(-8.2)9.8(8.7)-3.7(-4.6)0.8(1.5)1.7(4.0)0.3(0.3)0.0(0.0)NZGB-4.5(-3.5)6.0(0.9)-0.5(-2.8)-0.5(-2.3)4.9(4.4)1.1(-0.6)0.0(0.0)CAN-8.6(-8.6)9.0(8.9)-2.7(-5.0)2.2(4.1)-6.6(-5.9)-1.3(-1.3)0.0(0.0)Source:Morgan Stanley ResearchNote:Positive#=long duration;Negative#=short duration,(#)=previous week Thursday close which may differ from the post-nonfarm payroll update,Indicators bounded between-10 and+10,Overall signal set to zero if abs(Signal)=1.5 and cross-market restriction is not satisfied.2In the euro area,we think that many of the factors that have weighed considerably onBund yields are now well understood by the market,such that the greater risk duringthe upcoming year is that many of these factors resolve themselves in a more favorabledirection given the generally large degree of pessimism around the outlook forEuropean growth and future inflation.And more recently,the 10-year Bund has haddifficulty breaking below the 0.08-0.10%area,a range that acted as strong support foryields during the entire month of February.Underlying our view that Bund yields will eventually rise this year is our belief that YoYmeasures of inflation will likely bottom out in Q2/Q3 2019 and that growth willeventually rebound in line with a turn in certain leading indicators,which we observed tobe early predictors of the current soft patch.We also see a non-zero,albeit very low,probability that the ECB could surprise the market by maintaining its forward guidancefor rates,perhaps to justify a technical adjustment to the deposit rate aimed toward thebanking sector.In addition,we think that the recent strong rebound in global financial conditionsindices,persistent Chinese easing,improvements in US/China trade relations and apotentially positive resolution for Brexit could result in a re-rate of many of the riskscited by the ECB as factors that have contributed to a general feeling of uncertainty anddownside risks to growth.In the UK,recent developments including(1)Theresa Mays promise to provide a no-deal vote on March 13 should her deal not pass at the second meaningful vote onMarch 12,(2)Labours policy pivot to backing a second referendum,and(3)Jacob Rees-Moggs softening stance all contributed to market moves that suggested a decline of no-deal risk,the increase of Remain risk,and increased potential for Mays deal to pass.Wecontinue to like being short UK rates via the Ryder Cup of Bonds trade over the mediumterm,particularly as we see the MPC as fundamentally hawkish,but restrained by Brexituncertainty.However,we hesitate to embrace the cross-market breakout in the immediate future bysetting outright shorts because we see downside pressure on gilt yields in the near termowing to supportive supply technicals and the APF.In addition,an extension of theBrexit timeline may be detrimental to sentiment despite avoiding the cliff-edge in thenear term,given the UK economys reduced ability to weather uncertainty.In Japan,the reduction of the BoJs JGB purchase frequency in the 5-10y sector surprisedbecause market participants believed that the BoJ would have found it difficult to cutback JGB purchases drastically while inflation continues to undershoot the 2%commitment.We think any further decrease in JGB purchases should be compensatedfor by the increase of TDB purchases/loan support program by mitigating theconditions of use.Given the renewed market concern about possible rinban reduction,we take off our bullish call for long-end duration and turn neutral.However,we alsosee the current sell-off as providing a dip-buying opportunity for lifers.We maintain ourJGB 20s40s flattener,since Japanese lifers still have decent room to accumulate long-end JGBs ahead of Marchs large redemption and fiscal year-end.3 United StatesMORGAN STANLEY&CO.LLCMatthew HornbachMatthew.H+1 212 761-1837Tony SmallTony.S+1 212 296-5876Ryder Cup of Bonds UpdateNot too long ago,on a golf course far,far away,we suggested investors enter the RyderCup of Bonds trade i.e.,long 10y US Treasuries and 10y Canadian government bondsversus short 10y German Bunds and 10y UK Gilts(see 2019 Global Rates Outlook).Thethesis was straightforward.The gap between expected central bank pricing in the USand Canada versus the UK and Germany was too wide relative to what would actuallybe realized in 2019.In our view,hawkish central bank surprises relative to expectations were more likelyfrom both the ECB and Bank of England during the next 12 months,than they werefrom the Fed and Bank of Canada.At the same time,realized and expected growthmetrics,would converge between the two regions throughout the course of the year.Collectively,this combination of factors meant that the multi-year widening,to thewidest levels since 2000,in both 1y1y forward rate differentials and the 10y bondspread had reached an inflection point.A lot has changed since we published inNovember 2018.Shortly after we published our 2019 outlook,the world quickly became a differentplace.Equity markets declined significantly,credit spreads widened materially,oil pricesfell to multi-year lows,government bonds rallied and inflation breakevens narrowedacross the developed market bond space.Market participants became increasinglyconcerned about deteriorating global growth led by China,trade tensions,a no-dealBrexit and a US Federal Reserve that just a month prior had been talking about movingrates into restrictive territory while continuing to shrink the balance sheet.In response to the significant tightening in financial conditions and slowdown in bothgrowth and inflation expectations,markets began the process of swiftly reducingexpectations for hiking cycles from both the Fed and Bank of Canada,while pushingback the timing of the next/first rate hike from the ECB and Bank of England(see Exhibit3).And in line with the significant re-rate of central bank expectations and tightening in1y1y spread differentials,the Ryder Cup of Bonds trade outperformed,tightening from180bp to 160bp when looking at the on-the-run 10y spread(see Exhibit 4).Exhibit 3:Market Adjustment in December 2019 contractsCentral BankInstrument(Dec 19 maturity)Ticker18-Nov-1827-Feb-19Change(bp)US Federal ReserveEurodollarEDZ92.742.37-37Bank of CanadaBankers AcceptanceBAZ92.7152.18-53.5ECBEuriborERZ9-0.185-0.25-6.5Bank of EnglandShort SterlingL Z91.141.02-12Source:Bloomberg,Morgan Stanley Research4However,since December,global risk markets have rebounded significantly and financialconditions have eased.Global central banks,led by the US Federal Reserve,have turneddecidedly more dovish and cautious on their future growth and inflation outlooks.Andour economics teams globally have pushed back their timing for rate hikes,while ourrates strategists in the US,UK,and Europe have lowered their year-end estimates for10y US Treasury,10y UK Gilt,and 10y German Bund yields.As we again sit on our perch looking into the remainder of 2019,(1)rate hikeexpectations have significantly re-rated between North America and Europe,(2)10ybond yields in the US,Canada,Germany and UK have been basically unchanged relativeto where they ended 2018,and(3)the Ryder Cup of Bonds trade has ranged traded forthe last two months.The Fed has communicated that muted inflation pressures allowfor a patient approach to policy while the ECB is widely expected to lower its forecastsin March for both growth and inflation while possibly announcing plans for a futureLTRO and pushing back the expected timing of the first depo hike into 2020.Brexitremains a risk for markets,although recently a delay to or possibly even passage of UKPM Mays Brexit deal appears increasingly more likely.Can North America Still Win the Ryder Cup of Bonds?In our view,the answer is yes.The two core tenets of our original thesis a greaterlikelihood of rate expectations moving higher in the UK/Europe relative to rateexpectations in North America and a higher likelihood of growth surprises have beenrealized and relative to expectations,in the UK/Europe,i.e.,growth convergence,versusNorth America,largely remains intact.As displayed in Exhibit 5,recent reductions to our forecasts for 10y US Treasury,10yGerman Bund and 10y UK Gilt yields(we do not forecast 10y Canadian yields)resultedin no material change in our expectation for a significant tightening in the US 10y vs50/50 German 10y/UK 10y spread despite the moves YTD in each of the respective bondmarkets.Exhibit 4:1y1y Differential US vs Ryder Cup of Bonds SpreadSource:Bloomberg,Morgan Stanley Research5In our base case scenarios,we still forecast both 10y German Bund yields and 10y UKGilt yields to end the year comfortably higher than they are today,while expecting thatthe 10y US Treasury yield will end the year lower than it is today.Additionally,ourforecasts now foresee a greater degree of tightening i