摩根士丹利-新兴市场宏观策略：通货再膨胀喜忧参半-2021.2.8-41页 (2).pdf

February 8,2021 10:29 AM GMTJames.LJaiparan.KFilip.DSimon.WAndres.JIoana.ZGilberto.Hernandez-GDiego.HMin.DBelle.CJingzhong.ZMORGAN STANLEY&CO.INTERNATIONAL PLC+James K LordSTRATEGIST+44 20 7677-3254Jaiparan S KhuranaSTRATEGIST+44 20 7677-6671Filip DenchevSTRATEGIST+44 20 7677-3166MORGAN STANLEY&CO.LLCSimon WaeverSTRATEGIST+1 212 296-8101Andres JaimeSTRATEGIST+1 212 296-5570Ioana ZamfirSTRATEGIST+1 212 761-4012Gilberto A Hernandez-GomezSTRATEGIST+1 212 296-8940Diego HerreraSTRATEGIST+1 212 761-1046MORGAN STANLEY ASIA LIMITED+Min DaiSTRATEGIST+852 2239-7983Belle ChangSTRATEGIST+852 3963-0668Jingzhong ZhangSTRATEGIST+852 2239-1528EM resilience continues Russia:Enough waiting,time to buy RUBChile:Getting real with 5s10s UFxCAM flattenersSri Lanka:Repayment of India swap line putsfurther pressure on FX reservesMexico:Long CAD/MXNGlobal EM StrategistGlobal EM Strategist|Global GlobalReflations Mixed BlessingsGlobal markets continue their reflationary trend,whichpresents mixed blessings for EM assets.We stay neutral buthave plenty of RV trades to offer,with a bias towards highyield exposure in FX and credit.EM assets continue to be buffeted by rising US interest rates,mostly weakdomestic fundamentals and a slow vaccination rollout on the one hand,andbenefits of a global growth recovery,a stable USD and rising commodity priceson the other.This leaves us neutral on EM FX,rates and credit and focused onrelative value trades.In FX,we initiate a long RUB position versus a 50-50 basket of EUR and USD andcontinue to recommend short USD/INR and long CNH versus EUR and JPY.Wealso added a long CAD/MXN position.We remain neutral on the broad USD andbelieve that the global backdrop is one where USD could perform well versuslow-yielders but less so against higher-beta FX(see here).In rates,we recommend a 5s10s flattener in SAGBs and add a 5s10s flattener inChile too.We remain pad the front end in Poland and received Czech FRAs forthe next few CNB meetings.We stay paid both 5y THB NDIRS and 5y INR NDOIS,as well as long 10y CGBs versus pay 5y CNY NDIRS.In credit,we maintain a bias for HY over IG,with a preference for BBs.Werecommend long BRAZIL USD 2030 versus MEX USD 2030.With the single Bswe want to move to stronger credits given the tight spread levels and look tobuy OMAN 2026 versus GHANA 2026,as well as buy UKRAIN GDP warrant.Onthe investment grade side we think that some laggards can be added into andlook to buy KSA 2055 versus QATAR 2050 and MEX EUR 2033 versus CHILEEUR 2031.EM HY/Sri Lanka back in focus:Following weeks of investor meetings,we findourselves more cautious than most when it comes to our year-end EMBI Div.forecast of 360bp and up-in-quality preference within HY.This cautious view isaffirmed following Ethiopias request for debt relief which we think could driveadditional scrutiny of G20 DSSI-eligible sovereigns and those requesting IMFprogrammes,leading to increased differentiation among HY sovereigns.In thisregard,we take a look at the impact of repayment of Indias swap line on SriLankas external position.We remain cautious on the complex.Please click here if you would like to receive the daily Global Macro CommentaryDue to the nature of the fixed income market,issuers orbonds of issuers recommended or discussed in this reportmay not be continuously followed.Investors must regardthis report as providing stand-alone analysis and shouldnot expect continuing analysis or additional reports relatingto such issuers or bonds of the issuers.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 LordExhibit 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:Institutional Investor,Morgan Stanley Research;Note:RU stands for runner-up.2Exhibit 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:Institutional Investor,Morgan Stanley Research;Note:RU stands for runner-up.3 EM resilience continuesJames LordUS 10y Treasury yields reached a new high for this phase of the cycle,hitting 1.16%lastFriday,a level not seen since March 2020,while the 2s10s Treasury curve steepened to105bp,the highest level since 2017,driven by rising expectations for a large fiscalstimulus package in the US.Despite this,EM fixed income assets continue to performresiliently,with EM currencies largely tracking sideways so far this year,yields on localbonds up a bit but flat over recent months and EM credit spreads continuing to tighten.A key reason for this resilience is the composition of the UST sell-off.At the 10y part ofthe US curve,breakevens remain the dominant driver while real yields are low andstable.At the 5y point,real yields continue to plumb new depths.This is important,aslow real yields are keeping the broad USD reasonably anchored,and this suggests thatexpectations for a near-term hawkish shift in Fed policy which would pose a challengefor EM remain low.At the same time,as we wrote in the previous Global EM Strategist,even higher 10-yearbreakevens from these levels have been associated with a negative performance by EMcurrencies,likely because markets would begin to anticipate an eventual policy shiftfrom the Fed once inflation expectations start to move above target levels.The Fedsaverage inflation targeting regime does suggest that the threshold at which thisinflection in price behaviour kicks in is higher than before,but still investors should beaware that the positive impact of reflation on EM likely wont last forever.Another reason for the resilience seen so far is valuation.Our measure of a GBI-EM-weighted 10y real yield(ex ante)continues to have a wide differential relative to 10yTIPS.The differential is narrowing,and we dont believe that the average spread ofaround 200bp seen from 2014-19 necessarily represents the neutral or fair spread anymore,given the structural deterioration in debt and fiscal dynamics among a largeExhibit 3:EM FX,local debt and credit spreads resilientagainst rising nominal USTs-4-2024681012-40-20020406080100120140160Jun-20Aug-20Oct-20Dec-20UST 10yEMBIG Div Spread(abs)GBI-EM YieldGBI-EM FX(RHS)bp chg since June 20%chg since June 20Source:Bloomberg,Morgan Stanley ResearchExhibit 4:Low real yields help to explain why-100-50050100150Jun-20Aug-20Oct-20Dec-20UST 10yUST 10y RealUST 10y BEbp chg since June 20%chg since June 20Source:Bloomberg,Morgan Stanley Research4number of EM economies.Nonetheless,against a backdrop of extraordinarily abundantliquidity conditions,the real yield gap remains supportive of EM.Measured in nominal terms,the GBI-EM-weighted 10y yield differential to UST hasnarrowed,though,to around 400bp,which is a touch below the average since 2014.This is not too concerning,in our view,since the real yield is a better measure of value,and the nominal differential has room to narrow another 30-50bp before lookingextreme and perhaps justifying a more bearish view on the grounds of valuation.Vaccinating EMEM economies are off to a slow start in vaccinating their populations against COVID-19.Those EMs that have administered the highest number of vaccines per capita tend to bein the European Union,such as Poland,Romania,Hungary and the Czech Republic.Theslow pace may not be a major issue for some EMs,where demographic factors mightlend a helping hand.As Exhibit 7 shows,some EMs such as Turkey and those in theMiddle East have administered a relatively low number of vaccines overall but a highnumber relative to the size of the more vulnerable population aged 65 and over.Nonetheless,its clear that EMs are mostly falling behind on the vaccination front.Onechallenge is that the number of vaccine doses that EMs have ordered appears to bequite low.Exhibit 8 shows the number of vaccine orders for a variety of EMs as aproportion of the population size.Again,those in the EU are outperforming,butelsewhere only Mexico has sufficient orders to cover 100%of its population.Anotherchallenge is the speed of vaccinations.At the current pace of vaccination,it will takemany years before herd immunity is reached.This slow pace does pose a risk for EM,but will it derail markets?Each case may need tobe judged independently,but in general we suspect that provided global conditionsremain benign with policy support,liquidity and an economic recovery under way,thenthis will likely offset much of the idiosyncratic risk,even if not entirely.Exhibit 5:EM-US real yield gap still wide.0.00.51.01.52.02.53.03.54.04.55.0-2.0-1.00.01.02.03.04.05.0141516171819202110Y GBIEM Weighted Real Yield versus US 10YTIPS(%)Spread(rhs)GBIEM Real YieldUS 10Y TIPSCurrent Spread LevelSource:Bloomberg,Morgan Stanley ResearchExhibit 6:.even as nominal differentials narrow3.03.54.04.55.05.56.06.50.01.02.03.04.05.06.07.08.09.0141516171819202110Y GBIEM Weighted Yield versus US 10YSpread(rhs)GBIEM Nominal Yield10y USTCurrent LevelSource:Bloomberg,Morgan Stanley Research5One headwind that has emerged for EM has been the gradual uptrend in USD over thepast month.USD has not rallied against all currencies,and the strength of USD againstEUR and JPY alone explains a large portion of the broad USD rally.One factor here isthe relatively slow pace at which European nations are administering the vaccines totheir populations.Exhibit 9 shows the total vaccines administered in the US versus thetop ten EU nations by population(covering 82%of the total EU population).While a large part of the far lower number of vaccines administered in the EU isexplained simply by the slow start to the vaccination campaign,this isnt the only reason.Looking at Exhibit 10,we can see that at this stage of the vaccination campaign,the USwas administering almost twice the number of vaccines as the EU currently is.Withadditional vaccine supply arriving in Europe,our economics team expects the EU pace topick up steam in the months ahead.This should help to prevent a larger USD rally in ourview,and thus encourages us to maintain a neutral view on EMFX rather than shifting toa bearish one.Exhibit 7:EMs benefit from demographics.DenmarkIcelandIrelandRomaniaSpainPolandItalyPortugalFinlandGermanyHungarySingaporeSwedenTurkeyCzechRepublicFranceCanadaChinaNetherlandsChileBrazilSaudiArabiaArgentinaOmanKuwaitRussiaMexicoIndiaIndonesiaEcuador0.01.02.03.04.05.06.00%10%20%30%40%No.ofvaccinesadministered,per 100peopleNo of vaccines administered as%of 65+populationSource:Bloomberg,Morgan Stanley ResearchExhibit 8:.but vaccination campaigns face challengesSource:Bloomberg,Morgan Stanley Research;*At the current pace of vaccination.Exhibit 9:EU needs to vaccinate faster to protect downsiderisk to EUR05,000,00010,000,00015,000,00020,000,00025,000,00030,000,00035,000,00040,000,00045,000,000Dec-20Dec-20Jan-21Jan-21USEU Top 10EU Top 10(lagged)Total vaccine doses administeredSource:Bloomberg,Morgan Stanley ResearchExhibit 10:Daily EU doses about half that of US,adjustedby starting date0200,000400,000600,000800,0001,000,0001,200,0001,400,0001,600,000Dec-20Jan-21Jan-21Feb-21USEU Top 10EU Top 10(lagged)Daily vaccines doses administered(7d Av.)Source:Bloomberg,Morgan Stanley Research6What to trade in FX:Our neutral view on USD and EMFX leaves us preferring relativevalue trades and we have added a long CAD/MXN trade to the portfolio.We have alsostarted to use EUR more as a funding currency and this week we add long RUB versus a50-50 basket of EUR and USD(see Russia:Enough waiting,time to buy RUB),adding tothe