全球宏观策略利率准备好礼花

1、June 28, 2019 10:58 PM GMTMORGAN S AN EY & COCMatthew HornbachS RA EG SMa hew Hornbachmorgans anley comGuneet Dh ngra, CFAS RA EG SGunee Dhingramorgans anley comEdward von der Schm dtS RA EG SEdward Von Der Schmid morgans anley comKe c e GersonS RA EG SKelcie Gersonmorgans anley comGlobal Intere

2、sst Rate Strategist | GlobalPreparing for FireworksInvestors may need a holiday after the G20 meeting over the weekend. And, in the US, they will get one just ahead of another event that may require more rest and relaxation afterward: the US nonfarm payroll report for June. Bring on the holiday, and

3、 prepare for fireworks.+2 2 76837+2 2 76445+2 2 767085+2 2 763983MORGAN S AN EY & CO N ERNATony SmaS RA EG Sony Smallmorgans anley comShreya ChanderS RA EG SShreya Chandermorgans anley comRobert J BrownS RA EG SRober J Brownmorgans anley comONAP C+44 20 7677 257+44 20 7425 4740+44 20 7425 4638MO

4、RGAN S AN EY MU G SECUR ES CO ,Ko ch Sug sakS RA EG SKoichi Sugisakimorgans anleymufg comShok OmorS RA EG SShoki Omorimorgans anleymufg comD +8 3 6836 8428+8 3 6836 5466P ease c ck here f you wou d ke to rece ve our da y nterest rate market commentary the Treasury Market CommentaryDue o e a u e oe x

5、ed come ma ke , e ssue s o bo ds oe ssue s ecomme ded o d scusseds epo may o be couous y o owed Acco d g y,ves o s mus ega d s epo as p ov d g s a d-a o e a a ys s a d s ou d o expec cou g a a ys s oadd o a epo s e a g o suc ssue s o bo ds oe ssue sMo ga S a ey does a d seeks o do bus ess w compa es

6、 cove ed Mo ga S a ey Resea c As aesu , ves o s s ou d be awa e ae m may ave a co c oe esa cou d a ece objec v y oMo ga S a ey Resea cves o s s ou d co s deMo ga S a ey Resea c as o y a s g e ac o mak g e ves me dec s oFo a a yst ce t f cat o a d ot e mpo ta t d sc osu es, efe to t e D sc osu e Sect

7、 o , ocated at t e e d of t s epo t+= Ana ysts emp oyed by non U S affi iates are not registered withF NRA, may not be associateds of the member and may notbe subject to NASD/NYSE restrictions on communications with a subject company, pub ic appearances and trading securities he d by a research ana

8、yst account1Government Bondsn the US we cont nue to suggest UST 2s10s and UST 2s30s steepeners as well as be ng long TY and CN aga nst RX and G. n the euro area we d scuss the mportance of the June core CP beat. We cont nue to suggest nvestors ma nta n pos t ons n long 50/50 10y PGBs/Bonos vs. 10y O

9、ATs long 3y BTPs vs. 50/50 3y PGBs/Bonos and long 10y reland vs. short 10y Belg um. n Japan we d scuss why the BoJ s reluctant to ease further vs. the ed and ECB. We cont nue to suggest a bull sh stance on the long end and JGB 20s40s flattener. We l ke buy ng 20y JGBs on an EUR-denom nated bas s.Inf

10、lationn the US we exam ne the d m n shed ab l ty of the ed to boost breakevens. We cont nue to suggest 5s30s real y eld curve steepeners. We also exam ne the recent decl ne n un t labor costs and why core PCE snt r s ng even though 2 of the 3 “trans tory” factors hurt ng core PCE havereversed. n Jap

11、an we cont nue to adv se aga nst bett ng on b g cap tal ga ns n the JGB market but we also see l ttle r sk of s gn f cant losses g ven the aforement oned prospect of support from embedded floor opt on value.Derivativesn the US we analyze the pattern of rate volat l ty market act v t es through SDR r

12、eported swapton transact ons across var ous exp r es and tenors and explore f and how these act v t es are assoc ated w th actual moves n rate volat l ty. We also propose theor es on potent al dr vers and mpl cat ons of these relat onsh ps or patterns. Spec f cally we focus on seasonal ty term struc

13、ture of mpl ed volat l ty and systemat c sell ng.Technical AnalysisUST 10y at 2.01% support at 2.17% 2.21% res stance at 1.97% 1.88%. DBR10y at -0.33% support at -0.20% -0.09% res stance at -0.34% -0.38%. UKT10y at 0.83% support at 0.90% 0.96% res stance at 0.78% 0.67%. JGB20y at 0.23% support at 0.

14、27% 0.31% res stance at 0.14% 0.12%.获取报告1、2、3、每周群内7+报告；当日华尔街日报、4、行研报告均为公开利归原作者所有，起点财经仅分发做内部学习。扫一扫关注 回复：加入“起点财经”群。Government Bonds2United StatesWe d scuss the role the "Powell doctr ne" has played n our th nk ng and n the pr c ng of ed pol cy s nce January. The doctr ne says "My collea

15、gues and haveone overarch ng goal: to susta n the econom c expans on w th a strong job market and stable pr ces for the benef t of the Amer can people." We th nk the doctr ne w ll keep the front end of the y eld curve anchored at worst and outperform ng on the curve at best.We also d scuss St.

16、Lou s ed Pres dent Bullard's comments. We th nk h s comments on a 25bp cut should not have surpr sed anyone because they were exactly n l ne w th h s d ssent as wr tten n the June OMC statement. We also dont see how the 2 x 25bp rate cuts he s penc l ng n w ll steepen the y eld curve as he s hop

17、 ng g ven that the market s pr c ng n almost 3 rate cuts. f the ed del vers on Bullard's expectat ons we th nk the y eld curve w ll flatten from here not steepen.nally we d scuss our expected pr c ng of rate cuts f the ed del vers the 50bp rate cut for wh ch we're call ng and the behav or of

18、 the 2s10s curve dur ng eas ng cycles. n the event of a 50bp rate cut n July we would expect the market to pr ce another 25bp rate cut by year end wh ch from where the market s pr ced today would mean 100bp of rate cuts pr ced n by year end. We also would expect the market to be pr ced as f 125bp of

19、 rate cuts were pr ced n over the next 12 months from today. Th s would be equ valent to the market pr c ng n 75bp of rate cuts over the 12 months start ng August 1 2019. Th s could take the UST 2y down to1.50% and the y eld curve steeper.Euro arean the euro area we d scuss the mportance of the ups

20、de surpr se to core nflat on n June where core CP just reg stered ts strongest f rst half annual zed performance s nce the ncept on of the euro just as the ECB may beg n eas ngaga n. ollow ng the June release most of our track ng scenar os for core CP now mply both a YoY trough n July (next month) a

21、nd an accelerat on above the ECB's forecast of 1.1% by the end of 2019.n our v ew 10y Bunds and European nflat on markets are not pr ced for a stronger than expected second half accelerat on n core however we acknowledge that h stor cally now s not the r ght tme to pos t on for h gher Bund y eld

22、s. We agree w th our European nflat on strateg sts that nvestors should be long rench 5y breakevens.Japann Japan the BoJ s l able to appear somewhat "hawk sh" when compared w th the ECB and the ed. The "Summary of Op n ons" for the June 1920 BoJ meetng does nclude numerous refere

23、nces to downs de r sks to pr ces. But s gn f cant menton was also made of negat ve "s de effects" of protracted monetary eas ng. The m xed message suggests to us that the BoJ now sees tself as hav ng only l m ted pol cy opt ons and s also wary of exacerbat ng "s de effects" any f

24、urther.United StatesMatthew HornbachMatthew Hornbachmorganstan ey comMORGAN S AN EY & COCThe Powell DoctrineAt the OMC press conference on January 30 2019 Cha r Powell ntroduced someth ng ak n to a doctr ne or a bel ef held and taught by a group of people. At the press conference he sa d:t was t

25、he fourth sentence he spoke. Then at the March 20 2019 press conferencePowell repeated the doctr ne. t was the th rd sentence he spoke. Then at the May 1 2019 press conference Powell changed the word ng sl ghtly but kept t as the th rd sentence:nally at the June 19 2019 press conference Powell rever

26、ted to the or g nal phras ngand moved the doctr ne to the second sentence after “Good afternoon and welcome”.Wh le the doctr ne ncludes the eds congress onal dual mandatso ncludessometh ng from Powell: “to susta n the econom c expans on”. Th s Powell doctr ne tosusta n the econom c expans on helps e

27、xpla n why the bond market moved to pr ce an eas ng cycle as aggress vely as t d d.The Powell doctr ne ra ses the quest on as to how far the ed s w ll ng to go susta n theeconom c expans on. s the ed w ll ng to cut rates 25bp? 50bp? What about tak ng rates to the effect ve lower bound (ELB)? Does th

28、e ed need to see the econom c expans on falter before tak ng rates to the ELB?3My colleagues and I have one overarching goal: to use our monetary policy tools to sustain the economic expansion with a strong job market and stable prices for the benefit of the American people.My colleagues and I have

29、one overarching goal: to sustain the economic expansion, with a strong job market and stable prices, for the benefit of the American people.The "hunt for y eld" appears set to cont nue n earnest so long as markets rema nflooded w th l qu d ty and central banks cont nue to exh b t a dov sh

30、b as. Bear- steepen ng of the JGB y eld curve through late June does suggest that l fe nsurers and pens on funds may have held off on buy ng for at least the tme be ng but we expect demand to p ck up once aga n when the new quarter gets under way for wh ch reason we rema n bull sh on super-long JGBs

31、 and cont nue to suggest JGB 20s40s flattener. or EUR nvestors we st ll suggest buy ng 20y JGB on a EUR denom nated bas s.The ed must know that f the expans on ends t w ll have to take rates to zero andembark on another round of quant tat ve eas ng (QE) n all l kel hood. So would the ed be w ll ng t

32、o take rates to the ELB before the expans on ends n an effort to (1) susta n t and (2) avo d another round of QE? We would not rule t out. After all when Cha r Powell was a ed governor he offered thoughts on unconventonal monetary pol cy a speech n wh ch he covered both the benef ts and the costs of

33、 unconventonal monetary pol cy but spent much more tme on the costs.n the end we th nk the Powell doctr ne w ll keep the front end of the y eld curveanchored at worst and outperform ng on the curve at best.Bullard: 25 vs. 50bp and the yield curveOn Tuesday June 25 St. Lou s ed Pres dent Bullard sa d

34、 “ th nk 50 bas s po nts would be overdone. dont th nk the s tuat on really calls for that. But would be w ll ng to go 25.” H s comments caught the eye of nvestors debat ng whether the ed would cut 25 or 50bp at the July OMC meetng.rom our perspect ve h s comments should not have surpr sed anyone. T

35、hey wereexactly n l ne w th the June OMC statement wh ch sa d “Vot ng aga nst the act on was James Bullard who preferred at th s meetng to lower the target range for the federal funds rate by 25 bas s po nts.”n fact Bullard later clar f ed that “My judgement at the June meetng was we wouldprobably n

36、eed 50 bas s po nts by the end of the year” and suggested that he penc led n 2 x 25bp rate cuts th s year each as an nsurance cut.Of course t could be the case that depend ng on events between now and the Julymeetng Bullard may th nk that a 50bp cut s more appropr ate at that po nt. But what f the e

37、d only cuts 25bp at the July meetng? n our v ew the ed would follow such a rate cut w th s m lar language to that wh ch the June OMC statement conveyed:n our v ew th s language s ak n to the downs de balance of r sk assessment ofyesteryear. The coupl ng of a 25bp rate cut and a downs de balance of r

38、 sk assessment svery cons stent w th the n t al rate cuts n 1995 and 1998 both of wh ch we dThe rst Cut s the Deepest.ed nAt the same tme the dea of mov ng n 25bp ncrements n a gradual fash on (as gradualas the ed h ked rates) seems out of sync w th Powells “an ounce of prevent on s worth a pound of

39、 cure” analogy.4In light of these uncertainties and muted inflation pressures, the Committee will closely monitor the implications of incoming information for the economic outlook and will aappropriate to sustain the expansion, with a strong labor market and inflation near its symmetric 2 percent ob

40、jective.nstead of cutt ng 25bp and reta n ng the “closely mon tor” language we th nk the edwould more l kely cut 50bp and revert to the “pat ent” language from the May 1 OMC statement even f c rcumstances call for a 25bp cut w th a chance of another 25bp cutlater n the year. n other words we see l t

41、tle chance that thest ll bel eves another 25bp cut s around the corner.ed cuts only 25bp f tnally Bullard also suggested that:Unfortunately we dont see 2 x 25bp rate cuts del vered at separate meetngs th s yearas hav ng a chance of steepen ng out the y eld curve g ven that the market s pr c ng n alm

42、ost 3. n fact f the ed only del vers 2 x 25bp rate cuts th s year we th nk the y eld curve w ll flatten from here not steepen. As d scussed n our nflat on sect on we dont th nk the rate cuts that Bullard env s ons w ll “shore up” nflat on expectat ons e ther.Market pricing after the first rate cutAs

43、 weve d scussed before the market s pr c ng n just about 100bp of rate cuts n the next 12 months the f rst 75bp of wh ch s pr ced by year-end. Exh b t 1 compares how th s market pr c ng compares to what the ed has actually del vered over any 12-monthper od n the past. The chart suggests the market s

44、 pr c ng more than just an " nsurance"- style eas ng cycle - the type that occurred n 1995-1996 and 1998 - but noth ng close to a full-blown eas ng cycle seen n 2001 and 2007-2008.t only takes 9 x 25bp rate cuts or 225bp for the ed to take rates back to zero. Tw cebefore however the ed has

45、 cut over 15x worth of 25bp cuts w th n a year (475bp n 2001 and 400bp n 2007-2008). So t's easy to see why the market pr ces more than a s mple " nsurance" eas ng cycle m ght d ctate.But what f the ed actually del vers a rate cut n July? How far could market pr c ng go?f the ed del ve

46、rs the 50bp rate cut that we're expect ng that would represent half of the 100bp of rate cuts pr ced n over the next 12 months and 2/3rds of the 75bp of cuts pr ced n by year-end.5If you went one move now and then another move later, youd probably be slightly accommodative That, hopefully, would

47、 shore up the inflation expectations that Ive got my eye on, straighten out the yield curve and possibly get a nice upward slope in the yield curve, and get the probability of a recession down a little bit from where it is today.In light of global economic and financial developments and muted inflat

48、ion pressures, the Committee will be patient as it determines what future adjustments to the target range for the federal funds rate may be appropriate to support these outcomes.Exhibit 1: # of 25bp h kes/cuts de vered every 12 months vs # of 25bp cuts pr ced n over the next 12 months and the # of 2

49、5bp cuts requ red to h t the effect ve ower bound (ELB)# of 25bp moves in 12 months1050-5-10-15-201995-199619982002-20032007-20082001May-94May-99May-04May-09May-14May-19# of cuts to ELB# of h kes (+), cuts (-) de ve ed n 12 monthsSource: Morgan Stanley Research, Federal Reserve, Bloomberg# cuts p ce

50、d n ove the next 12 monthsn the event of a 50bp rate cut n July we would expect the market to pr ce another25bp rate cut by year end wh ch from where the market s pr ced today would mean 100bp of rate cuts pr ced n by year end. We also would expect the market to be pr ced as f 125bp of rate cuts wer

51、e pr ced n over the next 12 months from today. Th s would be equ valent to the market pr c ng n 75bp of rate cuts over the 12 months start ng August 1 2019.Based on the relat onsh p d splayed n Exh b t 2 and our v ew on how the rate marketwould repr ce the ed path after a 50bp cut n July we could se

52、e the UST 2y y eld fall ng near 1.50% from ts current level near 1.75%. s our expectat on for how the marketwould repr ce reasonable? Look ng at how the market repr ced after the f rst cu2007-2008 cycle we th nk so.heExhibit 2: Market- mp ed # of 25bp rate cuts n the next 12 months vs CMT 2y y e d s

53、 nce January 4, 2019y = 0.00x2 - 0.22x + 2.56Exhibit 3: Market- mp ed # of 25bp rate cuts n the next 12 months vs target fed funds rate n 2007-2008CM 2y y e d (%) 2 602 402 202 001 801 601 401 201 000 80# of 25bp moves%5.5R² = 1.000-1-2-3-4-5-6-7-85.04.54.03.53.00123456789Jan-07Ap -07Ju -07Oct-

54、07Jan-08Number of 25bp rate cuts pr ced n the next 12 monthsSource: Morgan Stanley Research, Federal Reserve, BloombergMa ket- mp ed # of 25bp ate cuts n the next 12 monthsTa get fed funds ate ( hs)Source: Morgan Stanley Research, Federal Reserve6As shown n Exh b t 3 the market pr ced n 3.5 x 25bp c

55、uts (over the forward 12 months)ahead of the September 2007 meetng (when the ed del vered a 50bp rate cut) and n t ally repr ced to about 2.5 x 25bp cuts afterward (eventually mov ng to pr ce n 1.5 x 25bp cuts before revers ng back to 3 x 25bp cuts). The n t al behav or would becons stent w th the m

56、arket mov ng from 4 x 25bp cuts pr ced n over the next 12 months today to 3 x 25bp cuts as we suggested above.Exh b t 3 also shows the most number of rate cuts the market was able to pr ce n overthe forward 12-month per od dur ng the ent re 2007-2008 eas ng cycle (even though the chart only d splays

57、 half the eas ng cycle). The market was able to pr ce n 7 x 25bp rate cuts or 175bp n the forward 12 months. That s of course much less than the ed del vered n most 12 month per ods dur ng the 2007-2008 eas ng cycle.f the ed beg ns an eas ng cycle n July we would not expect the market to come closet

58、o pr c ng n 7 x 25bp cuts n any forward 12-month per od. At the same tme the closer the ed gets to 1.00% on the upper bound of the target range the more nvestors w ll have to cons der what happens below 1.00%. f h story s a gu de the ed's next move s a 75bp cut to 0-0.25% or 3 x 25bp cuts. So the m