固定收益资产配置：价格合适

1、GlobalFixed IncomeRatesThe Price Is RightFixed Income Asset AllocationMuch of Q1 appears to have been spent preparing for whats going to happen in the bond market in Q2 21US inflation expectations aligned to the Feds average inflation target, whilst real yields and term premium surged suggesting the

2、 Feds taper is largely in the price14 April 2021“Come on down”Page 4In the popular game show The Price Is Right contestants compete by accuratelypricing a range of goods. Today there is probably more punditry on where US yields are going, so our references to many decades ago are a bit tongue in che

3、ek. We dont see a return to inflation levels from 50 years ago (Back to the future), and anyway believe a great deal is already factored into valuations. The rise of forward real yields and term premium suggests a Fed taper is largely in the price, with timing apparently linked to progress on vaccin

4、ations.US Treasury belly attractive in consolidationPage 7 As a result of the recent selloff, investors can benefit from good carry-and-roll on the five- to seven-year segment of the US Treasury curve. A period of consolidation would support bullet strategies, i.e. those that favour buying bonds in

5、the middle of the curve versus those in the wings.UK rate expectations swingPage 16We move our 10-year gilt year-end forecast to 50bp (from 30bp) because some MPC members are concerned about the risk of inflation proving more persistent than elsewhere, and we fear market expectations could overshoot

6、. Further bowing-out of the 2-5-10 year segment of the gilt curve is possible. Meanwhile, short-dated RPI forwards now sit above 3.8%, signalling that higher near-term inflation is already in the price, so we think short-dated real yields are vulnerable to market pricing of an early tightening.Mildl

7、y bullish on South AfricaPage 22We are mildly bullish on SAGBs as they are attractive on several metrics, including real yields, spread to USTs, and steepness of the curve. We believe the magnitude of tightening will be less than currently priced in by the market given: 1) below-target inflation, 2)

8、 FX appreciation, and 3) more market-friendly policies.Global creditPages 20 and 26 2021 Institutional Investor surveyVoting open 12th April 7th May 2021If you value our service and insights, please vote Click here to vote II Research has acquired the Extel surveyWe think the best value globally sti

9、ll lies in EUR HY. Unlike USD HY, spreads are not at their post global financial crisis tights yet. EUR HY OAS has another 90bp of compression to go before reaching that milestone. Hybrids are still our favoured segment of the EUR IG market. We are neutral on Asian credit with Chinas focus on debt m

10、anagement one of the key rationales.Steven Major, CFAGlobal Head of Fixed Income ResearchThe Hongkong and Shanghai Banking Corporation Limited HYPERLINK mailto:steven.j.major.hk steven.j.major.hk+852 2996 6590Disclosures & DisclaimerIssuer oTfHrIeSpCoOrtN: TEhNeTHMonAgYkNoOngT BanEdDSIShTaRnIgBhUaTi

11、ED TO MAINLThis report must be read with the disclosures and the analyst certifications in the Disclosure appendix, and with the Disclaimer, which forms part of it.Banking Corporation LimitedView HSBC Global Research at:https:/ HYPERLINK / ContentsTOC o 1-2 h z u HYPERLINK l _TOC_250028 Conviction s

12、napshot 3 HYPERLINK l _TOC_250027 Global direction 4 HYPERLINK l _TOC_250026 Americas 7 HYPERLINK l _TOC_250025 US 7 HYPERLINK l _TOC_250024 Canada 9 HYPERLINK l _TOC_250023 USD supras & agencies 10 HYPERLINK l _TOC_250022 USD credit 11 HYPERLINK l _TOC_250021 Latin America 12 HYPERLINK l _TOC_25002

13、0 EMEA 13 HYPERLINK l _TOC_250019 Eurozone core 13 HYPERLINK l _TOC_250018 Eurozone non-core 14 HYPERLINK l _TOC_250017 Euro breakevens 15 HYPERLINK l _TOC_250016 UK 16 HYPERLINK l _TOC_250015 UK breakevens 17 HYPERLINK l _TOC_250014 EUR supras and agencies 18 HYPERLINK l _TOC_250013 Covered bonds 1

14、9 HYPERLINK l _TOC_250012 European credit 20 HYPERLINK l _TOC_250011 GBP Credit 21 HYPERLINK l _TOC_250010 CEEMEA Rates 22 HYPERLINK l _TOC_250009 Asia-Pacific 23 HYPERLINK l _TOC_250008 Japan 23 HYPERLINK l _TOC_250007 Australia 24 HYPERLINK l _TOC_250006 Mainland China 25 HYPERLINK l _TOC_250005 A

15、sia credit 26 HYPERLINK l _TOC_250004 Green bonds 27 HYPERLINK l _TOC_250003 Currencies 28 HYPERLINK l _TOC_250002 Convictions and forecasts 29 HYPERLINK l _TOC_250001 Disclosure appendix 35 HYPERLINK l _TOC_250000 Disclaimer 39Conviction snapshot-2.47-4.36-2.78-3.00-0.40-0.501.582.08-2.49-3.65-2.87

16、-3.921.381.51-0.38-1.421.050.010.250.710.581.241.020.30 Returns (%) 1 month 3 monthYTD0.20-2.90-3.86-0.05-2.20-2.45-0.82-1.27-1.480.67-5.13-6.640.11-0.44-0.440.55-3.00-3.910.15-2.99-3.65-0.01-1.73-3.070.03-0.63-0.83-0.04-1.71-2.170.10-0.86-1.33 Index NameDurationLUATTRUU 6.75I05760EU 8.21LTITTREU 7.

17、77LSG1TRGU 12.63BEPAGA 9.77I05500CA 6.52BEASGA 6.87iBoxx inflation 11.98iBoxx EUR Covered 5.19iBoxx Sub-Sovereigns EUR 7.95iBoxx Sub-Sovereigns USD 4.17BSSUTRUU Index* 8.80EMLCTRUU Index* 7.10iBoxx EUR Corporates 5.41iBoxx EUR High Yield 3.44iBoxx GBP Corporates 8.01Bloomberg US Corporates* 8.47Bloo

18、mberg US High Yield* 3.67iBoxx ADBI 5.47Table 1. The HSBC conviction snapshot: our one-month views on the fixed income asset classes Index yield MarketConvictionUS Treasury Neutral Euro core Mildly bullish Euro non-core Neutral UK gilt Neutral Japan govt Mildly bullish Canada govt Neutral Australia

19、govt Mildly bullish 12 Apr (%)1 month (bp)0.981-0.43-10.4790.82-40.12-10.89-71.12-2Global inflation Mildly bearish CoveredNeutralEuro SSA Mildly bullish USD SSANeutral-1.39-5-0.1000.2611.462EM EXDNeutralEM LCD Mildly bearish EUR IGNeutralEUR HY Mildly bullish GBP IGNeutralUSD IGNeutralUSD HYNeutralA

20、sia creditNeutral4.5423.5720.50-32.51-142.11-42.22-74.00-393.06-1 down yields up Source: Bloomberg, iBoxx, HSBC. Direction of arrows indicates change of view from last months Fixed Income Asset Allocation. Figures as of close 12 April 2021. Notes: Bloomberg indices are used except for inflation, cov

21、ered bonds and SSAs, which use iBoxx. Germany is used as a proxy for the Eurozone core (I05760EU) and Italy for the periphery (LTITTREU). Indices are local currency except for inflation and EM which are US dollar based. Euro corporates, covered bonds and SSAs are euro-denominated. *Bloomberg Barclay

22、s EM USD Aggregate: Sovereign Index, *Bloomberg Barclays Emerging Markets Local Currency Government Index, *Bloomberg Barclays US Corporate/High Yield.Global directionFed tapering is largely in the price given the term premium increase and linkage of likely taper timing to vaccination levelsSimilarl

23、y, US inflation expectations are already consistent with the Feds average inflation target (AIT)We are a long way from the meaningful regime shift that would justify a big shift higher in yields from where they areSteven Major, CFAGlobal Head of Fixed Income ResearchThe Hongkong and Shanghai Banking

24、 Corporation Limited HYPERLINK mailto:steven.j.major.hk steven.j.major.hk+852 2996 6590With upward forecast revisions aplenty a replication of Q1s upside surprises is unlikelyThe Price Is RightEveryone is focused on US yields these days, so there is no lack of opinion about where they are heading. B

25、uoyed by the massive fiscal stimulus and better real economy data, it was real yields and term premium that responded most in the first quarter.Time will tell, however, whether the upside surprises to the real economy activity data in Q1 2021 were in fact preparation for what was to come in Q2 (Trea

26、suries and trees). As an example consensus GDP forecasts for 2021 are double where they were at the start of the year. Forecasters will presumably have revised their economic forecasts for Q2 upwards, thereby reducing the possibility of upside surprises.The rise in real yields means that the bond ma

27、rket correction has been due to some combination of increased growth expectations, unprecedented fiscal loosening, or concerns about viability of the policy framework. Not since the taper tantrum has there been such a large yield increase dominated by real yields and term premium (see Table 2) so we

28、 conclude it must be largely baked into valuations. Linking the timing to a 75% vaccination level (James Bullard, St Louis Fed, Bloomberg 12 April 2021) would suggest an announcement could come in the coming months based on the current trend.Tapering could come soon given progress on the vaccine and

29、 comparisons with 2013Table 2. UST forward yield shifts (bp)5Y5YReal yieldInflation BETerm premium*Biden stimulusAug 2020 low88-82169-9612 April 20212533621797Change16511848193Trump bumpSept 2016 low20028172-9Dec 2016 high31912019886Change119922695Taper tantrumMay 2013 low28017263117Dec 2013 high452

30、191261310Change172174-2193Source: HSBC, Bloomberg. *Note: Term premium uses Adrian, Crump and Moench data. ACMTP5Y5Y calculated as ACM10YTP +(ACM10YTP ACM5YTP). ACM data lagged hence current value is as of 9 April.see Back to the future: Lower-for-longer and regime shifts, 25 March 2021Higher realis

31、ed inflation in the coming months is largely in the price and is consistent with the Feds average targetBraced for the inflation bump in the roadAs we discussed last month (Calling Captain America) the big move in inflation expectations was last years story. So far in 2021, 5Y5Y inflation swaps refe

32、renced on the CPI index have been in a 2.23-2.45% range, which means that inflation markets are to a large extent pricing-in the Feds Average Inflation Target (AIT). Markets can both under-and overshoot, but the fact remains that the valuations are setting a high bar for higher inflation to be a sur

33、prise.Our expectation is that the near-term inflation pressure will be no more than a bump in the road, and one that markets have been preparing for. The key measure of inflation, US core PCE, will likely have fallen back to, or in line with HSBC forecasts moved below 2.0% by the end of 2021 (Spendi

34、ng the stimulus). Even with the range of FOMC policymaker expectations of 1.9% to 2.5% for end-2021, from our perspective the Fed does not appear ready to hike rates pre-emptively.Given that inflation is a lagging indicator, the Fed knows that it can take a long time and with the AIT we are talking

35、years not months before the kind of inflation that matters for policy begins to appear.That means that we can afford to wait to see actual inflation appear before we raise interest rates. We do have the ability to wait to see real inflation, and thats what we plan on doing.Fed Chair Jerome Powell, s

36、peaking on “60 Minutes”, 11 April 2021AIT shows the Fed has learnt from past mistakesA powerful and persistent inflation impulse would be necessary to meet AIT minimum conditionsThe AIT may be under-appreciated by markets today. This is a very strict form of forward guidance that will require actual

37、 inflation to be coming through, not pre-emptive expectations based on the surveys or the market.First, the Fed has learnt from past lessons and will not be tightening policy pre-emptively. Both one- and three-year moving averages reveal that the Fed would not have hiked rates through 2016-18, and w

38、ould have only tightened modestly in the previous cycle (see Figure 1).Second, the use of averages means there would have to be a powerful and persistent inflation impulse for the AIT to meet the minimum thresholds set by the Fed. Using the three year as a better gauge of inflation through the cycle

39、, the next 12 months would need to see an average core PCE of 3.0% to pull the three year rolling average up to 2.0%.Figure 1. High hurdle for rate hikes given the new Fed frameworkInflation target2.003Y rolling core PCE1.681Y and 3Y av g. =2% Aug06 to Dec08Potential1.33AIT ruletightening1Y rolling

40、core PCE2.502.25PCE (yoy %)2.001.751.501.251.0020002002200420062008201020122014201620182020Source: HSBC, Bloomberg.We wonder just how far US exceptionalism can goIt is unlikely that US r* will be revised upwardsChina has a different view on the role of fiscal policy and potential GDP is in retreatTh

41、e rest of the world and US fiscal looseningGlobal investors have responded to an unusual situation by demanding additional risk premium in US bonds. But we think it will take more than one year of fiscal stimulus to overcome the multi-decade trend of falling real rates (Back to the future). For ther

42、e to be a regime shift the growth surge must be more than large and sudden; it must persist.It is because of this risk premium, here illustrated by the forward term premium, that valuations have adjusted more in the US Treasury market than elsewhere (see Figure 2). From a global perspective it means

43、 that investors in low yielding Japan and the Eurozone can now buy Treasuries more cheaply than only a few months ago, making switches from their home markets more attractive. Furthermore, with money market rates barely budging, an overseas investor can hedge currency risk at no additional cost comp

44、ared with earlier this year.Just how far can US exceptionalism go? Whilst the US attempts to break free from years of disappointing growth the Eurozone and Japan look like they will remain trapped with low growth and inflation, reflected in the incredibly low bond yields. Huge fiscal stimulus did no

45、t work for Japan and the Eurozone governments are still waiting to realise the benefit of the EU Recovery Fund, whilst still battling to get on top of the pandemic.We still do not know whether US policy will be able to reverse the decline in potential GDP the rate at which the economy can grow with

46、steady growth and stable inflation of the last two decades. If potential GDP is going to be revised higher by all this stimulus and we highly doubt it then the r* (longer-run real natural rate) would be revised upwards. Given the Fed thinks it is already at +50bp, implied by the longer-run dot at 2.

47、5%, and that the market was trading at a much lower forward real yield than this last year, the most optimistic scenarios probably see r* being underpinned for a while but not driven higher.China, the worlds second largest economy, recently downgraded its forecast for potential GDP. According to the

48、 PBoC, it is has fallen to 5-5.7% (Bloomberg, 26 March). If Chinas central bank, was publishing a dot plot like the Fed we would likely see that the longer-run equilibrium rate of interest has been falling.Fiscal stimulus to boost growth is not a policy being used by China, where lessons have been l

49、earned, and excessive leverage is regarded as a problem. Recognising the interconnections in the global economy, we recall that China led the cycle in the second half of the last decade.There was fiscal stimulus and reflation through 2016, but this did not persist, and later when Chinas economy was

50、slowing down, the Fed paused.Figure 2. UST 5Y5Y close to peak rate and longer-run dotBonds cheapPeak rate5Y5Y2.522.500.99QE1QE2QE3ACMTP5Y5YQTQE4654%3210-1-22008201020122014201620182020Source: HSBC, Bloomberg, NY Fed, Adrian, Crump and Moench (ACM). Note: Peak rate is based on previous rate peaks and

51、 longer-run dot. Grey shaded areas indicate QE programmes. ACMTP5Y5Y calculated as ACM10YTP + (ACM10YTP ACM5YTP). 5-day MA.see Back to the future: Lower-for-longer and regime shifts, 25 March 2021AmericasGiven likely consolidation we favour bulleted roll-down strategies in the 5-7Y belly of the US T

52、reasury curveOne-year inflation swaps appear to be over-anticipating inflation, and we would add that there is a huge historical forecasting errorDespite the repricing higher in Chile rates we stay mildly bearish: markets should look through transient economic weaknessUSLawrence DyerHead of US Rates

53、 Strategy HSBC Securities (USA) Inc. HYPERLINK mailto:lawrence.j.dyer lawrence.j.dyer+1 212 525 0924Shrey Singhal, CFA Fixed Income StrategistHSBC Securities (USA) Inc. HYPERLINK mailto:shrey.singhal shrey.singhal+1 212 525 5126Bulleted portfolios should perform well given a general consolidationTre

54、asuries in the 5-7 year segment look attractive in bulleted strategies in this part of the bellyMaintain neutral near-term view on duration. Look for roll-down returnBond yields appear to be consolidating, albeit against a backdrop of uncertainty on the long-run effects of the large US stimulus plan

55、s, which should be sufficient to limit the near-term upside for bond prices, in our view.The curves slope outlook is clearer: it should stay steep for some time. A bull flattening requires a reversal of the recent reflation narrative; alternatively, a bear flattening requires the FOMC to turn hawkis

56、h. As neither seems likely at the moment, so investors should wait for longer-term economic data to justify a shift in their views.Thus, carry-and-roll down a steep yield curve should provide a total return advantage for investors over time. Figure 3 shows the six-month projected returns for Treasur

57、ies assuming that they roll down the current curve, with the returns plotted versus their duration. The projected returns peak at 1.4% in the seven-year sector.Extending duration in the front end of the curve will be rewarded eventually. However, such strategies risk losses if yields continue to go

58、higher. So, we see better opportunities for capturing carry and roll where front-end yields appear to be gripping, such as in Canada (see page 4, Global Rates Ideas: Value Proposition, 9 April 2021).Figure 3. Roll down return peaks at the 7Y sector7yrs10yrs2yrs30yrs20yrs5yrs3yrsRoll dow n advantage

59、for bullet v ersus barbell1.601.40Projected return (%)1.201.000.800.600.400.200.000 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25DurationSource: HSBC, BloombergHigher inflation breakevens show that the market has priced-in the Fed achieving its average inflation targetThere is a

60、100-200bp forecasting error in the one- year inflation swapA bulleted portfolio would add exposure in the seven-year sector while reducing exposure in shorter and longer duration sectors. This strategy would add roll down return from a steep yield curve without taking duration risk. We do this becau