新兴市场买入本地债券

1、April 19, 2021 09:41 AM GMTGlobal EM Strategist | GlobalMORGAN STANLEY & CO. INTERNATIONAL PLC+James K LordSTRATEGISTBuy Local BondsWe remove our bearish view on EMFX and credit and are bullish on EM local currency duration. COVID-19 risks in EM are high but are well appreciated in the market. Meanw

2、hile, more synchronised global growth, stable USTs, still abundant liquidity and cheap EM bond valuations suggest a better outlook.In our previous update (see EM Strategy: Step into Spring, April 1, 2021), we removed our bearish call on EM local currency bonds and started to add some duration risk i

3、nto our portfolio. Today we take things a step further, removing our bearish view on EMFX and EM credit to turn neutral, and turning outright bullish on local currency duration. HYPERLINK mailto:James.Lord James.LordJaiparan S KhuranaSTRATEGIST HYPERLINK mailto:Jaiparan.Khurana Jaiparan.KhuranaFilip

4、 DenchevSTRATEGIST HYPERLINK mailto:Filip.Denchev Filip.DenchevPascal N BodeSTRATEGIST HYPERLINK mailto:Pascal.Bode Pascal.BodeMORGAN STANLEY & CO. LLCSimon WaeverSTRATEGIST HYPERLINK mailto:Simon.Waever Simon.WaeverAndres JaimeSTRATEGIST HYPERLINK mailto:Andres.Jaime Andres.JaimeIoana ZamfirSTRATEG

5、IST HYPERLINK mailto:Ioana.Zamfir Ioana.ZamfirGilberto A Hernandez-GomezSTRATEGIST+44 20 7677-3254+44 20 7677-6671+44 20 7677-3166+44 20 7425-3282+1 212 296-8101+1 212 296-5570+1 212 761-4012We see local currency bonds as cheap across the curve in absolute terms andrelative to USTs. Hence, we are mo

6、st constructive on this part of the EM FI world. We dont believe that FX offers as much value and the dovish path of HYPERLINK mailto:Gilberto.Hernandez-Gomez Gilberto.Hernandez-GomezDiego HerreraSTRATEGIST+1 212 296-8940monetary policy we see for EM central banks versus market pricing should limit

7、FX gains. In credit, valuations are not cheap in absolute terms, yet versus US credit there is a growing valuation gap. With global liquidity conditions abundant, capital may now chase higher-yielding product and we see room for the index to tighten towards 320bp.Previously, we had been expecting a

8、final move lower in EM risk assets but, with our concerns now well recognised within the market, global growth becoming more balanced and UST yields likely to stay stable for a while longer, we now see a better chance that EM trades well in the coming weeks. We see this primarily as a tactical shift

9、 rather than a strategic one, with Fed tapering and idiosyncratic risks in EM likely to re-emerge. HYPERLINK mailto:Diego.Herrera Diego.HerreraMORGAN STANLEY ASIA LIMITED+Min DaiSTRATEGIST HYPERLINK mailto:Min.Dai Min.DaiBelle ChangSTRATEGIST HYPERLINK mailto:Belle.Chang Belle.ChangJingzhong ZhangST

10、RATEGIST HYPERLINK mailto:Jingzhong.Zhang Jingzhong.Zhang+1 212 761-1046+852 2239-7983+852 3963-0668+852 2239-1528As for trades, in credit we have recently added more risk to single Bs and now suggest to buy JORDAN 30 versus SOAF 30, buy Ghana 2025 ZCB, buy EGYPT 25 versus NGERIA 25, buy UKRAIN GDP

11、warrant and buy PEMEX EUR 2029. We also like Argentina and Ecuador, where we prefer ARGENT 2041 and ECUA 2035. In IG, we turn bullish on Mexico and suggest to buy MEX 32 versus PANAMA 32, buy ADGLXY 36 versus ADGB 31, buy PERTIJ 49 versus INDON 50 and we still like Saudi Arabia and Russia sovereign

12、credit. In separate articles inside, we also detail why we are more cautious on both Sri Lanka and Panama, two credits now on our dislike list.In local markets, we like duration in South Africa (SAGB 2048), Colombia (2s10s flatteners) and the Philippines (RPGB 2029), receivers in Jan 24 DI in BRL, 5

13、y IRS in PLN, 1y NDIRS in CNY and 1y1y in INR. We stick to long USD versus COP and MXN (via risk reversals) but remove versus KRW. We add long USD/TRY and SGD/INR (alpha view).Due to the nature of the fixed income market, the issuers orbonds of the issuers recommended or discussed in this report may

14、 not be continuously followed. Accordingly, investors must regard this report as providing stand-alone analysis and should not expect continuing analysis or additional reports relating to such issuers or bonds of the issuers.Morgan Stanley does and seeks to do business with companies covered in Morg

15、an Stanley Research. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of Morgan Stanley Research. Investors should consider Morgan Stanley Research as only a single factor in making their investment decision.For analyst certificat

16、ion and other important disclosures, refer to the Disclosure Section, located at the end of this report.+= Analysts employed by non-U.S. affiliates are not registered with FINRA, may not be associated persons of the member and may not be subject to FINRA restrictions on communications with a subject

17、 company, public appearances and trading securities held by a research analyst account.Tactical upgradesJames LordIn our previous update (see EM Strategy: Step into Spring, April 1, 2021), we removed our bearish call on EM local currency bonds, started to add some duration risk into our portfolio of

18、 local trade recommendations while also adding back some HY sovereign credits. Today we take things a step further, removing our bearish view on EMFX and EM credit to turn neutral, and turning outright bullish on local currency duration.We had been expecting another move lower in EM risk assets yet

19、we set out our reasoning for why this is not likely to occur now, at least in the short run. We continue to believe that the bottom-up picture for many EMs is challenging and so any recovery in asset prices is likely to be tactical. Below we focus more on local markets, and for an update on EM sover

20、eign credit see Sovereign credit strategy: Resilient, calm and defiant.As a side note, in Global Macro Strategist: Top 10 Surprises for 2021, December 18, 2020, one of the surprises we listed was the following:Liquidity is supposed to overflow the borders of the DM countries that are providing it. B

21、ut disappointing vaccine take-up and a tough winter in the Southern Hemisphere focus investor attention on DMs with better underlying fundamentals. As liquidity is confined to DMs, valuations and prices squeeze higher. And as DM returns mount, fear of missing out creates the most buoyant DM asset pr

22、ice bubble of all time.As it turned out, we incorporated this risk into our EM base case not long after 2021 got under way. Now, we see some scope for that liquidity to spill over from DM and support EM assets more so than seen during 1Q.Widening DM-EM growth gap well appreciated: We had expected EM

23、 risk assets (FX and credit) to struggle on account of a widening split in DM versus EM growth prospects, on account of rapidly rising COVID-19 infection rates across large parts of EM. Yet, even as news flow deteriorated, markets have remained very resilient, which could suggest two things. First,

24、the severity of the issue is priced in and now baked into expectations.Second, even though EMs are unlikely to ramp up their vaccination rates rapidly any time soon on account of supply issues, it is very likely that vaccines will eventually come and allow countries to finally bring the pandemic und

25、er control. This means that investors can look through short-term weakness.However, we would note that the market did not really give Europe the benefit of the doubt on this topic, with EUR struggling throughout 1Q due to the slow pace of vaccine rollout. The economist consensus on EM GDP growth has

26、 not really come down much this year despite the deterioration seen. We would not be surprised to see growth downgrades from the Street in the coming weeks. Nonetheless, the resilience of EM assets in recent weeks is a signal that we take on board, and other factors are playing an important role.Mor

27、e balanced DM growth: While the DM-EM growth gap could widen, intra-DM growth expectations are becoming more favourable for EM, with the US hitting peak optimism and Europe hitting peak pessimism, helping DXY to halt its uptrend. We wrote about peak pessimism in Europe in the Global Macro Strategist

28、. The peak optimism in the US is reflected clearly in the lack of follow-through in UST yields and USD from a string of very strong US data. Our US rates strategists continue to believe that we have reached a cyclical peak in UST yields and have removed their long US BE position (see Global Macro St

29、rategist: Liquidity Comes Home to Roost, April 16, 2021).Exhibit 1: EM GDP expectations have been stable so far this yearmonth growth expectations - 3y average (%)43210-1-2-3-4-5-6Jan-20Apr-20Jul-20Oct-20Jan-21EM IQRUnited StatesEM MedianEASource: Bloomberg, Morgan Stanley ResearchExhibit 2: GBI-EM

30、yields have room to drop% 5.04.24.03.8Apr-20 Jun-20 Aug-20 Oct-20 Dec-20 Feb-21 Apr-21GBI-EM YieldSource: Bloomberg, Morgan Stanley ResearchValuations on EM rates remain attractive: As we discussed in our last update, valuations on EM local currency debt are attractive, both in the

31、 front end and the long end. With our upgrade to EMFX and a more stable USD outlook and the likelihood that UST yields fail to make a new high any time soon, we think that EM local currency yields can head lower from here.One of the reasons why we previously felt that EM currencies were likely to we

32、aken was our expectation that EM central banks would deliver far less monetary policy tightening than is currently expected by markets. This is due to: i) Ongoing pressures on growth from COVID-19; ii) The support that low interest rates would give to large fiscal deficits and high debt/GDP in many

33、EMs; iii) The temporary nature of the current rise in inflation (on account of large output gaps and COVID-19 pressure); and iv) The confidence that amid much stronger external balance sheets and a dovish Fed, EM central banks could afford to keep monetary policy loose and tolerate a bit of FX weakn

34、ess.We continue to believe that these factors will lead to a more dovish approach for monetary policy in EM relative to market pricing. However, we are adjusting our prior expectation that this process would weaken EM currencies significantly, for the reasons mentioned earlier. It does remain a risk

35、 and is a factor in why we are not moving to a bullish EM currency stance. More importantly, it gives us more confidence in our bullish EM rates stance, and we recommend a range of front-end receivers in various countries.Exhibit 3: EM central banks are unlikely to hike as much as markets thinkEM Po

36、licy Rate (GBI EM-weighted) 6.506.005.505.004.504.003.503.002.502.00Exhibit 4: We like receiving in BRL and HUF in particularMS more hawkishMS Policy Rate Forecast - Market Pricing (%) 0.00-0.20-0.40-0.60-0.80-1.00-1.20-1.40-1.6031/12/2021-1.8012 13 14 15 16 17 18 19 20 21 22 23 24MS ForecastMarket

37、PricingSource: Bloomberg, Morgan Stanley Research forecastsSource: Bloomberg, Morgan Stanley Research forecastsAt the same time, risk premia in the long end and real yield differentials versus the US remain attractive. We think that FX stability and UST stability can allow risk premia to adjust and

38、real yield differentials to normalise, a bit. However, we do not expect the long end of curves to come back down to pre-pandemic levels for a few reasons. First, fiscal positions have been permanently weakened and, unlike advanced economies, central banks are unable to do QE and the growth outlook i

39、s less robust; this likely means that fiscal deficits will be wide for a while. Second, UST yields could easily rise again later this year following a longer period of progress towards the Federal Reserves goals.Exhibit 5: Term premia remains elevated in EM local bondsExhibit 6: EM real yields are h

40、ighbpEM ETP (GBI-EM Weighted)10Y GBIEM Weighted Real Yield versus US 10Y120100806040200-20-40Oct 12Apr 14Oct 15Apr 17Oct 18Apr 205.04.03.02.01.00.0-1.0-2.0 TIPS (%)1415161718192021Spread (rhs)GBIEM Real Yield5.04.54.03.53.02.52.01.51.00.50.0Source: Morgan Stanley ResearchUS 10Y TIPS Current Spread L

41、evelSource: Bloomberg, Morgan Stanley ResearchPositioning in EM local currency duration is cleanAs of February, EM-dedicated fixed income investors had cut back on their duration exposure substantially. Given the fixed income sell-off we saw during March 2021, it is quite likely that the duration ex

42、posure was cut back even further, possibly to match the benchmark or below. This cleaner positioning is a good set-up to take a more constructive stance.Exhibit 7: GBI-EM investors cut duration6.706.205.705.204.70Oct-16Dec-16 Feb-17 Apr-17 Jun-17 Aug-17 Oct-17 Dec-17 Feb-18 Apr-18 Jun-18 Aug-18 Oct-

43、18 Dec-18 Feb-19 Apr-19 Jun-19 Aug-19 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-20 Dec-20 Feb-214.20Duration (AUM weighted)Duration (Simple Average)BenchmarkSource: Company websites, Morgan Stanley ResearchHow long will the rally last?This partly depends on how quickly it unfolds, of course. Our

44、 excess term premia model examines whether curve shape in EM is either too steep or flat relative to a fair level based on the EM monetary policy cycle, inflation volatility and US term premia. By definition, a 0bp level of excess term premia would be consistent with a fair curve shape in EM.However

45、, we doubt that we will reach those levels. Probably our model is not fully capturing the structural fiscal deterioration in EM and so we should expect a higher level of term premia within the curve going forward. Should we compress half of the excess term premia we would likely take off our constru

46、ctive EM local duration view. This would represent about 30bp of term premia.We are also concerned about where UST yields head later in the year, as we get closer to the date that the Federal Reserve announces tapering on the back of a long string of positive data. Morgan Stanleys year-end forecast

47、for 10-year USTs remains 1.70%.The Fed outlook combined with the strength and outperformance of the US economy could prevent a USD bear market. Even though the factors are well priced now, the theme could re-emerge later in the year following a period of repricing in the short run (which is what we

48、are positioned for).What to trade?The spread between high yielders and low yielders in EM local duration remains wide. We think this spread can compress although for the same reasons that overall term premia is unlikely to compress back down to pre-pandemic levels, the spread between high and low yi

49、elders is unlikely to fully normalise. In general, high yielders face bigger fiscal challenges than low yielders. Nonetheless, we think there is value in the long end of South Africa, the belly of Brazil and Poland and the front ends of HUF, CZK, CNY and INR. We also like to position for flatteners

50、in Colombia.In CEEMEA, we have two recommendations in duration. We continue to like SAGB 2048s, which is a trade we recommended in our last update. We have made some good progress and extend the target by another 25bp. However, we maintain the FX hedge. We add a tactical PLN 5y IRS receiver as a pla

51、y on more stable and lower core yields in the near term, in line with our rates strategists view. Term premia in Poland is the highest across the CEE region while the central bank is likely to turn out the most dovish, in our view, even if the pandemic situation improves significantly in Europe.Corr

52、elation vis-vis core rates has been strong so we should see a tactical retracement. Finally, the steepness in the 5y point is the most pronounced on the curve, with 3m roll- down and carry at 10bp. In Hungary, we keep our 2y receiver versus 2y payer in Israel and we remain received the front end of

53、the FRA curve in the Czech Republic.We think that Turkey and Russia are too idiosyncratic to fit within the global narrative we have laid out above and so do not recommend adding duration here. In Turkey in particular, we are bearish on TRY and expect the market to keep a high risk premia in the cur

54、ve. Accordingly, we go long USD/TRY with a target of 8.60. Our analysis has shown that FX remains under pressure if inflation accelerates even if real rates are positive.Also, the premise of positive real rates can come under scrutiny as our economists expect inflation to exceed 19%Y in July and pea

55、k at 22.1%Y in October, which would be above the current policy rate. Finally, de-dollarisation occurring in second half of March, a key support factor for FX then, has started to reverse in April. In Russia, we have turned more cautious on bonds as the uncertainty about the future relationship betw

56、een the two countries will be key.In Asia, we take profit on our long SGD/IDR position and rotate into long SGD/INR. We close our long USD/KRW position but stay long USD/TWD for carry. We also like selling USD/THB 1m ATM put versus buying 6m ATM put. In rates, we maintain our front-end receiver posi

57、tions in CNY (1y) and INR (1y1y). We believe that investors should be ready to pay 5yr CNY NDIRS in May/June. Lastly, we recommend long RPGBs 2029 without FX hedge given the steep curve (see Asia macro strategy: A window of stability for more).In Latin America, we maintain a preference for duration

58、over FX and add a 2s10s COPxIBR flattener, given attractive valuations (substantial excess term premia) amid the ongoing stabilisation in core rates. Additionally, the government has finally introduced its much-anticipated tax reform proposal, which could help to remove some of the fiscal premia in

59、the long end, depending on the final size of approved savings. We also maintain our recommendation for receivers in Brazil (long Jan 24 DI) and acknowledge that risk premia in Peru rates also looks attractive, though the timing remains tricky given ongoing political noise (see Peru Elections: 1st Ro

60、und Implications, April 12, 2021).As mentioned above, we keep a slightly more cautious view on FX, given ongoing idiosyncratic risks. For now, we keep our long USD/COP trade as a broader portfolio hedge, given Colombias significant external vulnerabilities (twin deficits). We also stay long vol in U