对波动不定的固定收益市场的看法

1、Thoughts on volatile fixed income marketsMarch 2020Jay BarryAC (212) 834-4951 HYPERLINK mailto:john.f.barry john.f.barryJosh YoungerAC (212) 270-1323 HYPERLINK mailto:joshua.d.younger joshua.d.youngerBrian YeAC(212) 834-3128 HYPERLINK mailto:brian.ye brian.yeFabio BassiAC+44 (0)20 7134 1989 HYPERLIN

2、K mailto:fabio.bassi fabio.bassiFrancis DiamondAC+44 (0)20 7134 1504 HYPERLINK mailto:francis.diamond francis.diamondSee the end pages of this presentation for analyst certification and important disclosures, including non-US analyst disclosures.J.P. Morgan does and seeks to do business with compani

3、es covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.U.S. interest ratesSummary of v

4、iewsTreasury yields have declined to historic lows, driven by expectations of the Fed returning to ZIRP and a sharp decline in inflation expectations. Even with this, Treasuries are displaying a large risk premium, driven by short covering, historically low liquidity, and hedging activity. Given an

5、anticipated return to ZIRP, we expect the yield curve to trade directionallyflattening in rallies, and vice versa. We expect this dynamic to be more pronounced at the front end rather than the long endDislocations in off-the-runs are increasing to levels not seen in years, and given the liquidity pr

6、eference for on- the-runs, off-the-run Treasuries appear cheapGiven the decline in nominal yields, increase in risk aversion, and drop in oil prices, front-end TIPS have approached historically-cheap levelsTo date, the widening in FRA/OIS is mostly technical, with Libor lagging moves in Fed funds ex

7、pectations.Severe market stress has led to significant liquidity tiering, causing futures to outperform in a rally. Operational risk management could further dislocate the cash/futures basis.Convexity hedging flows are coming, not to mention wider deficits if the U.S. enters recession. Look for oppo

8、rtunities to sell swap spreadsat the front end by receiving in SOFR and in intermediates versus Libor.Lognormality is here, even the market prices a material risk of negative policy rates over the next year. But market microstructure remains brittle”Flash Rallies” should create selling opportunities

9、 in the upper left of the grid.Treasury yields have made new lows on expectations of aggressive Fed easing and fears over the lasting impact of COVID-19. At current levels, the risk premium in yields is historically largeand are implying significantly below-trendTreasury yields have declined to hist

10、oric lowsgrowth over the next year10-year Treasury yields; %161-year ahead GDP growth implied by J.P. Morgan 10-year fair value model* versus Blue chip consensus 1-year ahead growth forecast; %4.5124.03.582.52.041.51.000.5197819881992000180.03.01y-ahead Growth Forecast; % UST-implied growth expectat

11、ions882Mar 15Mar 16Mar 17Mar 18Mar 19Mar 20*Source: J.P. Morgan* Calculated as the value of the growth expectations variable within our 10- year fair value framework that produces a model estimate equal to actual 10-year Treasury yields, using actual values as inputs to all other variables. The mode

12、l is a regression of 10-year Treasury yields on 5Yx5Y inflation swap rates (%), 1-year ahead consensus growth forecasts (%), 3m3m OIS rates (%),Share of negative yielding debt in J.P. Morgan GBI-DM (%), and CFTC spec positions in interest rate futures (3y z-score), over the last 5- years. R-squared

13、= 95%, SE = 10bpSource: J.P. Morgan, BlueChip, CFTCShort covering contributed to the decline in yields, and positions are neutral nowOver the past week, Treasury market depth has averaged levels not observed since late 2008Average 1-year z-score of net longs in J.P. Morgan Treasury Client Survey and

14、 aggregate non-commercial net longs in Eurodollar and Treasury futures 3210-1-2-3-4Mar 15Mar 16Mar 17Mar 18Mar 19Mar 2010-year Treasury market depth*, one-week moving average; $mn4003002001000Mar 10Mar 12Mar 14Mar 16Mar 18Mar 20Source: J.P. Morgan, CFTC* Market depth is the sum of the three bids and

15、 offers by queue position, averaged between 8:30 and 10:30am dailySource: J.P. Morgan, BrokerTecThe directionality of the front-end curve shifted sharply following the Feds move to the ZLB.and though the general relationship holds for thelong end as well, it is substantially looser2s/10s Treasury cu

16、rve regressed on 10-year Treasury yields (%) over Dec 15, 2007 - Dec 15, 2008 and Dec 16, 2008 - Dec 16, 2009 periods; bp10s/30s Treasury curve regressed on 10-year Treasury yields (%) over Dec15, 2007 - Dec 15, 2008 and Dec 16, 2008 - Dec 16, 2009 periods; bp3002502001501005012010080604020Dec 16, 2

17、008 - Dec 16, 2009 y = 14.528x + 35.218R = 27.56%Dec 15, 2007 - Dec 15, 2008 y = -5.206x + 82.241R = 1.22%Dec 16, 2008 - Dec 16, 2009 y = 82.053x - 36.937R = 91.29%Dec 15, 2007 - Dec 15, 2008 y = -43.147x + 324.03R = 15.55%2.02.53.03.54.04.510-year Treasury yields; %2.02.53.03.54.04.510-year Treasur

18、y yields; %Source: J.P. MorganSource: J.P. MorganDispersion along the Treasury curve has moved higher over the past week and sits modestlyand off the runs have cheapened substantiallyabove averages observed over the past decadeover the last weekRoot Mean Square Error of J.P. Morgan part fitted Treas

19、ury curve*; bp3.53.02.52.01.51.00.5Current/tripled old 10-year Treasury matched-maturity swap spread curve;bp10-1-2-3-4-5-6-7Mar 10Mar 12Mar 14Mar 16Mar 18Mar 20-8Mar 15Mar 16Mar 17Mar 18Mar 19Mar 20* For more details, see The new and improved Treasury par curve model, 7/16/18Source: J.P. MorganSour

20、ce: J.P. MorganOil and gas prices have collapsed, falling 25-30%,to their lowest levels since early 2016Rolling front Brent oil futures (LHS; $/bbl) and RBOB gas futures (RHS;$/gal)and breakevens and inflation swap rates tumbled, led by the front end of the curve, and 5Yx5Y zc swaps closed at the lo

21、west levels on record1Yx1Y and 5Yx5Y inflation swap rates; % Brent (LHS) RBOB (RHS)872.28772.08671.881.68571.48471.28371.08270.883.402.902.401.901.400.901Yx1Y5Yx5YMar 15Mar 16Mar 17Mar 18Mar 19Mar 20Mar 10Mar 12Mar 14Mar 16Mar 18Mar 20Source: J.P. MorganSource: J.P. MorganLibor has historically had

22、little connection to term bank credit, even in crisis conditionsRolling 1-year average correlation between the rank order of Libor submissions and the same for 1-year CDS spreads for panel banks; %60%40%20%0%-20%Front-end FF/Libor basis has become increasingly exposed to duration as Fed funds expect

23、ations tend to lag LiborRolling 1-year R-squared of daily changes in 3Mx3M FF/Libor basis and 3Mx3M OIS rates, all and larger (0.5 sigma, 1 sigma) moves; %All 0.5 sigma1 sigma30%25%20%15%10%5%-40%Jan 06Jan 08Jan 10Jan 12Jan 14Jan 160%Jan 18May 18Sep 18Jan 19May 19Sep 19Jan 20Source: J.P. Morgan, BBA

24、, ICESource: J.P. MorganThe sharp rise in post-close moves points, if but operational risk management could drive aanything to richer WN cash/futures basis material cheapening of the basisPrice impact* in 30-year Treasuries both midday and after Chicago pit close (ticks/$100mn) along with 21-day std

25、 dev of 3-5pm moves in 30Y yieldsNotional of gross levered fund shorts by contract (LHS; $bn) as well as that as a fraction of total government MMF AUM (RHS; %)(bp/2hr)price impact (NY session) price impact (post-close)21-day std of post-close moves2.52.01.51.00.50.0Mar 19Jun 19Sep 19Dec 19Mar 20*Pr

26、ice impact defined as the average move in orderbook mid-price against a$100mn flow in traded notional. See Drivers of price impact and the role of hidden liquidity, J. Younger et al., 1/13/17 for more details.Source: J.P. Morgan, BrokerTec700TUFVTYTNUSWN% of govt MMF AUM (RHS)6005004003002001000Jan-

27、10Jan-12Jan-14Jan-16Jan-18Jan-20Source: J.P. Morgan, Reuters30%25%20%15%10%5%0%Even as bank portfolio duration has contracted sharply, intermediate swap spreads have remained comparatively stableOutlay Error RevenueErrorDeficit Error 10yr maturity-matched swapspreads (LHS; bps)commercial bank net du

28、ration (RHS;$bn 10s)10yr maturity-matched swap spreads (LHS; bps) and net duration of large commercial bank portfolios, assuming no additional hedges and flat exposure as of Q1-end 2019; (RHS; $bn of 10-year equivalents)During recessions, realized budget deficits tend to persistently deviate below e

29、x-ante forecastsErrors in CBOs budget-year deficit projections*; % of GDP151050-5-10-15-20$1,0003$5002$010-$500-1-$1,000-2-$1,500-3-$2,000-4Mar 17Sep 17Mar 18Sep 18Mar 19Sep 19Mar 20Note: For details, see Is bank convexity hedging lying in wait?, J. Younger et al., 5/31/19.Source: J.P. Morgan, FRB19

30、85199019952000200520102015* For detail, see An evaluation of CBOs past deficit and debt projections. Source: J.P. Morgan, CBOWe are now firmly in lognormal territory, even if markets price in a reasonably high risk of negative policy rates over the next yearPredicted vol/rate directionality* in 1Yx2

31、Y swaptions vs level of rates forvarious market-implied odds of negative rates; abp/bpMarket depth fell abruptly following the FOMC announcement, recovered partially over the next couple hours, but then fell abruptly once more into 2pm as volumes again roseMarket depth (RHS; $mn) and trade volume (L

32、HS; $mn) in hot run 10-yearTreasuries throughout the New York session on 3/3/20201.00.80.60.40.20.0max neg rate risk0%5%10%20%currentforward0.250.500.751.001.251.501.752.001Yx2Y rates (ATMF strike; %)2000 trade volumemarket depth10-year yieldsbreach 10%FOMCstatementminiFlash Rally1500100050006:00 AM

33、8:00 AM10:00 AM12:00 PM2:00 PM4:00 PM150100500*Vol/rate directionality defined as rolling 3-month beta of 1-week moves in ATMF implied vol vs strike for 1Yx2Y swaptions; predictions from fair value model describe in Exhibit 16. Here we hold 1Yx1M / 1M OIS slope constant at0.0 and vol fixed at 80abp.

34、 Source: J.P. Morgan,*Market depth defined as the total notional available in the central limit order book (CLOB) at the best three prices, averaged across both the bid and ask stacks. We take snapshots of the live order book for every $100mn in traded notional, and average market depth measurements

35、 from these snapshots, thus forming a volume-weighted average.Source: J.P. Morgan, BrokerTecU.S. mortgagesSummary of viewsRate dislocation and supply stress have pushed mortgage Index OAS to the highest since 2012/2013T-OAS on the mortgage index is 80bp, the highest since 2012/2013Supply and refi ri

36、sks are the major drivers; gross supply will soon top $200bn/mo; the Fed SOMA portfolio paydowns could reach $40bn/mo with nearly $20bn reinvested back into MBSThe Refinancing Index has more than doubled in the past two weeks, currently sitting at the highest since 09; we expect the refi surge to mo

37、derate with FNCL 2.5s down more than a point since intra-week highsMortgages have widened significantly versus USTMortgage spreads at the highest since taper tantrumRisk adjusted mortgage spreads are multiple times those of credit sectorsTreasury OAS of the MBS Index, bp, COB 3/9/202080Ratio of the

38、FNCL 3 and FNCI 2.5 nominal spreads to UST divided by theirOAD vs. ratio of HG credit spread divided by durationFNCL 3.0FNCI 2.5 HG JULI806060404020202012201220132013201420142015201520162016201720172018201820192019202000201220132014201520162017201820192020Source: J.P. MorganA refi induced gross supp

39、ly surge is a major headwindRefi wave in full swingGross supply to top $200bn per monthMonthly gross supply of fixed rate MBS and projections over the next 6 months (blue), $bn240220200180160140120100806040201220132014201520162017201820192020MBA Refinancing Index6000500040003000200010000101112131415

40、1617181920Source: J.P. MorganSource: J.P. Morgan, MBAFed SOMA MBS portfolio reinvestment needs will tick up as wellProjected Fed SOMA portfolio paydowns and reinvestment needsPaydown MonthReinvestment periodPaydownsCapPurchasesFebruaryMid March23.220.03.2MarchMid April29.520.09.5AprilMid May31.920.0

41、11.9MayMid June33.620.013.6JuneMid July37.820.017.8JulyMid August35.620.015.6AugustMid September33.820.013.8International interest ratesSummary of viewsIn the Euro area, we fade curve flatness via 2s/5s German and reds/blues EONIA curve steepeners.Buying Jun20 Schatz put spread offers convex upside

42、vs. expensive swap spreads and wide intra-EMU spreads.Keep conditional swap spread exposure in Bunds.In the UK, we identify stretched valuations along two dimensions:Relative to a hard Bank Rate floor of 10bp, where we see attractive risk reward in paying 2Yx1Y SONIAHistorical dislocations without a

43、 firm valuation floorwe hold 10Y SONIA swap spread narrowersmarkets showed a strong correlation with 10Y US Treasury,In line with a typical flight to quality dynamic pretty much “everything” in EUR and GBP rateCurrent 6W correlation of 5D changes; %We have seen it before: in line with other episode

44、of massive risk aversion the correlation z-score is close to the highest of the past 15YEvolution of correlation z-score (average cross market correlation/SD of cross market correlation): (Computed using 5D changes); since 1 Jan 2007; unitless7654321234567891011110Y UST10092-60-65-74-82-7395-8765502

45、10Y Germany100-62-74-81-86-8489-807559310Y Italy *10087868377-6460-71-19410Y Spain*100949492-6772-73-39510Y France*1009796-7477-84-43610Y Bund SS10093-8187-77-53710Y Bund v ol100-7372-86-44810Y gilt100-837053910Y gilt SS100-57-69105Yx 5Y HICP10030115Yx 5Y UK RPI1001Jan07Jan08Jan09Jan10Jan11Jan12Jan1

46、3Jan14Jan15Jan16Jan17Jan18Jan19Jan20* Spread versus Germany Source: J.P. MorganSource: J.P. MorganThe EONIA market is currently pricing around 7bp of further easing by the ECB later this week with a total of about 25bp of easing priced by Dec20Current EONIA market versus our forecast of where this c

47、urve could temporarily go if the Fed cuts to 0%; 10-Mar-20Fed at 0 02-Sep-19-0.40-0.50-0.60Keep reds/blues EONIA curve steepeners as it provides a convex exposure to yields1Yx1Y/3Yx1Y EONIA curve regressed against 3Yx1Y EONIA yield; past 6M; bpy = 74.60 x2 + 97.98x + 38.72R = 85%25201510-0.705-0.801

48、Q201Q211Q221Q231Q241Q250-0.70-0.60-0.50-0.40-0.30-0.20-0.103Yx1Y EONIA yield; %Source: J.P. MorganSource: J.P. MorganWe see limited room for the 2s/5s German curve to invert and hold 2s/5s steepeners as attractive positive convex bearish duration proxy2s/5s German curve regressed against 5Y German y

49、ield; since 1 Jan 2020; bp9-Mar10-Ma2-1.00-0.90-0.80-0.70-0.60-0.50-0.405Y German yield; %Despite attractive valuations we remain cautious entering intra-EMU tighteners over the near term given possibility for other countries to engage large scale quarantine measures, risk of forced liq

50、uidation by investors and poor market liquidityStatistics since PSPP announcement in January 2015CurrentAverageMinMaxPercentileAustria4624546100%Belgium5434196197%Finland4021440100%France5033188094%Greece244576138179811%Ireland6855309482%Italy2151708832378%Netherlands241553198%Portugal1241945540923%

51、Spain1111096016650%Current level and statistics for 10Y EMU curve-adjusted spread to Germany*; bpSource: J.P. MorganNote: 10Y France-Germany spread has only traded above 50bp level since 2015 only between Jan-Apr 2017 period on back of uncertainty around the French Presidential election.Source: J.P.

52、 MorganIn the last two weeks Bund and Schatz swap spread widened between 20bp and 25bp,10D change in Schatz and Bund swap spreads vs. Euribor (6s); sinceJanuary 2015 SchatzBund3020100Swap spreads are trading on the expensive side across the curve with Bund the widest in z-score term since QE started

53、 in 201511-Mar-20Z-scoreMaxMinAv g%-ile% of rangeEurex futures vs. OIS curveSchatz320.6622256950Bobl340.9512257866Bund351.444-8229183Bux l270.449-12227167Current levels and statistics since early 2018 of Schatz, Bobl, Bund and Buxl swap spreads versus EONIA and versus 6s Euribor swap curve; bp (exce

54、pt for Z-score unitless)-10-20Jan 15Jan 16Jan 17Source: J.P. MorganJan 18Jan 19Jan 20Eurex futures swap spreads vs. 6s EuriborSchatz480.97924418144Bobl521.07529458151Bund531.56125449179Bux l430.5648387364Source: J.P. Morganstructures or Schatz & Bund puts spreads, while holding bull widenersThe nega

55、tive directionality of Bund swap spread to yield levels has increased lately and is expected to remain pronounced in a FTQ dynamic1M rolling beta of Bund invoice and 10Y German benchmark vs. Bundinvoice and 10Y German benchmark yields, respectively Invoice swap spreadB/m swap spread4020Long in Jun20

56、 Schatz put spread appears an attractive and positive convex way to be positioned for a decline in the CVOID-19 concerns112.20/112.00 Jun20 Schatz put spread regressed against Jun20 Schatz invoice swap spread; past 6M; centsy = 0.06x2 - 3.91x + 63.47 R = 83%2015010-205-40-60Jan 18May 18Sep 18Jan 19M

57、ay 19Sep 19Jan 2001520253035Schatz/OIS swap spread; bpSource: J.P. MorganSource: J.P. MorganKeep paying 2Yx1Y SONIA as forwards have limited room to rally with Bank Rate floored at 10bpCurrent levels and projections for 1Y SONIA spot and forwards; bp1Y1Yx1Y2Yx1Y3Yx1Y28232017191510104030201010Y gilt

58、swap spreads are wider now than during nearly all prior periods of BoE gilt QE. We hold 10Y SONIA swaps spread narrowers10Y gilt SONIA swap spreads during periods of prior gilt QE asset purchases; bpBoE QE periods10Y SONIA sw ap spread1st operation Last operationStartEndAv erageQE 1a11-Mar-0929-Jul-

59、09-14.2-1.3-11.8QE 1b10-Aug-0926-Jan-107.5-45.1-19.0QE 210-Oct-112-May -12-43.2-15.5-27.5QE 39-Jul-1231-Oct-12-11.7-15.7-9.3QE 48-Aug-161-Feb-17-25.3-32.0-33.2Current1.30CurrentFed at 0bpThrough the floor? Long SONIA forwards are around 0% but more a flow driven dynamicSource: J.P. MorganSource: J.P

60、. Morgan, BoESONIA forwards, current levels, 12M average and 12M min; bpCurrent12M average12M min100806040200-20 19Source: J.P. MorganAnalyst Certification: The research analyst(s) denoted by an “AC” on the cover of this report certifies (or, where multiple research analysts are primarily responsibl