汇丰银行全球债券2025日本经验

1、6 August 2019We revisit our view from Bonds in 2021 and see five key reasons why bond yields should remain low for even longerOur views should be seen in the context of Japans 30-year battle with excessive debt and the policy responsesWe cut our end-2019 US 10-year Treasury and Bund yield forecasts

2、to 1.50% and -80bp, respectivelyuuuLower for even longerIn essence, we expect bond yields to remain low for the following reasons: 1) those central banks with negative rates are already preparing to further experiment with life below zero, 2) inflation is likely to stay low, 3) QE is not working to

3、reverse disinflation,4) debt levels remain excessively high, and 5) growing interdependence between fiscaland monetary policy.Steven Major, CFAGlobal Head of Fixed Income Research HSBC Bank plc steven.j.major+44 20 7991 5980Lawrence DyerHead of US Rates Strategy HSBC Securities (USA) Inc. lawrence.j

4、.dyerTurning Japanese: lower and flatterOur analysis is underpinned by Japans experience over the last 30 years as it has struggled with high debt levels, extremely low inflation, and (more recently) negative interest rates. For bonds, Japanification means permanently low yields and curve flattening

5、 that extends up the curve from shorter maturities. It also means loweryields elsewhere as trillions of dollars flow to places that offer better returns.Daniela RussellHead of UK Rates Strategy HSBC Bank plc daniela.russell+44 20 7991 1352Taking the hatchet to our bond yield forecastsInformed by the

6、 powerful Japan effect and the projections out to 2025, we have cut our bond yield forecasts from already low levels. For 10-year US Treasury and Bund yields, the new forecasts are 1.50% (from 2.1%) and -80bp (-20bp), respectively, forboth end-2019 and end-2020.Our 2025 view is that the central tend

7、ency for US bond yields is approximately 2.0%, reflecting longer-term real rates close to zero and inflation continuing to average no more than 2.0%. This is consistent with our long-held view. HSBCs year-ahead USTreasury forecast has been in the 1.5-2.5% range for the last seven years.We have consi

8、dered how we could be wrongIn our scenario analysis we consider bond-bearish outcomes, the most commonly cited being higher inflation. For this to have more influence on our thinking we would need to see sustained wage increases and a reversal of globalisation effects.We also consider radical policy

9、 proposals like MMT (Modern Monetary Theory) andbelieve that some of the ideas already exist in the interdependence between monetary and fiscal policies.Issuer of report: HSBC Bank plcDisclosures & DisclaimerThis report must be read with the disclosures and the analyst certifications in the Disc

10、losure appendix, and with the Disclaimer, which forms part of it.View HSBC Global Research at:Bonds in 2025Lessons from JapanFixed IncomeRatesGlobal获取报告1、2、3、每周群内7+报告；当日华尔街日报、学人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 关注公号回复：加入“起点财经”群Fixed Income Rates6 August 2019ContentsBonds in 2025 scenariosScenario a

11、pproach to US Treasury forecasts34Turning Japanese8Life below zero IINegative rates are going lowerConstraint 1: Ability to switch into zero yielding cashConstraint 2: Downward pressure on bank earningsConstraint 3: Fear that it does not work1515161821Inflation containedThe possibilities2525QE did n

12、ot result in inflation29Debt got bigger35Interdependence of monetary and fiscal policy41References45Appendix47Disclosure appendix48Disclaimer512Fixed Income Rates6 August 2019Bonds in 2025 scenariosWe are not changing our view from Bonds in 2021, but are updating it with Bonds in 2025Negative policy

13、 rates, disinflation, QE not working, growing debt levels, and rejuvenation of radical ideas inform our scenarios which include more Japanification, a lower neutral rate, a base case, and how we can be wronguuuBrave or foolish?We were motivated by the need to update “Bonds in 2021” after recent mark

14、et developments and not least because we published it back in 2016. Taking on the initial task was either brave, foolish, or perhaps a combination of the two! In fact, we were given a lesson in humility very soon after it came out. The US presidential election (November 2016) brought both a surprise

15、 result and the opposite bond market response to the UKs Referendum on the EU five monthsbefore. Temporarily, the low-for-longer theme was interrupted.Interruptions to long-term trends happenDeveloped market bond yields are currently either close to the same level or lower than almost three years ag

16、o. The themes listed below draw from the experience from that period, and form the basis of Bonds in 2025. Each is discussed in five separate chapters of the paper andcontributes to the scenario analysis and projections for US bond yields.Themes that inform the forecast scenarios1.Life below zero II

17、: Negative policy rates in two of the G3 currencies and USD14trn of bond trading with negative yields are an outcome. Reduced use of cash and reduced efficacy of QE mean central banks are preparing to go even further below zero. We have been herebefore, so we call it “life below zero II”.2.Inflation

18、 contained: Inflation expectations consistently failed to come through. We continue to challenge central bank dogma on the role of the Phillips curve and othermainstream views about inflation.Five themes covered in five chapters3.QE has not resulted in inflation: QE is now a regular policy tool, but

19、 it has been badly misunderstood. It never added to inflation expectations despite earlier claims. The best thatcan be said is that it buys time.4.Debt got bigger: Increasing debt from over-indebted levels for a given level of growthrequires a lower rate of interest for it to be sustainable. The del

20、everage never happened.5.Interdependence of fiscal and monetary policy: Fiscal policy consequences come from monetary actions, so they are complements. Going further, the interdependence of monetary and fiscal policy is recognised by MMT (Modern Monetary Theory), which isgaining favour with some pol

21、iticians.3Fixed Income Rates6 August 2019Scenario approach to US Treasury forecastsOur US yield forecasts have been consistently low, ranging between 1.5% and 2.5% for the last seven years. Lower-for-longer1 has had its challenges, but we continue to believe 2.5% represents the top of the fair value

22、 range.Many of the assumptions behind mainstream thinking have been found wanting, largely because they have been guided by central banks consistently well-served with an optimistic bias to forecasting inflation and growth. Our preference is to focus on the long-term structural themes and key driver

23、s behind persistently low real neutral rates and inflation expectations.The current US Treasury yield is informed by the central tendency of the Feds guidance. This guidance has changed significantly over the past year. The scenarios in 2025 could be very different from todays view. It is identifyin

24、g these scenarios and attaching probabilities to them that informs our forecasts.Forecasting bond yields in 2025 central tendency 2.0%The fair value for the 2025 yield should reflect a probability weighting of various scenarios. The world may look a lot different in six years from now, so we should

25、consider a broader range of scenarios, including those where 10-year yields are as low as 0.5%, but others are as high as 4.0% (Table 1). However, not all scenario outcomes should be equally weighted, not least because the last three years have taught us not to underestimate the structural drags on

26、yields that are the focus of this report.We look through the near- term noiseTable 1. 2025 yield scenarios with the subjective weightingsYield scenario10-year yieldEqual weightBond bearishBond bullishHSBCWe have considered a broad range of scenariosJapanLower neutral Unchanged Bounce back Higher inf

27、lation Weighted yieldSource: HSBC0.5%1.5%2.0%3.0%4.0%20%20%20%20%20%2.2%5%10%35%30%20%2.6%20%35%30%10%5%1.7%10%30%35%20%5%2.0%Scenarios for lower yieldsInforming the low yield scenarios are the persistence of policy rates below zero in two of the G3 currency regions, Japan and Germany. We discuss ho

28、w these rates may go lower still.Investors in a total of about USD14trn bonds are experiencing what we call Life below zero2 and this pool of bonds could increase, dragging US yields still lower. More conventional forecasts for a US recession or even, at the extreme, a full-blown Japan-scenario woul

29、d point to lower yields. A recession is a short-term event, but it typically results in a lower longer-run neutral funds rate.Scenarios informing the base caseThose scenarios closer to the base case reflect current valuations and consensus expectations. When forecasters are projecting what can happe

30、n, the base-case scenario will be reflected in an unchanged market view.Scenarios for higher yieldsFor a scenario where yields could go higher we think of the elephant in the room3, occupied by helicopter money and rejuvenated interest in MMT (Modern Monetary Theory). Perhaps sustained upside growth

31、 in wages, a sort of Murphys Law outcome, could put this scenario back on the table. This is when having called it for most of the last decade, the inflationistas might finally be proved right on inflation. It could equally be a bounce back to a more traditional scenario. A year ago, the FOMCs longe

32、r-run dot put a 3% rate in focus.1 Major, S., Lower for longer: Challenges to our bond view, 1 September 20172 Major, S. and Dyer, L., Life below zero: Bond yields and deeper negative rates, 26 February 20163 Major, S. and Ward, K., The real elephant in the room: Why helicopter money could be a game

33、-changer, 25 May 20164Fixed Income Rates6 August 2019Our central tendency of 2.0% for the 10-year US Treasury in 2025 reflects a longer-run equilibrium policy rate of around 2.0%. The economys response to a 2.35% IOER reinforces our lower for longer view. We also see fewer risks to this view and low

34、er guidance by theFOMC. Hence the change in the end-2019 yield forecast.To assess the risk versus reward for todays yield curve, we compare the 2025 forward to bullish and bearish scenario weightings; the weightings are purely subjective and readers are welcome to adjust these according to their own

35、 forecasts. Our bullish and bearish weightings give expected values of 1.7% and 2.6%, respectively. As the six-year forward 10-year Treasury yield is near 2.50%, to expect bond yields above the forward over the longer-term it isnecessary to assign very high probabilities to the bearish scenarios (Ta

36、ble 1).Six year forward, 10-year US Treasury yields are 50bp above where we see central tendencyOur approach to US Treasury forecasts for end-2019 and end-2020Having established the central tendency for rates in the longer term, we work back from this to establish our near-term views for 2019/20. Th

37、e analysis is based on scenarios for a path of Fed funds for which we then estimate fair value yields for US Treasuries (see Table 2).Again we consider a risk versus reward view. The market has typically had a dovish bias versus the Feds guidance, which is observed in the 10-year yields 1.75-2.15% r

38、ange since the June meeting. Our forecast reflects continued stress on trade and the markets likely reaction. Thus, we put the greatest weights on the insurance and recession views. Note that a recession neednot occur for the bond market to price one in.The Fed funds scenarios (Table 3) set the path

39、 for overnight interest rates and from this wedetermine a fixed coupon yield that will give the same return to maturity as rolling the overnight rate for that same funds scenario.Table 2. Breakeven yields for bonds based on several scenarios for Fed funds pathMaturityYield curve on 5 August 20192yr1

40、.57%5yr1.52%10yr1.71%Potential Fed funds paths and breakeven US bond yieldsJapan RecessionInsurance ease/base case Jun-19 Fed “dot plot”Return to Dec-18 “dot plot” path Higher inflationSource: HSBC, Federal Reserve1.22%0.81%1.83%2.28%2.30%2.13%0.69%0.65%2.16%2.36%2.63%3.09%0.52%1.25%2.28%2.38%2.65%3

41、.49%Table 3. Assumptions underlying the scenariosScenarioJapan Recession25bp rate cut in Sep-19, then cuts of 25bp per quarter to a 50bp end pointCuts at a pace of 50bp per quarter until 25bp, then 2Y pause, then hikes of 25bp per quarter to 2%Cuts of 25bp per quarter until 1.75%, then 1Y pause, the

42、n hikes of 25bp per quarter to 2.5% One 25bp rate cut in 2020 from the upper bound, followed by a 25bp hike in 202125bp rate cut in Sep-19, then 1Y pause, then follow Dec-18 “dot plot” pathOne 25bp cut to 2%, then 1Y pause, then hikes at a pace of 25bp per quarter to 4%Insurance ease/base case Jun-1

43、9 Fed “dot plot”Return to Dec-18 “dot plot” path Higher inflationSource: HSBC, Federal ReserveThis breakeven analysis for Treasuries at various tenors has proven to be a useful tool for identifying when the yield curve is over or undershooting the likely funds path and enhances our risk-versus-rewar

44、d approach. For example, the December 2018 “dot plot” scenario gives a 10-year yield of 2.65%, which is well below the recent high (3.24% on 8 November 2018).This reflects todays more dovish near-term funds path and lower long-run dot, which would notbe captured in a traditional historical risk anal

45、ysis.5Fixed Income Rates6 August 2019Considering risksThe conventional forecast process attempts to specify a single rate for each future date. This is a hopeless task, in our view4. Reasonably likely economic scenarios provide a wide range of potential yields for a given date, as highlighted in Tab

46、le 2. An alternative approach considers the central tendency and the risks to it (see Figure 1 for a stylized example of this). Our central view is that US rates will be pulled lower over the coming year. The upper end of the range is near the recent yield peaks. The lower end is defined by a recess

47、ion scenario.We consider a central tendency for rates and the risks to itFigure 1. A better forecast process should reflect uncertainty and risk1.21.0Q3 '19Q4 '19Q1' 20Q2' 20Q3' 20Q420Source: HSBC, BloombergYield curve shifts and attributions from real and infla

48、tion shifts (see Figures 2-5)We compare the yield lows of July 2016 experienced after the UKs EU Referendum (23 June 2016). The vertical bars show both 2016 and 2019 five-year swap yields at different forward points; spot, one year, five years, and 10 years. Black diamond shapes show the nominal yie

49、ldlevel, red shading represents the proportion of real yield, and the grey, inflation expectations.US real yield curve steepness reflects the fiscal looseningOver the last three years the US real yield curve has steepened, which is mainly because of the large fiscal stimulus put in place after the U

50、S presidential election in November 2016. It is the steepness in the US curve beyond the 10-year segment that contributes to near-term value inthe forwards, with the six-year forward 10-year rate near 2.50%.Eurozone and gilt yields are below the low points of three years ago, before we published Bon

51、ds in2021, and the UK voted to leave the EU. US yields, however, are still above this level.Most significantly, it is the presence of inflation expectations that is holding nominal yields up inthe UK. In the eurozone, inflation expectations are modestly below the levels from three years ago and nomi

52、nal yields are even lower given the drop in real yields (see Figures 2-5).Japans YCC, now in place for almost three years, has seen stable yields and helped tomanage steepness in the 10yr+ segment of the curve.4 Major, S , Dyer, L. and McDonald, M., Forecasting myths: Common misperceptions in the bo

53、nd bear case, 30 January 2017610Y yield (%)Upper end of rangeCentral tendencyLower end ofrangeFixed Income Rates6 August 2019Figure 2. US forward inflation expectations unchanged, real yields higherUS forwards close to 2016 levels. Real yield curve steepens3NominalInflation2105 Jul 20162019Real-1Spo

54、t1YForward start 5Y10YSource: HSBC calculations, BloombergFigure 3. UK forward yields back to where they were three years agoUK inflation expectations stayed elevatedSource: HSBC calculations, BloombergFigure 4. Eurozone real and inflation forwards lower than three years agoEurozone real yields are

55、lower, as are nominal yields21.5InflationNominal10.50-0.5-1-1.5Real5 Jul 20162019Spot1Y5Y10YForward startSource: HSBC calculations, BloombergFigure 5. Japans long-end yields have risen with BoJ YCC (Yield Curve Control)Long-end forwards still above 2016 lows in Japan0.20.10-0.1-0.2-0.3-0.4-

56、0.5InflationNominal5 July 20162019RealSpot1YForward start 5Y10YSource: HSBC calculations, Bloomberg7EUR 5Y rate (%)GBP 5Y rate (%)USD 5Y rate (%)JPY 5Y rate (%)4InflationNominal321-1Real-2-35 Jul 2016 2019-4Spot1YForward start5Y10YFixed Income Rates6 August 2019Turning JapaneseWe believe yields will be close to current levels in 2025, but have taken a deeper look at what can take yields lowe