夹在财政与货币政策之间的G10利率与外汇市场

1、April 17, 2020 11:15 PM GMTGlobal Macro Strategist | GlobalStuck in the Middle of TwoG10 rates and FX markets have been caught between the push and pull of central bank monetary policies and government fiscal policies. With the Fed and ECB meetings still over a week away, continued range-bound marke

2、ts seem likely, pending major PMI and German sentiment surprises.Interest Rate StrategyMORGAN STANLEY & CO. LLCMatthew HornbachSTRATEGIST HYPERLINK mailto:Matthew.Hornbach Matthew.HornbachGuneet Dhingra, CFASTRATEGIST HYPERLINK mailto:Guneet.Dhingra Guneet.DhingraDavid S. Adams, CFASTRATEGIST HYPERL

3、INK mailto:David.S.Adams David.S.AdamsAiling DengSTRATEGIST HYPERLINK mailto:Ailing.Deng Ailing.DengAndrew M WatrousSTRATEGIST HYPERLINK mailto:Andrew.Watrous Andrew.WatrousKelcie GersonSTRATEGIST HYPERLINK mailto:Kelcie.Gerson Kelcie.Gerson+1 212 761-1837+1 212 761-1445+1 212 761-1481+1 212 761-048

4、1+1 +1-212-761-5287+1 212 761-3983We continue to suggest being long 30-year US Treasuries. We maintain UKT 2s5s steepeners, Long 10y Portugal vs Short 10y Spain, and Long 10y Ireland vs Short 10y Belgium. We suggest 2s10s NZGB flatteners and 2s10s swap steepeners ahead of a dovish RBNZ. We maintain

5、our 40y JGB outright longs, JPY 20s30s swap flattener, and long 1y7y straddle positions.Currency & Foreign ExchangeUSD weakness should continue, particularly versus AUD, CAD, and JPY, but TGA balances may be a short-term headwind. Eurozone banks have underperformed this year, adding to EUR weakness.

6、 We suggest short EUR/JPY. We expect a dovish RBNZ and look to buy AUD/NZD on dips. We explore near-term JPY drivers and remain bullish.Inflation-Linked BondsWe think the recent decline in 5-year TIPS breakevens presents another attractive opportunity to go long. We also look at how the COVID-19 cri

7、sisMORGAN STANLEY & CO. INTERNATIONAL PLC+Tony SmallSTRATEGIST HYPERLINK mailto:Tony.Small Tony.SmallSheena Shah+44 20 7677-2571STRATEGIST HYPERLINK mailto:Sheena.Shah Sheena.Shah+44 20 7677-6457Gek Teng KhooSTRATEGIST HYPERLINK mailto:Gek.Teng.Khoo Gek.Teng.Khoo+44 20 7425-3842Alina ZaytsevaSTRATEG

8、IST HYPERLINK mailto:Alina.Zaytseva Alina.Zaytseva+44 20 7677-1120Lorenzo TestaSTRATEGIST HYPERLINK mailto:Lorenzo.Testa Lorenzo.Testa+44 20 7677-0337MORGAN STANLEY MUFG SECURITIES CO., LTD.+Koichi SugisakiSTRATEGISThas affected household inflation expectations to this point and consider the potenti

9、al ramifications for actual inflation and JGB linkers.Short-Duration StrategyWe discuss the source of the divergent paths of EURIBOR and LIBOR, HYPERLINK mailto:Koichi.Sugisaki Koichi.SugisakiShoki OmoriSTRATEGIST HYPERLINK mailto:Shoki.Omori Shoki.Omori+81 3 6836-8428+81 3 6836-5466namely worsening

10、 CP conditions in EUR and normalizing CP conditions in the US. We also investigate how T-bill issuance influences the two IBORs. We maintain 2y swap spread tighteners vs U0 FRA/OIS wideners.Interest Rate DerivativesRate level and financial conditions continue to drive US rate vol. The market is pric

11、ing in a dramatic bull flattening or bear steepening in the swap curve. 3y5y vol trades quite rich to 1y5y. Our quantitative model suggests 1y10y could drop further, to the low 60s, should financial conditions improve. We are tactically neutral but structurally bearish vol.Technical AnalysisBullish

12、trends in USTs, CAGBs; bearish trend in JGBs. Very few trends in FX, but EUR/CHF trending lower, EUR/SEK higher.Please click here if you would like to receive the daily Global Macro CommentaryDue to the nature of the fixed income market, the issuers or bonds of the issuers recommended or discussed i

13、n this report may 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 companie

14、s covered in Morgan 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 a

15、nalyst certification 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 communicatio

16、ns with a subject company, public appearances and trading securities held by a research analyst account.Global Macro StrategyMORGAN STANLEY & CO. LLCMatthew Hornbach HYPERLINK mailto:Matthew.Hornbach Matthew.Hornbach+1 212 761-1837David S. Adams, CFA HYPERLINK mailto:David.S.Adams David.S.Adams+1 21

17、2 761-1837Stuck in the middle of twoUsually rates and FX investors only have to deal with one event at a time, and in one country at a time. Sometimes its a central bank easing program, and other times its a government fiscal stimulus package. Even during normal times, investors debate the extent to

18、 which markets appropriately discount events like these and sometimes even debate how and when markets are supposed to do the discounting.The pro-cyclical US fiscal stimulus delivered in the 2017 Tax Cuts and Jobs Act is a perfect example. While it occurred in the context of a Fed tightening monetar

19、y policy, the Fed was raising rates gradually and predictably. Into the end of 2017, when the stimulus passed, and throughout the bulk of 2018, investors worried about the impact of higher government bond supply on Treasury yields.Throughout 2018, we thought market prices had already discounted the

20、pro-cyclical fiscal deficit. And, as such, investors were better served by focusing on other factors that could move markets. In particular, we thought that, by the end of 2017, the rates market had priced in the expected increase in supply well before the US Treasury delivered any of the additional

21、 supply. Furthermore, we thought that markets priced in the expected economic impact of the tax cuts in early 2018.In retrospect, the environment that allowed us to analyze the situation accurately, we think pales in comparison to the complexity of the present. Over the past month-and- a-half, all o

22、ver the world central banks have eased monetary policy and governments have eased fiscal policy simultaneously (see Policy Action Tracker). For both central banks and governments, these programs broke new ground in spirit, size, and pace, among other modalities.How are investors meant to navigate th

23、e push and pull of fiscal stimulus vs. monetary stimulus in developed markets? Fiscal stimulus, all else equal, should raise expectations for growth and inflation, put upward pressure on interest rates (both real and nominal) and on breakeven inflation rates, and strengthen the value of the currency

24、. Monetary stimulus, on the other hand, should put downward pressure on real rates, upward pressure on breakeven inflation rates, and weaken the currency.When both monetary policy and fiscal policy are at play, in different sizes, in different regions, at the same time, there is complexity everywher

25、e. Over the past month, this complexity has manifested itself in volatile, but surprisingly range-bound, rates and currency markets. Many charts now show a sideways consolidation of prices after an extremely volatile first half of March.In rates markets, where the impact of fiscal policy and monetar

26、y policies is most clear cut, weve seen yields across G10 markets move in a sideways range over the past month (see Exhibit 1). The tilt of the consolidation toward lower yields reflects the direction of the initial impulse that began in February.Similarly, the value of the US dollar has moved in a

27、sideways range over the past month. But, differently, the tilt of the consolidation toward a weaker US dollar has been against the impulsive move higher in the US dollars value in March (see Exhibit 2). In both cases, the tilt of these consolidations reflects the power of central banks intervening i

28、n bond markets.Exhibit 1: GDP-weighted G10 10-year yield history%Exhibit 2: Bloomberg USD spot index (BBDXY) historyIndexSource: Morgan Stanley Research, Bloombergr1.01,3000.90.81,2800.71,2600.60.51,2400.40.31,2200.2 1,2000.10.0Jan-20Feb-20 G10 GDP-wMar-20 eighted 10-yearApr-20yield1,180Jan-20Feb-20

29、 BloombeMar-20g USD spot indeApr-20 xSource: Morgan Stanley Research, BloombergFor bond yields, we think the downward tilt in the consolidation reflects the view that central banks will remove more government bond supply than fiscal authorities will provide. For the US dollar, we think the downward

30、tilt reflects the view that the Fed will buy more bonds than other central banks, thereby increasing the supply of dollars by more than other central banks increase the supply of other currencies.In Stuck Between a Rock and a Hard Place, we discuss how markets price each factor fiscal policy and mon

31、etary policy using the US and its markets as a guide.Is the TGA preventing a weaker USD?A key tenet of our USD weakness thesis has been the Feds aggressive actions. By adding unprecedented amounts of USD liquidity into the financial system - through asset purchases, repo operations, and various liqu

32、idity facilities - the supply of available USD liquidity would dwarf the demand for USD - sending the USD weaker over time.This is particularly true as USD demand has been driven as much by actual need as it was by lack of confidence (hoarding liquidity amid high uncertainty). Confidence in the Feds

33、 actions, coupled with its actions themselves, should be sufficient to turn the tide. USD supply should exceed demand and not the other way around, first checking USD strength and eventually leading to its reversal.One factor that has caught our eye, though, is the marked growth in the Treasury Gene

34、ral Account (TGA), or Treasurys checking account at the Fed. TGA has grown to an unprecedented size, rising $400bn in the past two weeks alone. TGA has been rising as the Treasury has increased its issuance rapidly, particularly of cash management bills, to raise funds in anticipation of payouts ass

35、ociated with the PPP loan program.This is important because, if the Fed is adding liquidity by buying assets, and the Treasury is removing liquidity by selling assets, then no liquidity might be added on net. In a QE purchase, the Fed buys a Treasury note or bond from the market in exchange for newl

36、y created bank reserves. Normally, when the Treasury issues debt, it does so to fund spending - so it takes cash from creditors, which is deposited in TGA, but then is quickly transferred out of the TGA to pay for its various programs. The TGA is simply an intermediate step.But what if the funds nev

37、er leave the TGA or sit there for an inordinate amount of time? From the perspective of the Feds balance sheet, this is in effect QE in reverse. Lets say a primary dealer executes two transactions. First, the dealer sells $100mm Treasuries to the Fed in exchange for newly created bank reserves. Its

38、balance sheet is now more liquid. Second, the dealer uses those reserves to buy a $100mm cash management bill from Treasury. Now, the dollar liquidity is gone.Exhibit 3 shows how total reserves in the system have increased relative to the TGA YTD. Due to the Feds liquidity provisions, bank reserves

39、have grown by roughly $1.5tn. However, TGA has grown by $500bn. In effect, TGA growth has offset about 25% of the Feds liquidity provisions, and most of that has occurred in the past two weeks.Perhaps most concerning is that the rate of change in reserves growth is likely to slow while TGA growth mi

40、ght continue at its current pace. Over the past several weeks, the Fed has slowed the pace of daily UST purchases from $75bn/day to $30bn/day, and will slow again to $15bn/day from April 20-24. The Fed has decreased, and will likely continue to decrease, its repo operations as well.Exhibit 3: TGA ha

41、s grown $500bn versus about $1.5tn in excess reserves growthExhibit 4: FX swap line draw growth has slowed to near zero in AprilUSDbn 5004003002001000FX swap line draws outstandingMar 24-Mar 27-Mar 01-Apr 06-Apr 09-Apr 14-Apr 17-Apr ECBBoEBoJSNBRiksbankNorgesDNBRBABanxicoBoKMASTotal outstandingSourc

42、e: Macrobond, Morgan Stanley ResearchSource: Federal Reserve, Morgan Stanley ResearchIts not just POMOs and TOMOs that are likely to slow. Take up from the Feds FX swap lines, for example, has been growing more slowly in the past couple of weeks, with net outstanding draws effectively unchanged mont

43、h to date (see Exhibit 4).The CPFF, which became operational this week, has only seen about $1bn in purchases so far. Take-up at the Money Market Liquidity Facility and Primary Dealer Credit Facility has also been largely unchanged MTD holding steady around $80bn. Many of the other credit programs h

44、ave not yet become operational.So in theory, the TGA could grow fast enough to even overtake total Fed balance sheet growth. This would mean a net decline in bank reserves because TGA and bank reserves are both liabilities on the Feds balance sheet - when TGA rises, excess reserves fall all else equ

45、al - so it would be a net drain, or a net reversal of QE.So for the USD, it seems the TGA so far has been a limiting factor on USD weakness, but it has not blunted the sell-off full stop. USD over the past two weeks has weakened against all other G10 currencies, most notably risk-sensitive ones like

46、 AUD, as well as most EMs (Exhibit 5). Going forward though we need to pay close attention to how the TGA evolves.The chief driver of the TGA will likely be how much Treasury issues in debt to top up its balances versus how much it pays out. For example, yesterday the Treasury paid out$151bn in reba

47、tes as part of the CARES Act, wherein individuals earning less than$75,000 per year would receive $1,200 ($2,400 for couples earning under $150,000) plus $500 per child. The CARES Act allocated $300bn for such rebates, so more may be coming.Looking ahead, we may see further drawdowns as Treasury beg

48、ins paying out funds associated with PPP and SBA loans. The timing of when these funds will be drawn is harder to pin down as many of these will be sent out as physical checks (which are likely to be sent out this week), and the timing of the drawdown is a function of when the recipient receives and

49、 cashes the check. In short, we expect Treasury cash allocations to pick up toward the end of the month.Exhibit 5: USD has almost universally weakened over the past two weeksExhibit 6: Net Treasury bills outstanding are expected to rise further this week$bn$bn7.06.05.04.03.02.01.00.0EURTWD DKK CHF J

50、PY CAD KRW SGD ZAR GBP SEK BRL NOK NZD MXN AUD% Change v USD since 3-Apr250200150100500-50-100-150Bills Issued Bills Maturing CMB IssuanceTotal Cumulative since March 31 (rhs)1200100080060040020031-Mar 01-Apr 02-Apr 03-Apr 06-Apr 07-Apr 08-Apr 09-Apr 13-Apr 14-Apr 15-Apr 16-Apr 17-Apr 20-Apr 21-Apr

51、22-Apr 23-Apr0Source: Bloomberg, Morgan Stanley ResearchSource: US Treasury, Morgan Stanley ResearchWhat about Treasury issuance? We anticipate further increases in issuance. Exhibit 6 shows historical and expected bill issuance based on what the Treasury Department has already announced. Based on t

52、hese figures alone, we expect another $110bn in net issuance of Treasury bills through 23 April. Of course, we should consider this a floor rather than a target, because Treasury can announce additional issuance of regular bills as well as cash management bills.As a result, there is considerable unc

53、ertainty as to the precise day to day movements in the TGA. While we anticipate greater issuance, it is not clear precisely on which days cash management bills will be offered and expectations can easily rise. At the same time, drawdowns may be driven more by the whims of the US Postal Service and A

54、merican taxpayers and business owners than anything else.Still, what seems likely to us is that the overall trajectory for TGA balances is lower. Treasury has been raising cash for a reason - because it has bills to pay based on legislation. So while there remains day-to-day uncertainty as to TGAs t

55、rajectory based on inflows (issuance and tax receipts) and outflows (payments), over time we anticipate a decline as the expected payments are made.Thus, for the USD, TGA growth might be a short-term headwind to USD weakness, but not a structural impediment. In fact, markets may be unprepared for wh

56、at could very well be a large increase in excess liquidity. If TGA were to fall as quickly as it rose ($400bn in 10 business days), that would be the equivalent of the Fed purchasing an extra $40bn in assets per day - or roughly the size of its Treasury purchases every month during QE3.We thus maint

57、ain our USD positions - recommending selling USD against AUD, JPY, and as of this week, CAD as well (see CAD | Selling USD/CAD to 1.34).Our current stance on marketsIn global rates markets, we think that 1) demand from the Fed, 2) supply from Treasury, and 3) negative economic surprises will support

58、 the back end of the Treasury curve. As such, we continue to suggest investors stay long 30y. On the contrary, front-end UST yields are likely to face upward pressure in light of increased issuance, so we suggest 2s30s swap spread curve steepeners and 2y swap spread tighteners vs U0 FRA/OIS wideners

59、. We continue to like 5y TIPS breakevens. Lastly, we are watching an emerging relative value opportunity to being short 3y5y vs long 1y5y.In the euro area, we suggest staying long 10y Ireland against 10y Belgium, as well staying long 10y Portugal vs 10y Spain. Currently, we remain neutral on BTPs gi

60、ven the uncertainty surrounding new figures for net issuance needs in the coming weeks and upcoming rating agency decisions.In Japan, we still see value in long-end JGBs with continued BoJ purchases and demand from lifers, whereas increased issuance in the front-end will likely put cheapening pressu