固定收益资产配置：最后的稻草

1、GlobalFixed IncomeRatesFixed Income Asset AllocationThe last strawTHIS CONTENT MAY NOT BE DISTRIBUTED TO MAINLAND CHINAIt was the straw that broke the camels back. COVID-19 has been the catalyst for a huge shock. to a vulnerable, highly leveraged, interconnected global economy that was slowing anywa

2、yWe maintain cautious stances in Credit and EM and have not changed our main G4 yield forecasts6 April 2020Flow-effect dominates for nowPage 4In developed markets QE flows dominate the increased supply from fiscal loosening. The fragile state of the overly-indebted global economy prior to COVID-19 m

3、eans that we will now enter a long, drawn-out process, littered with restructuring and reorganisation. In such a shock the growth-fiscal relationship is most unlikely to be linear, a view reflected in our cautious allocations to credit and EM.China continues to be an exceptionPage 25 The PBoCs modes

4、t pace of easing contrasts with the rest of the world and China rates stand out as both a steady and strong performer. In a similar vein to the DMmarkets described above, liquidity measures for now overwhelm the fiscal loosening,which has anyway been modest in comparison to the rest of the world.Cre

5、dit is not out of the woods yetPage 10 and Page 18 Where there are opportunities in investment grade and this is confined to the highest quality - we prefer to take risk in primary markets, given attractive new issueconcessions. EUR HY is likely to face a climb in default rates in the coming monthsa

6、nd we note that without direct equity injections, extending loans to HY firms only increases their leverage at a time when revenues are severely constrained.Yield curve control, Australia stylePage 23 A number of countries now use tools to engineer their curve slopes. The RBA is a relatively new ent

7、rant to this game and has built credibility in its “around 0.25%”three-year bond yield target through aggressive up-front purchases, and the curvehas flattened out to the 10-year point. 2020 Institutional Investor surveyIf you value our service and insights, please voteII Research has acquired the E

8、xtel survey Voting extended click here to vote High-grade Euro SSA spreads should tightenPage 17 Euro supras and agencies have suffered from illiquidity in volatile market conditions. We think the combination of cheap valuations, ECB support and the possible erosionof sovereign “safe haven” premiums

9、 from common issuance should see spreadsnarrow as markets find a new equilibrium.Steven Major, CFAGlobal Head of Fixed Income Research HSBC Bank plc HYPERLINK mailto:steven.j.major steven.j.major+44 20 7991 5980Disclosures & DisclaimerThis report must be read with the disclosures and the analyst cer

10、tifications in the Disclosure appendix, and with the Disclaimer, which forms part of it.Issuer of report: HSBC Bank plcView HSBC Global Research at:https: HYPERLINK / /ContentsTOC o 1-2 h z u HYPERLINK l _TOC_250028 Convictions and forecasts 3 HYPERLINK l _TOC_250027 Global direction 4 HYPERLINK l _

11、TOC_250026 Americas 7 HYPERLINK l _TOC_250025 US 7 HYPERLINK l _TOC_250024 Canada 8 HYPERLINK l _TOC_250023 USD supras & agencies 9 HYPERLINK l _TOC_250022 USD Credit 10 HYPERLINK l _TOC_250021 Latin America 10 HYPERLINK l _TOC_250020 EMEA 12 HYPERLINK l _TOC_250019 Eurozone core 12 HYPERLINK l _TOC

12、_250018 Eurozone non-core 13 HYPERLINK l _TOC_250017 Euro breakevens 14 HYPERLINK l _TOC_250016 UK 14 HYPERLINK l _TOC_250015 UK Breakevens 15 HYPERLINK l _TOC_250014 EUR supras and agencies 16 HYPERLINK l _TOC_250013 Covered bonds 16 HYPERLINK l _TOC_250012 European Credit 17 HYPERLINK l _TOC_25001

13、1 CEEMEA Rates 18 HYPERLINK l _TOC_250010 Green bonds 19 HYPERLINK l _TOC_250009 Asia Pacific 21 HYPERLINK l _TOC_250008 Japan 21 HYPERLINK l _TOC_250007 Australia 22 HYPERLINK l _TOC_250006 New Zealand 23 HYPERLINK l _TOC_250005 Asia credit 23 HYPERLINK l _TOC_250004 Asia rates 24 HYPERLINK l _TOC_

14、250003 Currencies 26 HYPERLINK l _TOC_250002 Forecasts 27 HYPERLINK l _TOC_250001 Disclosure appendix 29 HYPERLINK l _TOC_250000 Disclaimer 32Convictions and forecastsMildly bullishMildly bullishBullishMildly bullishTable 1. The HSBC Conviction Snapshot: our one month outlook on the fixed income ass

15、et classesConviction*IndexYieldReturns (%)1 monthNameDuration02 Apr (%) 1 month (bp)1 month3 monthYtdUS TreasuryNeutral BUSY7.140.55-423.318.648.64Euro coreMildly bullishI05760EU8.33-0.5015-1.391.892.24Euro non-core LTITTREU7.101.2150-2.47-0.70-0.80NeutralUK giltMildly bullishLSG1TRGU13.710.46-132.2

16、17.157.77Japan govtBEPAGA9.950.0411-1.46-0.25-0.24NeutralCanada govtNeutral I05500CA7.270.67-352.395.776.22Australia govtMildly bullish BEASGA7.090.59-130.624.664.87Global inflationiBoxx inflation12.13-0.9423-3.99-1.94-1.62CoverediBoxx Covered5.010.1537-1.88-1.88-0.21Euro SSAiBoxx Sub-sovereigns7.26

17、0.3634-2.71-0.280.01USD SSAiBoxx Sub-sovereigns3.872.087-1.501.261.37*HSBC FI Research opinion, direction of arrows indicates change of view from previous month Source: Bloomberg, iBoxx, HSBCEM EXDMildly bearish JPMGCOC JGG$DCMiBoxx EUR Corporates iBoxx EUR High YieldBloomberg US Corporates* Bloombe

18、rg US High Yield*iBoxx ADBI74.927.05.41.967.203.469.734.0720241139358105.82367.00106-13.8-11.1-6.76-13.76-7.31-12.70-5.64-13.4-15.2-6.03-15.25-3.99-13.71-2.81-13.4-15.2-6.03-15.25-3.82-13.61-2.88EM LCDBearishEuro IGMildly bearishEuro HYBearishUS IGMildly bearishUS HYBearishAsia

19、creditNeutralNotes: Bloomberg indices are used, except for inflation, covered 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 co

20、rporates, covered bonds and SSAs are euro-denominated.*Bloomberg Barclays US Corporate/High Yield.Table 2. Forecast summary: 10Y yields (%)countrycurrent+1mQ2 20Q3 20Q4 20Q1 21Q2 21Q3 21United States0.600.600.60 (-)1.05 (-)1.50 (-)1.50 (-)1.50 (-)1.50 (n/a)Germany-0.43-0.55-0.70 (+0.05)-0.60 (+0.05)

21、-0.60 (-)-0.55 (+0.05)-0.50 (+0.10)-0.50 (n/a)France0.050.00-0.10 (+0.35)-0.15 (+0.20)-0.20 (+0.10)-0.20 (+0.10)-0.20 (+0.10)-0.20 (n/a)Italy1.471.551.50 (+0.25)1.30 (+0.25)1.15 (+0.35)1.15 (+0.55)1.15 (+0.55)1.10 (n/a)Spain0.710.650.60 (+0.50)0.40 (+0.35)0.20 (+0.20)0.20 (+0.20)0.20 (+0.20)0.20 (n/

22、a)United Kingdom0.330.100.10 (-)0.40 (-)0.40 (-)0.40 (-)0.40 (-)0.40 (n/a)Japan-0.01-0.20-0.20 (-)-0.15 (-)-0.10 (-)-0.10 (-)-0.10 (-)-0.10 (n/a)Canada0.610.600.60 (+0.15)0.85 (-)1.25 (-)1.25 (-)1.25 (-)1.25 (n/a)Australia0.770.600.75 (-)0.90 (-)1.00 (-)1.00 (-)1.00 (-)1.00 (n/a)Source: HSBC, Bloomb

23、erg. Change from last month shown in parentheses.Global directionThe resolution to the current crisis is likely to be a long drawn-out process because the shock hit a vulnerable global economyZero rates and QE pin bond yields to the floor but with such massive fiscal looseningwe now have to judge ho

24、w long the flow-effect containing yields can lastSteven Major, CFAGlobal Head of Fixed Income ResearchHSBC Bank plc HYPERLINK mailto:steven.j.major steven.j.major+44 20 7991 5980The fall-out from COVID-19 will mean recovery is likely to be slow and complexThe Fed over-tightened in 2017-18 and was al

25、ready in easing modeThe last strawThe assumptions behind V shape recovery forecasts assume that the explanations for the weaker GDP numbers around the world are all related to COVID-19. The narrative goes that when things gets back to normal so will the economic data. Such a view ignores that 1) the

26、 world has just been hit by a once-in-a-100-year event and 2) the debt-fuelled global economy was looking fragile.First, it may be years before the lost output of the fall-out from COVID-19 is replaced in the US and Europe, we just dont know. Our economists did an admirable job with what data is ava

27、ilable (see Global Economics: Shockdown, Q2 20, 2 April 2020). China shows some signs of recovery after strongly-enforced lockdowns but there is only so far this comparison goes.Western democracies have to manage the fine balance between lockdown, economic slump and individual liberties.Recovery is

28、going to be a complex process, littered with defaults, restructuring and business re- organisations. The outcome from a once-in-a-100-year shock to the real economy is surely that nothing will be the same. In times of shock the growth-fiscal relationship is not symmetrical. We cannot imagine anythin

29、g but a long drawn-out process, such that it would be a relative success if the output lost this year is replaced by the end of 2021. The truth is we just dont know.Its what you know for sure that just aint so It aint what you dont know that gets you into trouble.Often attributed to Mark Twain, Amer

30、ican author (1835-1910)Second, blaming the slowdown on the virus completely misses the observation that the Fed over-tightened in 2017-18 (see Fixed Income Asset Allocation: Cant hike, might cut, 9 May 2019). Through 2019 the yield curve and other indicators (Figure 1) were pointing to a high probab

31、ility of a US recession in 2020 and our machine learning approach was calling for a credit bear-market (see Global Credit Strategy: In the foothills of a bear market, 3 March 2020). Before the pandemic hit the Fed was already in easing mode and we were seeing stress in the highly interconnected doll

32、ar-based financial system.Prior to COVID-19, recession was already being anticipated by bonds but not by equitiesFigure 1. NY Fed Recession probability based on 10Y-3M spreadNBERRecessionNY Fed probability of recession in 12m50%45%40%35%30%25%20%15%10%5%0%88 89 90 91 92 93 94 95 96 97 98 99 00 01 02

33、 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20Source: NY Fed, NBER, HSBCMore buyers of bonds than sellers for nowAll was not well. The stock market may have been trading at record highs earlier this year but low bond yields were giving a different message, consistently defying consensus expe

34、ctations. Our view was that US and European markets were not pricing a large enough probability of Japanification (see Bonds in 2025: Lessons from Japan, 6 August 2019). All of a sudden we find that bond yields are pricing a base-case much closer to the full-blown Japan scenario.COVID-19 may prove t

35、o have been the catalyst for the bursting of the debt-fuelled bubble.Flow-effect overrides fundamental valuations for nowFor the foreseeable future the buying of bonds by developed market central banks will be more than sufficient to absorb what is being issued by their respective governments. The s

36、urge in bill issuance deals with the immediate demands for cash in G4 countries and bond investors will be thinking about how this eventually gets termed-out through supply of longer maturities. Our view is that this flow-effect will keep yields where they are for the next few months.Interest rates

37、are at the zero bound or lower across the G7 and most countries are operating QE programs that will dictate whether the curve steepens or flattens around the front-end anchor. Todays bond valuations assume rates at zero for a long period and then normalisation to some equilibrium level. But do we kn

38、ow what equilibrium is? The Feds dot plot was not published 18 March because they had already embarked on emergency easing measures. The longer-term dot was 2.50% at the December 2019 meeting, we would anticipate that it might be a fair bit lower than that now.Figure 2. US yields have fallen much mo

39、re than those of Bunds and UK giltsUS yields have collapsed compared to others in G4 over the last six months0.6US TsyUK giltBund0.4Rebased* 10Y yield (%)0.20.0-0.2-0.4-0.6-0.8-1.0-1.2Sep 19Nov 19Jan 20Mar 20Source: HSBC, Bloomberg*rebased to zero from 2 September 2019Fed daily purchases were, at on

40、e point, equivalent to USD30trn per year. We dont see how this is sustainable.What are 10-year Treasuries at 60bp telling us? Well the short answer is something much closer to a Japanification. We can also see that US yields have collapsed compared to others in G4 over the last six months (see Figur

41、e 2). This says that the US has been either catching-up with everyone else and/or being hit disproportionately hard by the anticipated slowdown.The more quantitative answer using pure expectations would make assumptions about how long short rates remain at zero and then estimate the period of time i

42、t would take before they reached equilibrium. This level of yield says rates are on hold or lower for the next three years and then gradually increasing to somewhere around 1.0% over the next two.Then there is all the supply and the question of when will the Feds QE be tapered? The numbers are stagg

43、ering. In the space of a few weeks the US budget deficit for 2020 has surged to above 10% of GDP as the US Congress authorised a fiscal package of over USD2trn. And they may not be done yet; the US Treasury will be issuing a lot more debt (see US rates: USD2trn supply surge, rates stay low, 31 March

44、 2020).We are wondering how the heavy bill supply eventually gets termed-out into longer-dated securities and what will happen when the Feds QE is tapered. As it stands the supply is being more than taken out by the QE. The Feds daily purchases reached USD125bn per day, the equivalent of USD30trn pe

45、r year. We are looking for clarity on what comes next.Fiscal loosening of more than 10% GDP is not unusual in the global context. Japan has just taken measures of a similar size, within the G7 the UK and Italy are doing even more. We believe that engineering the yield curve with some form of YCC (yi

46、eld curve control) will be necessary (see Captain America: Yield curve control next, 20 Mach 2020) and that the extent of the debt challenge is such that it will take a long time, maybe decades, to run down (Figure 3).Figure 3. Government debt levels near historical highsUSDITLGBPJPYWW2WW1Gross Cent

47、ral Govt Debt/GDP (%)250200Debt levels will soon be challenging recent record highs150100500190019251950197520002019Source: HSBC, Reinhart and Rogoff, ONS, FRED, World Bank Note: Reinhart and Rogoff until (including) 2008. From 2009, UK total net govt debt (ONS), US total public debt (FRED), Japan c

48、entral govt debt (WorldBank), Canada central govt debt (FRED), Italy govt gross debt (IMF)The yield forecastsWe should be cautious about making predictions at a time like this. Last month we took a bold approach by saying we dont know (see Fixed Income Asset Allocation: A game of two halves, 9 March

49、 2020). The forecasts for year-end were left unchanged, at 1.50% for 10-year Treasuries for example, and we turned our focus to the near-term, with a 60bp forecast for Q220. Today we think G4 yields will be dominated by the central bank flow-effect, so will stay low with a bias to curve flattening,

50、at least through Q2. For the April Asset Allocation, we are keeping the same approach and noticed we are not alone: “writing down a forecast didnt seem to be useful” (Fed Chair Jerome Powell, 15 March 2020).AmericasWe switch to neutral in USTs after massive action by the Fed and a huge fiscal stimul

51、us package, focussing for now on curve movesDont mistake the Feds corporate bond purchases for QE: we stay mildly bearish USD IG and turn bearish HYAs an oil importer, Chile may be better placed to weather the crisis than other LatAm countriesUSLawrence DyerHead of US Rates Strategy HSBC Securities

52、(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 5126Shift to neutral from mildly bullishAt the time of writing, the 10-year notes yield is at our 2Q f

53、orecast of 60bp. We thus shift from mildly bullish to neutral. Better positioning opportunities will be available if and when yields move towards the extremes of our expected ranges. For the two-year, 20-50bp and for the 10- year 50-90bp. The curves dynamics should favour front-end flattening and lo

54、nger-end steepening opportunities over the coming months.The Fed has initiated a massive bond buying program, purchasing USD75bn of Treasury debt and USD50bn of agency mortgages each day. Its balance sheet increased by over USD1trn, or 25% in just two weeks. In addition, it created support programs

55、for investment grade corporate bonds and ETFs. Conditions have improved as a result, but are far from normal: we expect volatility to remain high. March also saw two surprise eases totalling 150bp and a cancelled FOMC meeting, which points to how unusual the times are.The US Congress passed a USD2.2

56、trn stimulus package, equal to 10% of GDP. This will seeThe UST curves dynamics should favour front-end flattening and longer-end steepening opportunitiesthe T-bill supply ramp up quickly (US rates: USD2trn supply surge, rates stay low, 31 March 2020). However, supply often does not matter (see Fisc

57、al Fallacies, 20 January 2020). The Fed outlook typically drives front end valuations. For example, the two-year yield ranged between 20 and 40bp when the Feds dot plot provided a form of yield curve control from 2011 to 2014. The three-month bill range was 0 to 10bp over this period.Figure 4. The 9

58、5bp yield range shows what a long strange trip this month has been10Y UST yield1.751.501.25Yield (%)1.000.750.500.2517 Feb24 Feb02 Mar09 Mar16 Mar23 Mar30 Mar06 AprSource: HSBC, BloombergLawrence DyerHead of US Rates Strategy HSBC Securities (USA) Inc. HYPERLINK mailto:lawrence.j.dyer lawrence.j.dye

59、r+1 212 525 0924Shrey Singhal, CFA Fixed Income StrategistHSBC Securities (USA) Inc. HYPERLINK mailto:shrey.singhal shrey.singhal+1 212 525 5126TIPS: mildly bullishWe remain mildly bullish on 30-year TIPS breakevens as a core view. This has been our theme for some time, and we recognize that there h

60、as been significant volatility in this spread over the past few months. We found that the long-end of the TIPS curve offered the best return relative to the risk of loss for our scenarios when compared to corporate and high yield bonds over a month ago (see DM Rates Ideas, 28 February 2020).We favou