下面是小编为大家整理的对波动不定固定收益市场看法,供大家参考。
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See
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
companies
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.
Though ts on
volatile
fix ed
income
markets March
2020
U.S. interest rates Summary
of
views
• Treasury 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 anticipated return to ZIRP, we expect the yield curve to trade directionally—flattening in rallies, and vice versa.
We expect this dynamic to be more pronounced at the front end rather than the long end • Dislocations in off-the-runs are increasing to levels not seen in years, and given the liquidity preference for on- the-runs, off-the-run Treasuries appear cheap • Given the decline in nominal yields, increase in risk aversion, and drop in oil prices, front-end TIPS have approached historically-cheap levels • To date, the widening in FRA/OIS is mostly technical, with Libor lagging moves in Fed funds expectations. • 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 opportunities to sell swap spreads—at 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 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 large
…and are implying significantly below-trend
10-year
Treasury
yields;
%
16
1-year
ahead
GDP
growth
implied
by
J.P.
Morgan
10-year
fair
value
model* versus
Blue
chip
consensus
1-year
ahead
growth
forecast;
%
4.5
12
4.0
3.5
3.0
1y-ahead
Growth
Forecast;
%
UST-implied
growth
expectations
8
8
2
Mar
15
Mar
16
Mar
17
Mar
18
Mar
19
Mar
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
model
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
=
95%,
SE
=
10bp
Source:
J.P.
Morgan,
BlueChip,
CFTC
growth over the next year Treasury yields have declined to historic lows…
8
2.5
2.0
4
1.5
1.0
0
0.5
1978
1988
1
99
200
018
0.0
Average
1-year
z-score
of
net
longs
in
J.P.
Morgan
Treasury
Client
Survey and
aggregate
non-commercial
net
longs
in
Eurodollar
and
Treasury
futures 3
2
1
0
-1
-2
-3
-4
Mar
15
Mar
16
Mar
17
Mar
18
Mar
19
Mar
20
10-year
Treasury
market
depth*,
one-week
moving
average;
$mn
400
300
200
100
0
Mar
10
Mar
12
Mar
14
Mar
16
Mar
18
Mar
20
Source:
J.P.
Morgan,
CFTC
*
Market
depth
is
the
sum
of
the
three
bids
and
offers
by
queue
position, averaged
between
8:30
and
10:30am
daily
Source:
J.P.
Morgan,
BrokerTec
Over the past week, Treasury market depth has averaged levels not observed since late 2008 Short covering contributed to the decline in yields, and positions are neutral now
…and though the general relationship holds for the
2s/10s
Treasury
curve
regressed
on
10-year
Treasury
yields
(%)
over
Dec 15,
2007
-
Dec
15,
2008
and
Dec
16,
2008
-
Dec
16,
2009
periods;
bp
10s/30s
Treasury
curve
regressed
on
10-year
Treasury
yields
(%)
over
Dec
15,
2007
-
Dec
15,
2008
and
Dec
16,
2008
-
Dec
16,
2009
periods;
bp
300
250
200
150
100
50
120
100
80
60
40
20
Dec
16,
2008
-
Dec
16,
2009 y
=
14.528x
+
35.218
R²
=
27.56%
Dec
15,
2007
-
Dec
15,
2008 y
=
-5.206x
+
82.241
R²
=
1.22%
2.0
2.5
3.0
3.5
4.0
4.5
10-year Treasury yields; % 2.0
2.5
3.0
3.5
4.0
4.5
10-year
Treasury
yields;
%
Source:
J.P.
Morgan
Source:
J.P.
Morgan
long end as well, it is substantially looser The directionality of the front-end curve shifted sharply following the Fed"s move to the ZLB... Dec
16,
2008
-
Dec
16,
2009 y
=
82.053x
-
36.937
R² = 91.29% Dec
15,
2007
-
Dec
15,
2008 y
=
-43.147x
+
324.03
R²
=
15.55%
Dispersion along the Treasury curve has moved higher over the past week and sits modestly
…and off the runs have cheapened substantially
Root
Mean
Square
Error
of
J.P.
Morgan
part
fitted
Treasury
curve*;
bp
3.5
3.0
2.5
2.0
1.5
1.0
0.5
Current/tripled
old
10-year
Treasury
matched-maturity
swap
spread
curve;
bp
1
0
-1
-2
-3
-4
-5
-6
-7
Mar
10
Mar
12
Mar
14
Mar
16
Mar
18
Mar
20
-8
Mar
15
Mar
16
Mar
17
Mar
18
Mar
19
Mar
20
*
For
more
details,
see
The
new
and
improved
Treasury
par
curve
model, 7/16/18
Source:
J.P.
Morgan
Source:
J.P.
Morgan
over the last week above averages observed over the past decade…
Brent
(LHS)
RBOB
(RHS)
Oil and gas prices have collapsed, falling 25-30%,
Rolling
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 lowest levels on record 1Yx1Y
and
5Yx5Y
inflation
swap
rates;
%
87
2.28
77
2.08
67
1.88
1.68
57
1.48
47
1.28
37
1.08
27
0.88
3.40
2.90
2.40
1.90
1.40
0.90
1Yx1Y
5Yx5Y
Mar
15
Mar
16
Mar
17
Mar
18
Mar
19
Mar
20
Mar
10
Mar
12
Mar
14
Mar
16
Mar
18
Mar
20
Source:
J.P.
Morgan
Source:
J.P.
Morgan
to their lowest levels since early 2016…
Rolling
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 expectations tend to lag Libor Rolling
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;
%
30%
25%
20%
15%
10%
5%
-40%
Jan
06
Jan
08
Jan
10
Jan
12
Jan
14
Jan
16
0%
Jan
18
May
18
Sep
18
Jan
19
May
19
Sep
19
Jan
20
Source:
J.P.
Morgan,
BBA,
ICE
Source:
J.P.
Morgan
Libor has historically had little connection to term bank credit, even in crisis conditions All
>0.5
sigma
>1
sigma
The sharp rise in post-close moves points, if … but operational risk management could drive a
Price
impact*
in
30-year
Treasuries
both
midday
and
after
Chicago
pit
close (ticks/$100mn)
along
with
21-day
std
dev
of
3-5pm
moves
in
30Y
yields
Notional
of
gross
levered
fund
shorts
by
contract
(LHS;
$bn)
as
well
as
that as
a
fraction
of
total
government
MMF
AUM
(RHS;
%)
(bp/2hr)
2.5
2.0
1.5
1.0
0.5
0.0
Mar
19
Jun
19
Sep
19
Dec
19
Mar
20
*Price
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,
BrokerTec
700 600 500 400 300 200 100 0 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18 Jan-20
Source:
J.P.
Morgan,
Reuters
30%
25%
20%
15%
10%
5%
0% material cheapening of the basis anything to richer WN cash/futures basis …
price
impact
(NY
session) price
impact
(post-close)
21-day
std
of
post-close
moves
TU FV TY TN US WN
% of govt MMF AUM (RHS)
Even as bank portfolio duration has contracted sharply, intermediate swap spreads have remained comparatively stable 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)
Errors
in
CBO’s
budget-year
deficit
projections*;
%
of
GDP
15
10
5
0
-5
-10
-15
-20
$1,000
3
$500
2
$0
1
0
-$500
-1
-$1,000
-2
-$1,500
-3
-$2,000
-4
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Sep
19
Mar
20
Note:
For
details,
see
Is
bank
convexity
hedging
lying
in
wait?,
J.
You...
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