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The lack
of belie f in
low-for-longer rates resulted in a ‘decade of denial’. We prepare for more of the same
Many
of our year-end
y ield
t argets
and
spread s are
close
t o being
met, so
most of our convictions are ‘neutral’
Thi s said , we
f ind
r elative
value
across global
f ixed
income
North
America
rates
– focus
on curves
a nd spreads
Pa g e
7 It’s likely that the peak for t he
10- to 30-year
slope
ha s alread y been
reached
at the 80bp
le v el . Canada’s polic y rate, currentl y 25b p, could
be
cu t to match the 10bp
US effective
f unds
rate, if t he
economic
outlook
deteriora tes. We like
t he
long-end
o f USD SSA versus Treasuries, noting that much of the year’s supply is likely done.
Eurozone non-core
rates
repricin g Pa g e
13 We wonder
if a
repricing
is
occurring , after interventions
on
bo th the
fisca l
and monetary polic y f ron ts. T he
Nex t Gen eration
EU
f un d, which
can
give
gra nts as
well as
loans , could
well
be
a
watershed
momen t for t he
Eurozone . UK
rates
– front-end domino effect Pa g e
15 O n
balance
we
t hink
money
will
move
up
the curve , resulting
in
a
domino
effect flattening.
Ra tes at the
ver y f ron t -end
alread y refle ct a
stro ng
po ss ibili ty o f a
serie s of rate cuts in to negative
territory: al most 10bp
of easing
is
priced
in
b y F ebruary 2021
and
a
tota l
of 20bp
is
discoun t ed
over t he
nex t 18
month s.
Russia
rates
– central
b ank
ca n cut
fu rther
Pa g e
20 Given
t ha t our curre nt T a y lor rule
e stimates p ut t he
optimal
poli cy rate f or
Russia
well below
t he
curr en t level
at around
0% , we
c ontinue
to e x pe ct a
deep
easing
cy cl e. Howev er, our main
conviction
is
in
t he
magnitude
o f the easing
cyc le , not necessaril y its speed , so
we
see
more
value
in
the bell y t han
the f ro nt- end
of the curv e .
Korea
rates
– not do ne
easing yet
Pa g e
25 We see
good
v alue
in
long-dated
Korea
tre asur y bonds
(KTBs), aft er
they have notabl y underperformed US T reasuries
so
f ar t hi s y ear . T he
underpe rform ance
is largely a result of investors’ concerns of a huge jump in government bond supply. Credit – re ining in our bulli s h ho rns
Pa g e
10
and Pa g e
26 We downgrade
our view
on
Asia
cred it t o
neutral
from mildl y bulli sh, with
s lower global
and
regional
grow th equating
to wider
dispersion
b et ween
the st ronge st and weak est name s in
individual
c red it rating
buc kets. USD
HY
looks
to be
most vulnerable , having
tightened
more
t han
100bp
in
recen t we eks, the
st rong est rall y among
DM
credi t marke ts. T he
spe ctre of def au lts continues
to haun t the EUR
HY marke t and
valuations
no
longer
compensa te for t he
risks. 5
Augu st 2020
Steven Major, CFA Global Head of Fixed Income Research HSBC Bank plc steven.j.major@hsbcib.com +44 20 7991 5980
Disclosures & Disclaimer This report must be read with the disclosures and the analyst certifications in the Disclosure appendix, and with the Disclaimer, which forms part of it. Issuer
of
report:
HSBC
Bank
plc
View
HSBC
Global
Research
at:
https://www.research.hsbc.com
Glob al
Fixed Income Rates Decades not years Fixed
Income
Asset
Allocation
Contents
Convictions
and
forecasts
3
Global
direction
4
Americas
7
US
7
Canada
8
USD
supras
and
agencies
9
USD
credit
10
Latin
America
11
EMEA
12
Eurozone
core
12
Eurozone
non-core
13
Euro
breakevens
14
UK
15
UK
breakevens
16
EUR
supras
and
agencies
17
Covered
bonds
18
European
credit
19
GBP
credit
19
CEEMEA
rates
20
Green
bonds
21
Asia-Pacific
22
Japan
22
Australia
23
New
Zealand
24
Asia
rates
25
Asia
credit
26
Currencies
27
Forecasts
28
Disclosure
appendix
30
Disclaimer
34
iBoxx
inflation iBoxx
Covered
iBoxx
Sub-sovereigns
iBoxx
Sub-sovereigns
12.57
5.09
7.51
3.95
4.92
0.32
0.70
0.70
8.36
1.58
1.49
1.59
9.04
1.57
2.45
4.08
Convictions
and forecasts
Table
1 . T he
HSBC
Con victi on Sn aps hot: ou r
v i e w s
on t he
fi xe d in come
asset classes
for
th e
coming month
Conviction*
Index
Yield
Returns
(%)
1
month
Name
Duration
31
July
(%)
1
month
(bp)
1
month
3
month
US
Treasury
◄
Neutral
►
LUATTRUU
►
I05760EU
►
LTITTREU
►
LSG1TRGU
►
BEPAGA
►
I05500CA
▼
BEASGA
7.17
8.39
7.26
13.56
9.80
7.27
7.36
0.42
-0.59
0.71
0.26
0.06
0.41
0.71
-10
-13
-24
-9
-3
-6
-2
1.12
0.74
1.98
0.51
0.25
0.62
0.10
0.96-0.295.72-0.07-0.671.300.34Euro
core
◄
Neutral
Euro
non-core
◄
Mildly
bullish
UK
gilt
◄
Mildly
bullish
Japan
govt
◄
Mildly
bearish
Canada
govt
◄
Neutral
Australia
govt
▼
Mildly
bullish
Global
inflation
▼
▼
Covered
◄
►
Euro
SSA
▼
▼
USD
SSA
▼
▼
-1.53
-15
-0.2
-6
0.05
-7
1.02
-15
*HSBC FI Research opinion, direction of arrows indicates change of view from previous month Source: Bloomberg, iBoxx, HSBC Notes:
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
corporates,
covered
bonds
and
SSAs
are
euro-denominated.
*Bloomberg
Barclays
US
Corporate
**Bloomberg
Barclays
High
Yield.
Table
2 . F orecast summary: 10 Y yields
( %)
Country
Current
+1m
Q3
2020
Q4
2020
Q1
2021
Q2
2021
Q3
2021
Q4
2021
United
States
0.54
0.53
0.55
(-0.05)
0.50
(-)
0.63
(-)
0.75
(-)
0.88
(-)
1.00
(-)
Germany France Italy Spain
United
King Japan Canada Australia
Source: HSBC forecasts, Bloomberg. Change from last month shown in parentheses. Mildly
bearish
Neutral
Neutral
Neutral
EM
EXD
▲
Mildly
bullish
▲
JPMGCOC
►
JGG$DCM
▼
iBoxx
EUR
Corporates
▼
iBoxx
EUR
High
Yield
▼
iBoxx
GBP
Corporates
►
Bloomberg
US
Corporates*
▼
Bloomberg
US
High
Yield**
▼
iBoxx
ADBI
8.0
5.4
5.35
3.93
8.41
8.72
3.57
5.50
5.1
4.4
0.73
4.26
1.90
1.88
5.41
2.80
-40
-12
-31
-36
-23
-29
-148
-40
3.4
3.2
1.74
1.70
2.18
3.16
4.50
2.41
14.5
10.2
3.04
6.71
4.56
6.83
10.17
6.65
0.5
-3.7
0.26
-3.94
4.88
8.35
0.53
5.20
EM
LCD
◄
Neutral
EUR
IG
▼
Neutral
EUR
HY
▼
Neutral
GBP
IG
▼
Neutral
USD
IG
◄
Neutral
USD
HY
▼
Mildly
bearish
Asia
credit
▼
Neutral
-0.56
-0.55
-0.50
(-)
-0.60
(-)
-0.55
(-)
-0.50
(-)
-0.50
(-)
-0.50
(-)
-0.23
-0.20
-0.20
(-0.05)
-0.30
(-0.10)
-0.25
(-0.05)
-0.20
(-)
-0.20
(-)
-0.20
(-)
0.97
0.95
0.95
(-0.20)
0.85
(-0.30)
0.83
(-0.32)
0.80
(-0.35)
0.80
(-0.30)
0.80
(-0.30)
0.31
0.30
0.35
(-0.05)
0.20
(-)
0.20
(-)
0.20
(-)
0.20
(-)
0.20
(-)
dom
0.08
0.10
0.00
(-0.10)
0.00
(-)
0.00
(-)
0.00
(-0.20)
0.20
(-)
0.30
(-0.10)
0.02
0.00
-0.05
(-)
-0.10
(-)
-0.05
(-)
0.00
(-)
0.00
(-)
0.00
(-)
0.45
0.45
0.50
(-0.05)
0.50
(-)
0.58
(-)
0.65
(-)
0.73
(-)
0.80
(-)
0.82
0.85
0.70
(-)
0.65
(-)
0.70
(-)
0.80
(-)
0.90
(-)
1.00
(-)
Global direction
We reflect on
how
the backdrop
to our
persistently
low
bond
yield forecasts over
the la st ‘ decade
of denial ’ is
set to persis t
Compared
with
t he
other
G3 markets, the drop
in
US
real
yield s j ust represents
a
catch- up
Recognising
the interlinkages
and
read-across f rom
one
market to another , we
look
at central
banks
fr om
sm aller countries
for direction
Steven Major, CFA Global Head of Fixed Income Research HSBC Bank plc steven.j.major@hsbcib.com +44 20 7991 5980 A noth er
d ecade
of d enial
In January t hi s y e ar, when
ju stify ing
our
below-con s ensus
bond
y ield
for ec asts, we
outlined
how much
of t he
rationale
wa s denial
abo ut wh at had
gone
be fore. T he
last de c ade
o f denial
was characterised
b y another
surge
in
deb t le v els
and
wh at can
be st be
described
a s Mr Micawber- like expectations that “something will turn up”. In Decade
o f denial : F ixed
I ncome
Asset A llocation , 8
Januar y 2020,
we
listed t he
fo llowing
rea s on s wh y we
believed
bond
y ields
were set t o
remain
low , in
defian c e
of mainstream f ore casts: 1. T he
cy clical
mindse t looks
f or
patterns in
bond
y ields
where
they m ove
in
ta ndem
w it h near-term g yr ation s in
the economic
data . Monthl y variation
in
the PMI serie s, for example , does
nothing
to in fl uence
our
y ear-end
bond
y ield
forecasts, which
are
driven b y a
structura l
view
of the equilibrium polic y rate, particularl y with
regard
to global
deb t. 2. As de bt levels
have
risen , so
the burden
of de bt servicing
has
weighed
down
on
f uture grow th (see
Figure
1). T he
increase
in
global
de bt ha s been
more
tha n
thr ee
t ime s as fast as
grow t h
in
the global
econom y. Exten ding
and
pretending
is
the polic y-mak er equivalent of assuming that ‘something will turn up’.
USD133trn
increase
in
global debt
in
the
last
20
years
and USD44trn
growth
in
the global
economy
Figu re
1.
Glob al
d ebt
g ro wing faster
th an
G DP
(USDtrn)
Debt GDP Multiple 2000 60.2 33.6 1.8x 2010 129.1 60.0 2.2x
2020 193.6 77.9 2.5x 2020-2000 133.4 44.3 3.0x Source: IIF debt database for combined DM and EM in USDtrn. Note: total debt across household, corporate and government sectors. 51 country data set used. All dates refer to Q1
Central
banks
themselves
are lagging
the
shift
lower
in longer-run
real
rates
3. Actua l
sho rt duration
positions
predi cate d
on
a
view
that wa s based
on
a
r eversion
to the mea n. Because
y ields
are
low , th ere
are
tho se
who
believe
...
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