Morgan Stanley Fixed-Global Macro Strategist SkiPPIng a Heartbeat into CPI-108165400

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3.0 满江红 2024-05-24 28 3.33MB 91 页免费

侵权投诉



Global Macro Strategist

SkiPPIng a Heartbeat into CPI



Matthew Hornbach



 !"  #$%$%&'$($)*&

Guneet Dhingra, CFA



+,- !"  #$%$%&'$($../

Andrew M Watrous



012, !"  #$%$%&'$(/%)&

Martin W Tobias, CFA



3 !"  #$%$%&'$('4&'

Francesco Grechi



5+ !"  #$%$%&'$($446

Zoe K Strauss



7, !"  #$%$%&'$(4.4&

89:;#

James K Lord



< 1 !"  #..%4&'&&(*%/.

David S. Adams, CFA



-=101  !"  #..%4&.%/(*/$)

Eric S Oynoyan



>?"" !"  #..%4&.%/($6./

Wanting Low



2 !"  #..%4&.%/(').$

Lorenzo Testa



@3 !"  #..%4&'&&(4**&

Fabio Bassanin, CFA



5A !"  #..%4&.%/($)'6

Marie-Anais C Francois



(05 !"  #..%4&.%/($)&&

Dominic J Krummenacher



- B,  !"  #..%4&.%/(6&)$

C5+;D99EFG#

Koichi Sugisaki



B,H !" ,I  #)$*')*'().%)

Once again, the fate of government bond markets in most parts

of the world will likely come down to the US inflation reports in

the coming week. Fear of tariff announcements – before and

after the US general election – could increasingly fray nerves in

the absence of improvement in PPI and CPI data.



We discuss the news article, Biden to Quadruple Tariffs on Chinese EVs, and

investor uncertainty regarding the 2024 election. We also show that the

USD and individual G10 currency pairs have exhibited a close relationship

with 1-year ahead GDP expectations.



In the US, we maintain long 3m10y receivers. We enter into a structural

receive EUR 1y1y, maintain RXM4 131/132.5/134/135.5 call condor, and

maintain long ERZ4 97.125 call. On cash, we maintain long 10y OATs vs Bono/

Bunds and 2s10s BTPs steepeners vs Bunds. On ASW, we enter into a long

10y OAT ASW. We close Jun/Sep ECB OIS flatteners and short 0RM4

97.875/98.250 strangle. We maintain SFIU4/U5 flattener and keep our pay

5s10s30s SONIA fly and short 15y ASW positions. We maintain long 5y JGB

ASW, long 5y JGB vs pay 7y OIS (DV01 1.75 vs 1), and long 20y JGBs on

10s20s30s fly.

 

We take stock of how cross-asset correlations to FX have recently evolved.

We discuss the relationship between G10 FX and US-G9 growth differentials.

We also discuss why we see near-term upside risks to the broad USD from

the April CPI print. We take a closer look at the Swiss inflation in April and

conclude further weakness for CHF is justified.

!"#$%&%

We introduce a regression-based model for seasonally-adjusted breakeven

rates based on nominals and oil futures.

 "'

We examine MMF portfolio holdings in March and find evidence of reduced

willingness to extend in the higher RRP allocation and concentration of T-bill

additions to the 1m or less bucket.

'((

Risk events abound next week, from inflation data to Fed speak, and vol

markets are attuned. Weekly treasury futures options suggest investors are

bracing for an eventful week ahead. We analyze the theoretical links

between MBS hedging activity and rates vol, and run an empirical to find

evidence for the theory.

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For analyst certification and other important disclosures,

refer to the Disclosure Section, located at the end of this

report.

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and may not be subject to FINRA restrictions on

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and trading securities held by a research analyst account.

May 11, 2024 12:10 AM GMT



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Global Macro Strategy

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 #$%$%&'$($)*&



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

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The Race Is Heating Up

On Friday, the Wall Street Journal reported that the Biden administration is preparing to

announce higher levies on a range of Chinese goods next week (see Biden to Quadruple

Tariffs on Chinese EVs). Specifically, the administration is looking to quadruple the level of

EV tariffs as the result of a Sec. 301 investigation that began years ago.

Given a relatively small list of products in scope, the practical policy reach of the tariffs is

likely limited absent anti-circumvention measures. China’s direct EV imports to the US are

relatively low (~12k last year), as it has sought to re-route supply chains through other

countries (Mexico for EVs, Southeast Asia for solar). Hence, coordination with

international partners to limit global EV sales will be a critical factor in determining these

tariffs’ impact, in our view.

Hawkishness on China is bipartisan, and polling shows that it tends to resonate with

voters. As such, we expect both candidates to lean into this messaging ahead of the

election. Indeed, President Biden has kept former President Trump’s China tariffs in place

and increased usage of non-tariff barriers.

Biden also previously announced that the administration was looking into potential steel

& aluminum tariffs on China. In addition, former President Trump has floated a variety of

tariff proposals on the campaign trail.

• We highlighted the risk of increased trade frictions – in particular as they relate to

products critical to the energy transition – in a joint note with our sustainability

colleagues: US-China Trade Tensions & The Energy Transition: Mapping Sector &

Stock Implications.

The Journal report comes just before Memorial Day in the US – a holiday after which

investor focus on US general elections usually increases. In Exhibit 1 and Exhibit 2 , we

remind investors how polling averages and betting market averages evolved during the

2020 general election.

We make the following observations about 2020:

• Polling averages and betting markets can evolve in different ways, in part because

they reflect different things, like voter thinking at a certain point in time (polls) vs.

the future outcome of the election (betting markets).

• Betting markets really moved during two periods: (1) during the March primary

election period, which has since passed this year, and (2) after Memorial Day in late

May into the election itself in early November.



 !"#$"%"&' 

 J!!M!N!!=I

%4%4!!OA1=3, N

44.2

51.1

Jan-20 Mar-20 May-20 Jul-20 Sep-20 Nov-20

2020 election: Trump 2020 election: Biden

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=I%4%4!!OA1=

3, N

35.4

63.6

Jan-20 Mar-20 May-20 Jul-20 Sep-20 Nov-20

2020 election: Trump 2020 election: Biden

,O!"JFJ!!M!FA! 

Where do polls and betting markets stand for the 2024 election? Exhibit 3 and Exhibit

4 suggest that the 2024 race is shaping up to be a close race.

 J!!M!N!!=I

%4%.!!OA1=3, N

46.1

44.9

May-23 Aug-23 Nov-23 Feb-24 May-24

2024 election: Trump 2024 election: Biden

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=I%4%.!!OA1=

3, N

44.2

42.5

May-23 Aug-23 Nov-23 Feb-24 May-24

2024 election: Trump 2024 election: Biden

%, same scale as 2020 election

,O!"JFJ!!M!FA! 

The current tight nature of the election race should manifest in heightened uncertainty

about the eventual outcome. To the extent that polls and betting markets remain this

tight as the election approaches, investor uncertainty will likely grow.

Initially, we would expect implied volatility markets – in both rates and currencies – to

exhibit the effects of this uncertainty. As expiries pick up the election, about 26 weeks

away now, we would expect options prices to rise. And, indeed, this is how the markets

price options (see Exhibit 5 and Exhibit 6 ).

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MGlobalMacroStrategistSkiPPIngaHeartbeatintoCPIMatthewHornbach!"#$%$%&'$($)*&GuneetDhingra,CFA...

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