Morgan Stanley Fixed-Global Macro Commentary August 16-109894230

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Global Macro Commentary | North America

August 16



Alexandra Maier



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

+,-."

Dominic J Krummenacher



/!01!2 ! "))$(%)$3'4%*#



Lenoy Dujon

567!

 /18 ! "#$#$%&#'$%%4

59:.;,,<=>"

Hiroki Yagi

?!2!

@AB# 1C! "*#D&*D&'3)#$

<,,E,>"

Gek Teng Khoo



:AF02 ! "*3$D4&D'(D(D

Strong US data caps UST rally; solid UK retail sales sends gilts

higher; RBNZ's Silk says contraction may be needed to lower

inflation; USD/THB falls amid political uncertainty; Hungary rates

underperform; gold prices top $2,500/oz ; DXY at 102.40 (-

0.6%); US 10y at 3.883% (-3.1bp).

•partially unwind the post US Retail Sales sell-off, but strong

data such as an upside surprise in 

and that suggests Hurricane Beryl may

have impacted the weakness in the July NFP data caps the UST gains.

• Solid data send front-end gilts higher relative to peers

(  : +3bp) and round out a busy week for UK data; !"#gains

1.4% against the USD for the week following the strong economic

outlook.

•$%&fall as '"$&(!) says that in

getting inflation back to target, an extended period of contraction in

the economy may be necessary; $&*gains 1.1% against the USD

despite the comments.

•*+,"falls 0.4% and Thailand yields fall amid continued

uncertainty on economic policy as Paetongtarn Shinawatra is

confirmed as the new prime minister and media reports suggest

potential replacement of the digital wallet program.

•,underperform relative to European duration with 10y

yields up 9bp after ,$")!

says inflation is expected to increase this year due to a rise in

Hungary's transaction levy for commercial banks.

•!(+2.1%) breach $2,500 an ounce for the first time as

prices are supported by the belief that the Fed will begin cutting

rates in September.

Please refer to our recent publications and collaborations (Riksbank Preview: August

(and September) Cut Coming; Global Futures Rolls Report: US Treasury and Gilt

Futures Rolls; Snippets from China: Tourists' Impression, Tencent's Earnings, China's

Starlink, Crackdown on Guan'dan; EM Fixed Income Flows Update: Where Supply

Meets Demand; Podcast | Thoughts on the Market: Will the U.S. Dollar Remain

Strong Post-Election?; Podcast | Global: The Global Macro Guide: August 16).

Morgan Stanley does and seeks to do business with

companies 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 analyst 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

communications with a subject company, public appearances

and trading securities held by a research analyst account.

August 16, 2024 10:06 PM GMT



The main G10 central bank events in the week ahead are the Kansas City Fed’s

Jackson Hole Economic Policy Symposium (Aug 22-24) and a central bank meeting

for Riksbank (Aug 20). Minutes from the August RBA meeting (Aug 20), July FOMC

meeting (Aug 21), and July ECB meeting (Aug 22) will also be released. Selected

scheduled G10 central bank speaking engagements include ECB Governing Council

Member Rehn (Aug 19), RBNZ Deputy Hawkesby (Aug 20), BoJ Governor Ueda (Aug

23), and Fed Chair Powell (Aug 23). In emerging markets, monetary policy meetings

are scheduled for BI (Aug 21), BoT (Aug 21), and BoK (Aug 21).

PMIs (Aug 22: Australia, Japan; France, Germany, Euro Area, UK, and the US) will

headline next week’s economic calendar. Canada CPI (Aug 20), Japan CPI (Aug 23),

and US preliminary benchmark revisions to Establishment survey data (Aug 21) will

also be closely watched.

Sovereign supply will feature issuance from Germany, Japan, UK, Australia, Canada,

China, Spain, and New Zealand, while the UST will conduct a new 20y auction and a

10y TIPS reopening.

For further details, please refer to our economists’ regional weeklies: Asia/Pacific

Weekly Economic Preview, Japan Economics – Key Data Watch Calendar, European

Economics Weekly, CEEMEA Economics Weekly, Week Ahead in Latin America, and

US Economics – Key Data Watch Calendar. Our Global Bond Auction Pipeline

includes a supply and redemption summary for the week and month ahead.

*)

United States:

Overnight, USTs partially retraced Wednesday’s post retail sales bear-steepening.

However, strong data in the NY morning pushed back against the gains. The

University of Michigan Consumer Sentiment rose by more than expected to 67.8 (C:

66.9; P: 66.4) in August. The upside surprise may have been partially impacted by

the timing of the survey collection as it included the replacement of President Biden

as the Democratic Presidential nominee. Survey results indicated that sentiment for

Democrats rose 6% in August whereas it moved in the opposite direction for

Republicans whose sentiment fell 5% in the month. Sentiment of Independents rose

3%. 1y and 5-10y inflation expectations remained unchanged on the month at 2.9%

y/y and 3.0% y/y, respectively.

State-level employment data showed that Texas payrolls declined 15k in July. Our

economists note that it looks as if Hurricane Beryl affected activity and

consequently the weakness in the July nonfarm payrolls report and they expect that

to reverse in August. However, Texas payrolls had already started to decline in June

absent hurricane impact. The August employment report will be closely watched for

further indications on the state of the labor market.



Morgan Stanley Research 3

USTs erased their overnight gains following the relatively strong data. However, into

the afternoon USTs quietly rallied and ended the day with yields ~3-4bp lower

across the curve. Similarly, the USD had given back some of its strength overnight,

but the strong data briefly reversed the trend. Ultimately, the DXY USD Index

weakened -0.6%.

Despite a data heavy week for the US, USTs ended the week with 2y yields

unchanged and 30y yields down 8bp. Despite a volatile week, the DXY USD Index

ended the week down 0.7%. Next week, market participants will look to Chair

Powell’s speech at the Jackson Hole Economic Symposium for further guidance on

monetary policy and the Fed’s economic outlook.

The S&P 500 gained 0.2% which resulted in a weekly gain of 3.9%, the largest

weekly gain since November 2023. Risk assets have benefited from US data this

week which showed a resilient economy alongside disinflation. Gold prices breach

$2,500 an ounce for the first time supported by the belief that the Fed will begin

cutting rates in September. Gold prices rose 2.1% on Friday.

Japan:

Following the bear-flattening trend in USTs due to the combination of strong US

retail sales and low jobless claims data overnight, -!"began to sell off led by the

short to medium term sectors. With JPY weakness and higher domestic stock prices,

market participants seem to be pricing in an additional BoJ rate hike. Accordingly,

JGBs continued to sell off, and the curve bear-flattened throughout the remainder of

the Tokyo session. By Tokyo close, 2y JGB sold off 3.5bp to 0.35%, 5y JGB sold off

4.5bp to 0.49%, and 30y JGB sold off 2.0bp to 2.04% on a simple yield basis. TONA-

OIS curve bear-steepened and underperformed JGBs in the super long end. The

JSCC/LCH clearing spread widened in the super-long sectors which suggested decent

paying pressure from the overseas community in the LCH space. XCCY basis

tightened, particularly in the front end. Next week there will be the 20y JGB auction

on Tuesday and the TAP auction for 5-15.5y on Thursday.

In response to the solid US economic data release, USD/JPY climbed from 147.3 to

149.3 overnight. After the sharp upswing, USD/JPY traded in a narrow range during

Tokyo trading hours and gradually moved lower to 148.6 into the London morning.

During the London morning, USD/JPY modestly accelerated the sell-off alongside

the move lower in UST yields. With the financial and capital market turmoil calming,

market participants may refocus on the potential for an additional BoJ rate hike

which might impact the demand for JPY carry trades. Other CCY/JPY pairs generally

traded in tandem with USD/JPY. $&*+-#. continued to outperform other G10

currencies.

Europe:

In European FX, ,/gained +0.5% despite a lack of local catalysts. gained

+0.5% aided by UK retail sales which rebounded from June. $0underperformed

and gained just 0.3% against the USD, weighed down by poor oil performance.

Meanwhile 1, rallied +0.5%. 1'also underperforms and gained +0.3% against

the USD.

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MGlobalMacroCommentary|NorthAmericaAugust16AlexandraMaier!"#$#$%&#'()$*+,-."DominicJKrummenache...

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