Morgan Stanley Fixed-Global Macro Data Treasury Relative Value Report-109953172
VIP专享
Daily Treasury Relative Value Report
Data Package
Contents
Page
2
3
6
8
Rates Move Summary
PCA Butterfly Treasury Report
UST RV Trade Finder (Switches)
OAS Term Structure
For important disclosures, refer to the Disclosures Section, located at the end of this report. Source for all charts Morgan Stanley Research unless
otherwise indicated.
North
America
Morgan Stanley & Co. LLC Eli Carter
Strategist
Eli.Carter@morganstanley.com
+1 212 761-4703
Interest Rate
Strategy
August 21, 2024 09:03 AM GMT
US Interest Rates Strategy - Research
Rates Move Summary
a
US Treasuries USD Swaps
Maturity YTM (%) 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min Maturity YTM (%)
1d Chng (bp)
1w Chg (bp) 3m Avg 3m Max 3m Min Maturity Spread
(bp) 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min
2y
3.999% -6.8 5.8 4.52% 4.98% 3.87%
2y
3.779% -8.4 5.4 4.37% 4.88% 3.69%
2y
-22.0 -1.7 -0.4 -15.7 -9.5 -22.8
3y
3.802% -6.5 4.5 4.31% 4.80% 3.70%
3y
3.558% -7.8 4.4 4.11% 4.64% 3.47%
3y
-24.4 -1.3 -0.1 -19.8 -14.1 -29.7
5y
3.700% -5.7 1.8 4.16% 4.64% 3.62%
5y
3.394% -7.0 1.5 3.89% 4.39% 3.34%
5y
-30.7 -1.3 -0.3 -27.4 -22.7 -36.1
7y
3.735% -5.4 -0.1 4.18% 4.64% 3.67%
7y
3.356% -6.7 -1.0 3.82% 4.30% 3.32%
7y
-37.9 -1.4 -0.9 -35.3 -30.6 -43.1
10y
3.818% -4.9 -3.5 4.22% 4.62% 3.78%
10y
3.364% -6.5 -3.7 3.80% 4.25% 3.36%
10y
-45.5 -1.6 -0.3 -41.5 -35.6 -50.1
20y
4.182% -4.4 -6.5 4.51% 4.83% 4.16%
20y
3.405% -6.2 -7.4 3.80% 4.19% 3.41%
20y
-77.7 -1.7 -0.9 -70.9 -62.0 -79.9
30y
4.070% -4.5 -9.5 4.41% 4.74% 4.07%
30y
3.252% -6.0 -8.8 3.63% 3.99% 3.25%
30y
-81.7 -1.5 0.7 -78.5 -72.3 -85.9
2s/3s
-19.7 0.3 -1.3 -21.3 -16.1 -27.3
2s/3s
-22.1 0.6 -1.0 -25.4 -19.5 -29.2
2s/3s
-2.4 0.3 0.3 -4.1 -1.0 -7.2
2s/10s
-18.1 1.9 -9.3 -30.9 -3.3 -49.6
2s/10s
-41.6 2.0 -9.1 -56.7 -27.6 -74.6
2s/10s
-23.4 0.1 0.2 -25.8 -22.4 -31.7
5s/7s
3.5 0.4 -1.9 1.1 6.2 -3.7
5s/7s
-3.7 0.3 -2.6 -6.8 -0.6 -11.5
5s/7s
-7.2 -0.1 -0.7 -7.9 -6.6 -9.4
5s/30s
37.0 1.3 -11.4 24.8 49.3 4.5
5s/30s
-14.1 1.1 -10.4 -26.3 -3.5 -44.4
5s/30s
-51.1 -0.2 1.0 -51.1 -47.8 -54.5
10s/20s
36.4 0.5 -3.1 29.3 39.4 20.0
10s/20s
4.2 0.3 -3.7 -0.1 7.9 -6.4
10s/20s
-32.2 -0.2 -0.6 -29.4 -25.7 -32.9
10s/30s
25.2 0.4 -6.1 19.6 31.5 10.5
10s/30s
-11.1 0.5 -5.1 -17.3 -5.5 -26.1
10s/30s
-36.3 0.0 0.9 -37.0 -34.2 -38.5
2s/3s/5s
-9.5 -0.5 1.4 -6.5 -0.5 -12.1
2s/3s/5s
-5.7 -0.2 1.9 -3.1 2.5 -8.6
2s/3s/5s
3.8 0.3 0.5 3.4 7.1 -0.5
2s/5s/10s
-41.7 0.2 1.3 -41.2 -32.4 -45.7
2s/5s/10s
-35.6 0.8 1.4 -38.8 -32.3 -44.1
2s/5s/10s
6.2 0.6 0.1 2.5 6.4 -2.4
5s/10s/30s
-13.4 0.4 0.8 -14.5 -11.9 -16.9
5s/10s/30s
8.1 0.1 -0.1 8.4 11.2 6.3
5s/10s/30s
21.5 -0.3 -0.9 22.9 24.9 20.5
10s/20s/30s
47.6 0.5 0.0 38.9 47.6 29.4
10s/20s/30s
19.5 0.2 -2.3 17.1 21.7 13.4
10s/20s/30s
-28.1 -0.3 -2.2 -21.8 -14.6 -28.1
TIPS Real Yields FRA/OIS Section 1s3s Spreads
Maturity Real Yield (%) 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min Maturity Spread (bp) 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min Maturity Spread
(bp) 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min
TII4/29
1.75% -5.4 3.5 2.0% 2.3% 1.7%
1st FRA/OIS
29.0 -0.2 -0.6 27.5 30.1 25.0
Spot 1s3s
13.6 0.1 0.0 14.6 16.4 13.5
TII7/34
1.75% -4.7 -1.0 2.0% 2.3% 1.7%
2nd FRA/OIS
30.3 -0.3 -0.6 28.6 31.4 25.6
1y 1s3s
14.3 0.3 0.0 14.6 15.1 14.0
TII2/54
1.98% -5.2 -6.2 2.2% 2.4% 2.0%
3rd FRA/OIS
30.0 0.0 0.0 29.0 31.0 27.0
2y 1s3s
14.5 0.3 0.0 14.6 15.0 14.3
TIPS Break-Even Inflation
2y FRA/OIS
31.1 0.4 0.0 29.5 32.3 27.4
5y 1s3s
14.6 0.0 0.0 14.6 14.8 14.4
Maturity BE Infl (bp) 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min
5y FRA/OIS
32.3 0.3 0.5 30.7 32.9 29.0
10y 1s3s
14.6 0.0 0.0 14.6 14.8 14.5
TII4/29
194.6 -0.3 -1.6 204.6 218.1 189.2
Front End section
2y2y 1s3s
14.5 -0.5 0.0 14.6 15.0 14.0
TII7/34
207.3 -0.2 -2.5 210.9 221.6 203.3
Rate type Value 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min
Volatility Summary
TII2/54
208.6 0.7 -3.3 212.5 221.5 206.3
3M USD SOFR
5.12% -0.5 0.3 5.27 5.35 5.06
Maturity 1d Chg 1w Chg 3m Avg 3m Max 3m Min
SOFR Futures
1m CP Index
5.31% -1.0 -1.0 5.35 5.37 5.31
3m10y
111.2 0.1 -3.3 99.6 114.5 87.8
Maturity Value 1d Chg (bp) 1w Chg (bp) 3m Avg 3m Max 3m Min
3m CP Index
5.24% 1.0 1.0 5.39 5.46 5.18
6m5y
114.6 0.0 -2.6 110.8 120.4 103.9
Whites
5.18 0.69 -5.56 5.18 5.18 5.18
GC
5.37% 1.1 -1.7 5.38 5.50 5.25
6m30y
96.7 0.2 -0.8 92.1 98.3 84.4
Reds
4.37 1.50 -17.62 4.37 4.37 4.37
FF/OIS
50.8 -2.4 -0.2 5.38 5.36 5.07
1y1y
125.0 0.7 0.5 120.7 126.2 116.5
Greens
3.94 2.13 -14.75 3.94 3.94 3.94
Spot FF/SOFR
-2.38 0.0 0.2 -0.7 1.3 -3.1
1y10y
103.0 0.1 -0.9 102.5 107.2 97.3
Whites/
Reds
-80.62 0.81 -12.06 -80.62 -80.62 -80.62
1y FF/SOFR
-3.526 0.0 0.4 -2.03 0.01 -4.04
5y5y
96.7 0.4 -1.2 99.3 103.9 96.3
Reds/
Greens
-43.87 0.63 2.87 -43.87 -43.87 -43.87
5y FF/SOFR
-5.5 0.0 0.0 -4.34 -2.75 -5.63
3m10y vs
1y10y
8.2 -0.1 2.2 3.0 9.8 -10.7
NOTE: THESE SHEETS ARE ONLY AN APPROXIMATION
30y FF/SOFR
-6.8 0.1 0.0 -6.0 -4.8 -7.0
6m5y vs
6m30y
17.9 0.1 -1.9 18.6 24.2 14.7
Source: Morgan Stanley Research
As of close: August 20, 2024
UST Benchmark Swap Spread
US Interest Rates Strategy - Research
PCA Butterfly Treasury Report
PCA weights using long term history (since 1/1/2009)
3M Rolldown And Carry Carry
Left Right Left Right Z-Score R/C Z-Score R/C Rolldown3Carry3RD&C3
Quotient
4
1s/2s/3s 0.87 0.42 149.2 26.5 (147.3) (1.1) R2.7 C10.9 7.0 17.9 1.67
1s/3s/5s 0.85 0.50 229.1 30.3 (181.8) (1.0) R2.8 C15.6 10.3 25.8 2.03
2s/3s/5s 0.70 0.35 109.1 21.5 (26.5) (0.8) 2.5 C3.5 2.4 5.9 1.59
2s/5s/7s 0.40 0.69 103.7 50.3 (49.8) (1.1) R3.2 C3.6 3.1 6.7 1.41
2s/5s/10s 0.63 0.56 161.8 30.0 (87.6) (1.0) R3.2 C5.9 5.5 11.3 1.40
2s/5s/30s 0.85 0.47 220.8 11.3 (157.2) (1.0) 3.2 C8.9 8.2 17.0 1.32
2s/7s/10s 0.32 0.81 115.3 59.6 (54.5) (0.9) 2.4 C3.2 3.4 6.7 1.21
2s/10s/20s 0.33 0.85 160.7 58.3 (112.7) (0.9) 2.3 C4.2 3.4 7.7 1.21
2s/10s/30s 0.41 0.83 196.9 37.7 (124.0) (0.9) 2.7 C5.3 4.8 10.1 1.08
2s/15s/30s 0.20 0.96 138.1 61.8 (78.7) (0.8) 2.8 C3.0 2.7 5.7 1.09
3s/5s/7s 0.48 0.58 78.9 41.8 (28.7) (1.2) R3.3 C1.4 1.4 2.8 0.85
3s/5s/10s 0.68 0.43 112.4 22.8 (48.4) (1.1) R3.0 C2.1 2.5 4.6 0.91
3s/7s/10s 0.35 0.74 80.1 54.5 (34.2) (0.9) 1.9 C1.3 1.9 3.2 0.77
3s/7s/12s 0.45 0.66 102.9 38.9 (46.4) (0.9) 2.2 C1.7 2.5 4.2 0.71
4s/7s/10s 0.42 0.64 67.6 47.4 (20.1) (0.9) 1.2 C0.5 0.7 1.1 0.38
5s/7s/10s 0.52 0.52 71.3 38.2 (9.2) (0.5) 0.9 0.2 0.6 0.8 0.35
5s/10s/15s 0.31 0.71 57.6 50.5 (19.3) (0.9) 0.9 0.4 0.4 0.8 0.21
5s/10s/20s 0.41 0.65 76.6 44.9 (50.9) (0.7) 0.5 0.9 0.4 1.3 0.46
5s/10s/30s 0.48 0.61 89.2 27.6 (49.0) (0.7) 1.6 C1.1 0.9 2.0 0.48
6s/7s/8s 0.46 0.55 51.8 47.1 (1.2) (0.2) 0.7 (0.1) (0.4) (0.5) (0.41)
7s/8s/9s 0.46 0.55 53.2 48.9 (0.6) 0.2 1.0 C0.1 0.2 0.3 0.41
7s/10s/12s 0.30 0.70 40.7 55.6 (2.5) (0.8) 0.7 0.1 0.0 0.1 0.06
7s/10s/15s 0.46 0.55 61.7 38.6 (10.5) (0.9) 0.3 0.2 0.0 0.3 0.09
7s/10s/20s 0.56 0.46 76.1 31.8 (30.9) (0.7) (0.1) 0.5 (0.1) 0.4 0.19
7s/10s/30s 0.63 0.41 84.6 18.7 (27.4) (0.8) 0.8 0.6 0.2 0.9 0.30
10s/15s/20s 0.35 0.69 49.0 66.9 (26.6) (0.4) (1.2) R0.3 (0.1) 0.2 0.04
10s/15s/30s 0.50 0.55 70.1 35.4 (17.3) 0.4 0.9 0.4 0.3 0.7 0.20
10s/20s/30s 0.22 0.80 31.5 52.9 13.5 0.6 2.3 C0.1 0.6 0.7 0.17
15s/20s/30s 0.44 0.56 44.9 37.0 21.1 0.5 2.3 C(0.0) 0.5 0.4 0.10
PCA Weights Using One Year History
3M Rolldown And Carry Carry
Left Right Left Right Z-Score R/C Z-Score R/C Rolldown3Carry3RD&C3
Quotient
4
2s/3s/5s 0.65 0.38 101.1 23.3 (17.2) (0.7) 2.2 C2.9 1.7 4.6 1.43
2s/5s/7s 0.33 0.72 85.0 52.0 (29.7) (1.2) R2.5 C2.8 1.8 4.6 1.45
2s/5s/10s 0.52 0.58 135.0 30.8 (52.6) (1.1) R2.3 C4.7 3.5 8.2 1.59
2s/5s/30s 0.72 0.46 186.1 11.1 (100.4) (1.0) R3.3 C7.3 5.6 12.9 1.57
2s/7s/10s 0.27 0.80 96.2 59.4 (32.0) (0.9) 1.3 C2.6 2.4 5.0 1.29
2s/10s/20s 0.25 0.86 122.2 59.1 (86.4) (0.9) 1.3 C3.3 1.9 5.3 1.30
2s/10s/30s 0.34 0.79 165.9 36.0 (82.9) (0.9) 2.6 C4.6 3.5 8.1 1.28
2s/15s/30s 0.15 1.00 105.6 64.0 (73.9) (0.9) 2.7 C2.5 1.8 4.3 0.88
3s/5s/7s 0.43 0.60 70.3 43.4 (17.5) (1.5) R1.4 C1.1 0.8 1.9 0.76
3s/5s/10s 0.62 0.44 101.8 23.5 (29.5) (1.3) R1.4 C1.8 1.7 3.4 0.93
3s/7s/10s 0.32 0.73 72.6 54.1 (20.0) (0.9) 0.8 1.1 1.4 2.5 0.77
3s/7s/12s 0.43 0.63 97.1 36.7 (22.5) (0.9) 1.1 C1.6 2.0 3.6 0.83
4s/7s/10s 0.40 0.63 65.4 46.8 (11.9) (0.8) 0.5 0.5 0.5 0.9 0.35
5s/7s/10s 0.52 0.51 71.3 37.4 (4.8) (0.3) 0.5 0.2 0.6 0.8 0.35
5s/10s/15s 0.34 0.64 63.5 45.2 (1.5) (0.3) 0.0 0.5 0.5 0.9 0.37
5s/10s/20s 0.38 0.67 70.8 46.2 (47.6) (0.7) (0.1) 0.8 0.2 1.0 0.39
5s/10s/30s 0.48 0.58 89.1 26.1 (35.0) (0.6) 1.2 C1.1 0.9 1.9 0.60
6s/7s/8s 0.46 0.55 51.4 47.2 (0.6) 0.1 0.4 (0.1) (0.4) (0.5) (0.43)
7s/8s/9s 0.46 0.54 53.6 48.6 (0.5) 0.3 1.0 0.1 0.2 0.3 0.42
7s/10s/12s 0.34 0.64 46.6 50.7 4.4 0.7 (0.0) 0.1 0.1 0.2 0.15
7s/10s/15s 0.49 0.48 66.9 33.9 1.2 (0.2) (0.2) 0.3 0.1 0.3 0.15
7s/10s/20s 0.54 0.49 72.4 33.7 (32.2) (0.8) (0.3) 0.5 (0.2) 0.3 0.14
7s/10s/30s 0.63 0.39 85.2 17.8 (20.8) (0.6) 0.6 0.6 0.2 0.8 0.33
8s/10s/12s 0.46 0.53 53.2 41.9 3.6 0.5 (0.2) (0.0) (0.1) (0.1) (0.11)
10s/15s/20s 0.16 0.95 22.8 91.8 (64.5) (0.8) (0.5) 0.4 (0.5) (0.1) (0.03)
10s/15s/30s 0.45 0.64 63.6 41.1 (36.6) (0.7) 1.9 C0.5 0.2 0.7 0.22
10s/20s/30s 0.31 0.68 44.5 44.8 29.5 0.8 2.2 C0.0 0.8 0.8 0.27
15s/20s/30s 0.68 0.24 70.0 16.0 54.4 0.8 1.8 C (0.3) 0.6 0.3 0.13
CMT Substitutes
1y T 5.000 08/31/2025
2y T 4.875 05/31/2026
3y T 4.625 06/15/2027
4y T 4.375 08/31/2028
5y T 4.500 05/31/2029
1. PCA weights are determined using changes in CMT data
2. Notional amounts are determined using PCA weights using actual Treasuries that can substitute the CMT rates
3. Rolldown & carry are from the perspective of being long the belly & are calculated using actual Treasuries listed in the 'CMT Substitutes' table
4. Carry Quotient is calculated as: (3M Rolldown & Carry on the actual Treasury fly using the 'CMT Substitutes' / 3M Vol. of the CMT fly)
Source: Morgan Stanley Research
T 2.375 11/15/2049
T 4.625 05/15/2054
T 4.750 02/15/2037
T 4.375 11/15/2039
T 3.000 11/15/2044
20y
25y
30y
T 4.625 05/31/2031
CMT
6y
7y
9y
10y
8y
T 4.375 05/15/2034
T 4.125 11/15/2032
T 4.500 11/15/2033
12y
15y
T 4.125 08/31/2030
As of close: August 20, 2024
CMT Substitute Treasury
CMT Fly -6m History
Substitute TreasuryCMT Substitute Treasury
Butterfly CMT Fly - 5 Year History CMT Fly -6m History
CMT Fly
Current
DV01 Weights1
Butterfly DV01 Weights1Back End Per 100MM Front End Notional CMT Fly
Current
Belly 100MM Par2
CMT Fly - 5 Year History
摘要：
展开>>
收起<<
DailyTreasuryRelativeValueReportDataPackageContentsPage2368RatesMoveSummaryPCAButterflyTreasuryReportUSTRVTradeFinder(Switches)OASTermStructureForimpor\ban\bdisclosures,refer\bo\bheDisclosuresSec\bion,loca\beda\b\bheendof\bhisrepor\b.Sourceforallchar\bsMorganS\banleyResearchunlesso\bherwiseindica\be...
相关推荐
-
电子书-原则：应对变化中的世界秩序-506页免费
2024-03-10 193 -
电子书--长期的力量：如何构建可持续的价值投资盈利体系 (梁宇峰）免费
2024-04-10 201 -
电子书：底层逻辑 刘润免费
2024-05-07 112 -
电子书-《知识炼金术（个人版）》免费
2024-05-15 152 -
电子书-《美国家庭财富百年史（1900~2013）》免费
2024-05-15 587 -
电子书-《波士顿咨询工作法：精准发现问题》免费
2024-05-15 144 -
电子书-《财富引路人：成功基金经理的经济学解释及投资备忘录》-289页免费
2024-05-16 205 -
电子书-《自品牌：社交媒体时代如何打造个人品牌》-215页免费
2024-05-16 534 -
【恒生电子】2024金融科技趋势研究报告免费
2024-05-20 131 -
方正证券-电子行业专题报告--中国科技企业新估值体系的探讨-240613-总144页VIP专享
2024-06-13 241
作者：西装暴徒
分类：外资研报
价格：免费
属性：10 页
大小：480.95KB
格式：PDF
时间：2024-09-09
