HSBC-全球投资策略：固定收益资产配置-2021.5.12正文版.doc

12 May 2021THIS CONTENT MAY NOT BE DISTRIBUTED TO MAINLAND CHINAFixed Income Asset AllocationFixed IncomeRatesLooking elsewhereGlobalu As the US Treasury market remains in a consolidation phase it seems anaesthetised to near-term datau Having looked elsewhere and realised there is little impetus for higher yieldsu .we identify a shift in the US supply narrative as a potential trigger for lower yields later this yearLooking elsewherePage 4We sometimes feel there is too much focus on the near-term US cyclical data, and not enough on the more global picture. With this in mind we look at recent developments in China and Germany to see if there is a potential threat to the lower-for-longer view. Inflation has picked-up in China but then this is mainly down to commodities and is surely transitory. We continue to believe China yields look relatively high and that there are more developed market characteristics showing through. Meanwhile the rise in the Bund yields is not consistent with the ECB outlook and seems to be best explained by the US Treasury market.US Treasuries supply narrative changePage 7Steven Major, CFAGlobal Head of Fixed Income ResearchThe Hongkong and Shanghai Banking Corporation Limitedsteven.j.major.hk+852 2996 6590Having said all this, when asked what will be the trigger to make the market come round to our view of lower US Treasury yields we end up with something more local. We think it could be the reversal of the US supply narrative. The budget deficit will be meaningfully lower next year and combining this with the constraints on the US Treasury which include the weighted average maturity and proportion of bill supply will likely result in a big drop in long-dated supply.Eurozone periphery upgrade to mildly bullishPage 14Valuations have cheapened significantly since last month, particularly in Italy, and with the actions of the ECB continuing to dominate the Sovereign spread markets we turn mildly bullish. We note that financial conditions, supposedly the ECBs metric for policy action, have tightened, and this argues for maintaining policy accommodation.China rates mildly bullishPage 24We maintain a mildly bullish stance on China government bonds (CGBs), with a continued preference for higher duration exposure. The economic data has not supported tightening, and the ongoing policy effort to slow credit growth continues to be positive for CGBs. Furthermore, local government long-dated bond issuance has been notably lower this year.Disclosures & DisclaimerThis 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: The Hongkong and Shanghai Banking Corporation LimitedView HSBC Global Research at:Fixed Income Rates12 May 2021ContentsConviction snapshot3Global direction4Americas7US7Canada9USD supras & agencies10USD credit11Latin America12EMEA13Eurozone core13Eurozone non-core14Euro breakevens15UK16UK breakevens17EUR supras and agencies18Covered bonds19European credit20GBP Credit21CEEMEA Rates21Asia-Pacific22Japan22Australia23Mainland China24Asia credit25Green bonds26Convictions and forecasts27Disclosure appendix31Disclaimer342Fixed Income Rates12 May 2021Conviction snapshotTable 1. The HSBC conviction snapshot: our one-month views on the fixed income asset classes_ Index _ Index yield _ Returns (%) _MarketConvictionNameDuration10 May (%)1 month (bp)1 month3 monthYTDUS TreasuryNeutralLUATTRUU6.840.94-30.38-2.09-3.46Euro coreMildly bullishI05760EU8.09-0.375-0.65-2.02-3.05Euro non-coreMildly bullishLTITTREU7.670.5811-1.04-3.02-2.48UK giltNeutralLSG1TRGU12.590.8200.00-3.10-6.64Japan govtMildly bullishBEPAGA9.730.10-20.240.25-0.17Canada govtNeutralI05500CA6.540.924-0.41-2.59-4.24Australia govtMildly bullishBEASGA6.921.10-10.30-2.35-3.29Global inflationMildly bearishiBoxx inflation12.09-1.46-82.18-0.26-1.11CoveredNeutraliBoxx EUR Covered5.19-0.065-0.26-0.73-1.07Euro SSAMildly bullishiBoxx Sub-Sovereigns EUR7.970.337-0.53-1.69-2.65USD SSANeutraliBoxx Sub-Sovereigns USD4.221.39-60.37-0.71-0.93EM EXDMildly bullishBSSUTRUU Index*8.844.34-222.03-1.59-2.74EM LCDMildly bearishEMLCTRUU Index*7.053.55-22.54-0.64-0.59EUR IGNeutraliBoxx EUR Corporates5.390.543-0.14-0.57-0.65EUR HYNeutraliBoxx EUR High Yield3.522.6190.160.922.21GBP IGNeutraliBoxx GBP Corporates8.002.08-30.37-1.68-3.29USD IGNeutralBloomberg US Corporates*8.492.16-50.54-1.98-3.40USD HYNeutralBloomberg US High Yield*3.683.89-130.710.932.29Asia creditNeutraliBoxx ADBI5.613.03-50.54-0.99-1.05ß down -yields - up àSource: Bloomberg, iBoxx, HSBC. Direction of arrows indicates change of view from last months Fixed Income Asset Allocation. Figures as of close 10 May 2021. 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 EM USD Aggregate: Sovereign Index, *Bloomberg Barclays Emerging Markets Local Currency Government Index, *Bloomberg Barclays US Corporate/High Yield3Fixed Income Rates12 May 2021Steven Major, CFAGlobal Head of Fixed Income ResearchThe Hongkong and Shanghai Banking Corporation Limited steven.j.major.hk +852 2996 6590Bund yields have followed Treasuries higher at a historically consistent pace4Global directionu We take the opportunity to look at the contribution to the global view from countries other than the USu and conclude the bond markets of Germany and China are not currently posing a threat to lower-for-longer global forecastsu And we discuss how the consolidating US Treasury market is anyway anaesthetised to local data surprisesLooking outsideOver the years we have stressed the importance of a more global and structural approach tothe bond markets. This requires a greater appreciation of the longer-term structural drivers(Back to the future), and a focus elsewhere from the near-term US cyclical data. So we look atGermany and China to see if there is any change in the outlook.Bund yields the push and pullSince the start of the year 5Y5Y Bund yields have increased 62bp, whilst the equivalent for US Treasuries is 99bp (see Figure 1). Looking more closely at this relationship, there is nothing remarkable about the rise in German Bund yields in a longer-term historical context (Bund yield forecast), and for this year, the rise in US and German yields has maintained a high level of association.We cannot tell from this whether German yields have been pulled higher by the US or whether it is Bunds doing the pushing. But we can say that the repricing of Bunds appears inconsistent with the ECB rate outlook. Inflation is hardly a threat and the Eurozones output gap still has some way to go before it is closed.If we were forced to take a view it is more likely that the pull came from the US, where the yield initially moved much higher. Others may choose to focus on Eurozone politics as a push factor,Figure 1. US and German forward yield increases this year11021(bp)100998090Jan705Y5Y US Treasury yield62604since50Change405Y5Y Bund yield2030100Jan 21Feb 21Mar 21Apr 21May 21Source: HSBC, BloombergFixed Income Rates12 May 2021Difficult to top the positive Eurozone reform momentum of 2020Big jump in China PPI may not require a corresponding shift in yieldsincluding the change of leadership that will come in Germany, and what this means for policy. In our view the big change in the Eurozone happened last year anyway. Two big developments were the Next Generation EU Fund, a game-changer for the fiscal outlook, and the ECBs PEPP, which has contributed to spread compression.It will be difficult to top the market developments of 2020 which helped to drive down spreads. One of the biggest longer-term challenges to the prevalence of low Bund yields has been the competition from common issuance, so there will need to be more positive developments for spreads to compress much further in the longer-term. This said, in the near-term there does not seem to be much impetus for wider spreads either. For now, the arrival of new supply from Europe has been more of a crowding-out threat to the smaller SSA issuers (see page 18) than the much bigger Bund market.EM and China inflation what it means for the rest of the worldThe big mover has recently been Chinas PPI (see Figure 2) which just like five years ago has been surprising to the upside. Commodity prices have contributed to this increase so the key test will be to see what this means for growth and just how transitory this move in inflation is going to be. We note that PPI (6.8%yoy) has continued to move higher but that CPI (0.9%yoy) has been much more contained.Figure 2. Causality has run from China in the past6.008.00China stock marketCOVID-196.806.005.00'Black Monday'China PPI4.00(RHS)%)4.002.00Rate(%)Inflation(y-o-y,3.00CNY 5Y IRS0.002.712.00-2.00USD 5Y IRS-4.001.000.882016 USRRR cut100bp-6.000.00Election resultsby 50bpRRR cuts-8.002015201620172018201920202021Source: HSBC, BloombergIn EM, the prevailing narrative has been one of higher inflation and therefore tighter monetary policy. Indeed, the CRB Foodstuff index has returned to levels last seen in 2014 and this will inevitably feed into the headline inflation indices. Some EM countries have already hiked rates, including Brazil and Russia.From a global perspective a key focus will be on what happens next in China and how it feeds back into policy elsewhere. We can see from the chart that the path of Chinas PPI has led the move in yields before, both in China and the US, with the inference that inflation (and disinflation) pressures from outside the US can influence Fed policy.Given the unprecedented times we should perhaps be cautious on how much we can draw from previous cycles. China did not join in with the monetary easing from last year, with policymakers preferring to focus on other considerations, including financial stability. The increase in commodity prices has been noted by the Chinese authorities and there are no signs that the recent developments will lead to a policy U-turn (see China page 24).5Fixed Income Rates12 May 2021China yields associated with higher debt like most of DMOur view is that Chinese yields continue to look relatively high in a global context, and in terms of the global bond market performance this year, they have represented an effective means of diversification.Increasingly Chinas economy is showing the characteristics of the so-called developed markets. One example is the link between bond yields and debt. Just as we have seen in Japan, Europe and the US, more debt has been associated with lower yields (see Figure 3).Figure 3. China: debt and yield correlation increasing over time4.754.50Q4'06 - Q3'20Q3'13 - Q3'204.25Correlation coefficient: -0.41Correlation coefficient: -0.71(%)4.003.75yield3.5010Y3.253.002.752.50125150175200225250275300Debt/GDP* (%)Source: HSBC, Bloomberg, BIS statistics. *Note: credit to non-financial sector (% of GDP); sample from end-Q4 2006 to end-Q3 2020.Treasuries ignoring data surprise because its about something elseAnd for good measure, US TreasuriesSome market participants are often incredulous that the bond market has not responded to the latest payrolls, retail sales or inflation data. This comes from a pre-conditioning that the market responds to every twist and turn in the local economy, when in fact there is much more to it. For one, the market has already adjusted (The Price Is Right).And so it is with the US Treasury market. The much lower than expected gain in the April US payrolls data is what is known as a big d