2020年固定收益市场展望.docx
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1、Australia Fixed Income Research26 November 2019J. P MorganAntipodean fixed income markets 2020 outlookQE in Australia and bank capital reforms in NZ will be the defining themes for Antipodean rate markets in the year aheadAustralian and New Zealand Interest Rate Strategy Sally M Auld AC(61-2) 9003-7
2、904J.P. Morgan Securities Australia LimitedHenry St John(1-212) 834-5669J.P. Morgan Securities LLCBen K Jarman(61-2) 9003-7982J.P. Morgan Securities Australia LimitedAustralian and New Zealand Interest Rate Strategy Sally M Auld AC(61-2) 9003-7904J.P. Morgan Securities Australia LimitedHenry St John
3、(1-212) 834-5669J.P. Morgan Securities LLCBen K Jarman(61-2) 9003-7982J.P. Morgan Securities Australia Limited Growth in the Australian economy is expected to accelerate in 2020, an improvement from a below-trend 1.8% forecast for 2019. However, our forecast envisages that the RBA will still fall sh
4、ort of employment and target-consistent inflation objectives. We thus forecast more easing from the RBA in 2020, comprising 50bp of rate cuts, forward guidance and a QE program of AUD35- 50bn of ACGB purchases. This policy outlook - Australias first foray into unconventional monetary policy - frames
5、 our views for AUD fixed income markets in the year ahead. The main domestic risk to this view would be meaningful fiscal stimulus. In the front end, we remain received AUD 3Mx3M OIS and recommend receiving Oct-20 RBA OIS vs. Apr-20 OIS. We favour buying ACGBs on dips; we target 0.85% and 1.10% as a
6、ttractive entry levels for fresh duration longs in the 3Y and 10Y tenors, respectively. The ACGB 3s/l()s curve should flatten towards +25bp by year-end, with 3Y yields to finish the year at 0.45%. We recommend owning ACGB 10Y bonds vs. UST 10Y notes; this spread should track towards -105bp by 3Q20.
7、We would look to position for a steeper 3s/10s swap spread curve on any move to +9bp and we remain long ACGB Apr- 20278 on ASW. Semi-government bonds should out-perform in a QE environment; NSWTC paper looks attractive in the 10Y tenor, while QTC and WATC paper offer attractive carry relative to ris
8、k in the 7Y tenor. We recommend positioning for a flatter (or inverted) AUD/USD FX/OIS curve; this should drive inversion in the very front end of the AUD/USD cross currency basis swap curve, too (for example, 1 Yx3M vs. 3M). In vol, we continue to recommend selling 1x2 I Yx2Y receiver spreads on th
9、e view that the RBA will not take rates into negative territory. In inflation, we recommend owning ACGBi Feb-2022 breakevens and holding a cross market long in ACGBi 2030 breakevens vs. TIPS 2029 breakevens. New Zealand GDP growth slowed in 2019 and the RBNZ eased policy by 75bp this year. While we
10、expect a modest improvement in economic growth next year, it will likely fall short of the level consistent with a stable unemployment rate. In addition, the RBNZ will announce the final version of its proposed reforms to bank capital requirements in early December. These reforms should exert a down
11、ward bias on the neutral rate over time. A growth shortfall and a further gradual decline in the neutral rate will require more easing from the RBNZ in 2020; we expect a further 50bp of rate cuts in 1H20. We recommend holding RBNZ OIS flatteners (Jun-20 vs. Feb-20) and overweights in NZD 2Yx2Y swap
12、vs. USD 2Yx2Y swap. We recommend receiving the belly of the NZD 2s/5s/10s swap curve; entry levels are attractive and the belly should out-perform in response to a falling neutral OCR. We recommend switching NZD-AUD spread compression trades from the 2Y tenor to the 1 Yx3M tenor; the latter is less
13、crowded and protected from seasonal mortgage paying flows in 4Q. Hold strategic received positions in the NZD/USD 5Yx5Y cross currency basis swap.See page 19 for analyst certification and important disclosures.gross issuance mix would imply a lower demand for FX hedges going forward. This shift woul
14、d imply a structural narrowing in the term AUD/USD cross currency basis over time, with our expectation of a narrower short-end basis crystallizing this downward pressure. We therefore recommend receiving cross currency basis swaps; we are reasonably agnostic on tenor given the potent combination of
15、 a lower 3M break in the shorter end and QE-induced carry seeking flow in the longer end.Exhibit 13: OMO and FX/OIS tend to be very positively correlatedSource: J.P. Morgan and RBA. *Average monthly correlation of changes in FX/OIS andOMO/Maturity-matched OISExhibit 14: Australian financials, domest
16、ic issuance split could push2010 2011 2012 2013 2014 2015 2016 2017 2018 2019Source: J.P. Morgan and Bloomberg.Volatility - stay short 1x2 1 Yx2Y receiver spreads; conditional 10Y swap spread narrowers are an attractive hedge for positive fiscal surprise in 2020At the short-end, the potential for ra
17、tes to approach the zero lower bound raises the question of lognormality assumptions in the pricing of sub-zero strike receivers (see Antipodean Vol Monthly、H. St John and S. Auld, 4 October 2019). Given both the technical difficulties with pushing policy rates into negative territory, and the signi
18、ficantly higher likelihood of asset purchases forming the crux of any unconventional policy measures by the RBA, the market is likely to enforce lognormality via skew pricing. In the longer expiries at the short-end, where the distribution of implied outcomes is more likely to bleed into negative te
19、rritory, given the low level of rates, we have already seen evidence of this enforcement (Exhibit 15). Assuming the level of rates continues to fall at the front-end, in line with our forecast, we would expect this pattern to become more visible at shorter expiries. As this occurs, we would expect v
20、ol/rate directionality to turn more sharply positive (lower rates implying a reduced distribution of potential outcomes), and to express this, we prefer selling receiver flies on a delta-hedged basis.At the long-end, we see a tension between lower yields via a QE-induced flattening term structure, a
21、nd the potential for the government to deliver a large fiscal package, with the subsequent issuance schedule a cheapening bias for long-end ACGB yields. While the outright direction of yields in the long-end is made less clear as a result, these dynamics certainly raise the risk of longer-end swap s
22、preads turning negative for the first time since 1996. In the absence of a liquid options market on exchange- traded bond futures, owning conditional spread-tighteners via OTM/ATM 1 YxlOY receivers and shorts in 10Y bond futures is the next-best alternative (Exhibit 16).Exhibit 15: We see evidence o
23、f lognormality being enforced onExhibit 16: Tension at the long-end between QE and fiscal policiesNormal probability implied using ATMF implied vol and standard normal distribution.Exhibit 18: ACGB 2022i looks cheap on the IOTA spread2022 ASW box spread; Bp (ACGBi Feb-22s ASW vs. ACGB Jul-22s ASW)In
24、flation - buy ACGB 2022 breakevens, hold longs in ACGB breakevens vs. UST breakevensGenerally, our broad theme for inflation in the year ahead is that an activist central bank should be relatively more supportive for shorter-dated breakevens. This, together with the potential for a weaker currency a
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