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雷达卡
【出版时间及名称】：20100115 全球利率周评
【作者】：美国银行(美林)
【文件格式】：pdf
【页数】：32
【目录或简介】：
Overview: China sends a signal we should heed
The rise in the reserve requirement ratio in China this week could herald the start of a process that leads to a revaluation of the renmimbi. This may in turn mean that foreign exchange reserve accumulation moderates, which could have big repercussions in fixed income markets. We look at the evidence, and conclude that revaluation could cause significant damage to Gilts, a moderate rise in US and eurozone yields, and a decline in Japanese and Australian term rates.
US rates & derivatives strategy
US Treasuries: The market digested $84bn in supply last week remarkably well.We review recent data and deduce that strong auctions are a function of overseasparticipation and significant flows from investment funds. The latter is seen as a function of outflow from money market mutual funds and has further to go. US short-end supply: We expect bill supply to decline sharply, offset by increased
discount note issuance and the Fed’s repo program. However, supply will remain scarce for Treasury and Govt money market funds, keeping yields under extreme pressure. US TIPS: The 10y auction demonstrated the strong demand for TIPS and the ease with which Treasury will be able to substantially increase TIPS issuance in 2010. Our longer term view remains that both real yields and BE’s are
headed higher, but given the large rise in both that occurred last month, we are neutral in the near term. US Futures: USM0 is trading very rich as the market is undervaluing the value of the embedded switch option. Being long the 6.875% 8/15/25 net basis vs. USM0 is similar to owning a cheap, low risk put option.
European rates & derivatives strategy
Rates Strategy: We look at Asian holdings of Eurozone debt to assess the likely impact of a potential reduction in Asian FX reserves Euro govies: Supply to reach
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