2010年1月全球宏观经济研究报告

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【出版时间及名称】：2010年1月全球宏观经济研究报告
        【作者】：摩根斯坦利
        【文件格式】：PDF
        【页数】：34
        【目录或简介】：
January 29, 2010
Interest Rate Strategy
Global Perspectives
Eye of the Tiger
In the Chinese zodiac, February 2010 marks the year
of the tiger and denotes a period of great change. The
change we see ahead is one of a significant rise in
rates and steepening of yield curves. We urge
investors to look into the eye of the tiger as yields fall
and position for just such a market move.
An unwind of market risk is an opportunity to put
more on: The risk of tighter policies in China and
other AXJ nations, which are considered to be the
engines of global growth, has caused many investors
to reduce risk. Sovereign risk events in Greece and
the unknown variables surrounding tighter banking
regulations in the US have caused a further unwind of
risk; opposite to what we saw in the last several
months of 2009. While the tail risks have increased,
fundamentally we do not believe the prospects for
global recovery has changed. As a result, we see this
unwind of risk as an opportunity to add to our core
views for higher rates and steeper curves.
Volatility: We recommend 1y1y cross-market payor
spreads (EUR/USD and EUR/GBP), as the
economics have become particularly attractive in the
current environment.
EUR sovereign spreads: We favor buying 2y Italian
bonds versus Germany as a way of fading any
contagion effect from Greece.
Inflation: We are looking to shed correlation as we
feel that much of the recent recovery in breakevens
has been driven by re-risking. We favor going long
short-dated TIPS and IL Gilts, and other trades.
Mortgages: We believe that the impact of the Fed’s
exit will be relative muted, a 10-15bp widening. At
the same time, we favor selling the belly of the
coupon stack as the Fed steps back. Additionally,
credit continues to deteriorate in prime mortgages,
leading to increased buyouts of delinquent loans.
Japan: Japan is not following the global trend in
liquidity, and we position for further monetary easing
by buying JGBs and selling OTM calls against them.

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