2010年2月全球利率市场投资策略报告

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【出版时间及名称】：2010年2月全球利率市场投资策略报告
        【作者】：摩根斯坦利
        【文件格式】：PDF
        【页数】：35
        【目录或简介】：
Global Perspectives
The Mediterranean Diet:
Balancing Reward & Risk
Earning carry while hedging duration and tail risks is a
balanced diet of reward and risk that we call the
Mediterranean Diet.
Our preferred method of earning carry is still through
owning front-end forward rates globally. We look to earn
carry in spread markets both in the US and Europe. We
will hedge the duration risk via short positions in back-end
forward rates. Simultaneously, we identify ‘cheap
insurance’ trades to hedge against the tail risk of a 2008-
style systemic liquidity crunch that still weighs on the
minds of investors. The rates market is unique in that
there are many efficient ways to hedge this risk.
Quality Carry
Per unit of volatility, owning front-end forward rates still
offers high-quality carry. Sharpe ratios of the 5y point in
US, EUR and particularly the UK are attractive.
Cheap Insurance
The risk of a contagion from stress in European peripheral
sovereigns has risen. We recommend trades with low
downside risk that hedge the risk of contagion. These
include receiving FF/LIBOR spreads, Greek bond switches
versus CDS, and portfolio trades in Portugal and Spain.
Inflation
Long G3 short-dated inflation breakeven offers an
attractive way to play the lower-for-longer theme.
MBS
Banks should fill the demand gap for MBS as Fed
purchases end in March. We expect an initial widening of
Libor-OAS spreads, but bank demand and strong
technicals will prevent a significant widening.
Volatility
The expiry curve has steepened as gamma has fallen,
with the front end disinverting. High implied/realized ratios
are bearish for gamma, while event risk could lead to a
spike in near-term vol. We recommend notional matched
expiry curve flatteners – which are short vol, but can still
benefit from directionality with a rise in gamma.
Japan and AXJ
Carry and contagion risk-aversion dominate our AXJ
recommendations. Carry and bank buying to support 10y
JGBs into FY end.

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