【出版时间及名称】：2010年全球利率展望
        【作者】：美林证券
        【文件格式】：PDF
        【页数】：67
        【目录或简介】：

Overview: Global rates to trend slightly higher in 2010
We expect global rates to trend slightly higher in 2010, helped by the pressure of
heavy bond supply and fiscal sustainability concerns, which will keep many
curves steeper than implied by their forwards, as central banks wait until the
recovery is evident before embarking on rate hikes. Yet we do not expect rate
increases to be massive as we think output gaps will keep inflation subdued for
quite some time.
US rates & derivatives strategy
Treasuries: Bear Steepener; Asset shortage theme should fade in early 2010,
allowing rates to move higher. Huge public to private shift in debt composition
should keep the curve from flattening as much as the forwards suggest.
Repo: In 2010, greater risks to repo market are actually from risks to money fund
industry and regulatory risks rather than Fed’s reverse RP program.
LIBOR: In the short term, LIBOR could continue to fall due to massive amount of
cash in system. But possibly moving from a CP benchmark to a Fed deposit
benchmark should reverse this compression by mid-year.
Swap Spreads: The Ultra contract should help 30-yr swap spreads normalize.
OIS: We think the Fed will move slowly in trying to push the effective up to the
rate being paid on reserves.
US rates derivatives: Vols should continue to drift lower at a gradual pace
throughout the course of 2010
US Futures: The introduction of the “Ultra” T-Bond future in combination with our
view that the 10/30-yr swap spread curve will steepen in 2010 makes the Long
4.5% 2/15/36 Asset Swap Spread vs Short 6% 2/15/26 ASW trade attractive.
US TIPS: We expect both nominal Treasury yields and TIPS real yields to rise in
2010, with TIPS BE’s continuing to widen as the rise in nominal yields outpaces
that in real yields. In 2010, TIPS performance on a BE basis relative to nominal
Treasuries may be quite good, yet overall total return performance may not be.
European rates & derivatives strategy
EUR front end: We think risks to front-end rates could be on either side in 2010
and we like trades offering protection on both sides such as long ERU0 put
ladders. EONIA should remain between 35-50bp until 1Q10 before its spread to
refi tightens in Apr/May10.
Euro government bonds: We consider a multi-variable model for Euro
government bond spreads to Germany, accounting for liquidity, fiscal measures
and risk aversion. We find that for 2010, Italian bonds offer most interesting value
while Portuguese bonds appear rich.
UK rates: We continue to recommend short gilt positions against swaps. The 10y
sector of the gilt curve has already underperformed Libor significantly; and we