【出版时间及名称】：2010年4月全球证券市场投资策略报告
        【作者】：摩根斯坦利
        【文件格式】：pdf
        【页数】：37
        【目录或简介】：
Global Perspectives
The Improbable Trinity
The relationship between changes in economic growth,
sovereign risks and yields forms a trinity that has defined
developed rate market performance in 2010. In this newly
introduced framework, we conclude that only two
components can change in the same direction but not all
three simultaneously. For example, today we have rising
economic growth along with rising sovereign risks, which
therefore means it is improbable that yields can
sustainably rise. This is the improbable trinity that exists in
the rates market today.
Fine-tuning our positioning. Make no mistake, we still
believe that long rates are rising and see UST 10y
reaching 4.50% in the coming months. The same
framework of the trinity indicates once sovereign risks
become fully priced that yields can rise quickly. The point
we are making is that we are fine-tuning the positioning of
our view to reflect the current sovereign risk environment.
EUR Sovereign: Rising sovereign risk in developed
markets is likely to translate in to a variety of stresses to
the economy and financial markets. Amongst others, we
think inflation risks will rise, although in the EMU credit
and contagion risks may be more worrying. When looking
at distressed sovereigns, one should distinguish between
liquidity and solvency concerns. The liquidity risks mean
supply data are more important than usual; we review the
figures for the EMU along with ownership data and the
impact of ratings action.
Volatility: We favor owning short-expiry volatility as we
think event risk will bring higher realized volatility. Risks
from European peripherals, a potentially uncertain
regulatory environment, weak bond auctions both in the
US and in Europe, and upcoming elections in the UK
mean large moves in rates are becoming more common.
Mortgages: We initiate near-term longs in the mortgage
basis where valuations are cheap. Widening in the
mortgage basis since the Fed ended its Agency MBS
purchase program has been modest.
JPY & AXJ: We see rapid growth and expansionary policy
regimes in AXJ with risks of contagion of stress in the
Euro-zone pushing back of rate hike expectations. In
Japan we have hit a sweet spot and we are looking for
continued stability in JGB yields.