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1、March 11, 2020 05:21 PM GMTGlobal Macro StrategyImpact of Oil on Rates and FXOil prices have fallen 45% since the start of the year. Typically this is associated with lower long-term yields, led by lower breakevens, as well as 5s30s flatteners; weak COP and NOK; strong JPY; and wider XCCY basis swap
2、s. Global Rates: In the US Treasury, German Bund and UK gilt markets we find that significant downward shocks to oil prices, both supply concern-driven and demand concern-driven, tend to be associated with moves lower in longer-maturity yields and a flattening bias for the 5s30s curve. Global Inflat
3、ion: During historical oil market sell-offs: (1) US breakevens are more affected than Europe, the UK, and Japan; (2) Real yields moves are mixed, depending on the type of oil shock; (3) Breakevens moves account for nearly 100% of the nominal moves during major oil price declines; and (4) The 2008 de
4、cline is comparable to the recent decline in breakevens. Foreign Exchange: We propose a three-stage framework for assessing currencies: 1)The initial price shock; 2) The central bank/policy-maker response; and 3) The subsequent growth impact The oil exporters COP, RUB, CAD, and NOK are the most high
5、ly sensitive to changes in oil prices. The safe-haven JPY typically appreciates when oil prices fall as risk sentiment in broader markets weakens too. FX implied volatility has picked up forthose currencies. GCC Rates/FX: GCC rates/FX markets have not adjusted as much as credit markets. As such, we
6、think that both FX forwards and swap spreads differentials versus the US have the potential to move higher should oil prices remain subdued, and as the sovereigns rely on asset drawdowns which reduce their NFA positions. Cross-Currency Basis (XCCY): In the context of a similar period from 2H15 to ea
7、rly 2016, XCCY basis swap spreads might continue to widen in the near term, but we expect them to stop short of 2016 levels, given that FX-hedged UST positions no longer provide attractive yields, and the Fed has been supplying ample funding in a bid to ensure that financial institutions continue to
8、 fulfill their functions as dollar intermediaries.Please click here if you would like to receive the daily Global Macro CommentaryMORGAN STANLEY & CO. LLCMatthew HornbachSTRATEGISTMatthew.HornbachGuneet Dhingra, CFASTRATEGISTGuneet.DhingraDavid S. Adams, CFASTRATEGISTDavid.S.Adams loana Zamfir STRAT
9、EGISTloana.ZamfirAndrew M WatrousSTRATEGISTAndrew.Watrous+1 212 761-1837+1 212 761-1445+1 212 761-1481+1 212 761-4012+1-212-761-5287MORGAN STANLEY & CO. INTERNATIONAL PLC+James K LordSTRATEGISTJames.LordTony SmallSTRATEGISTTony.SmallSheena ShahSTRATEGISTSheena.ShahJaiparan S KhuranaSTRATEGISTJaipara
10、n.KhuranaAlina ZaytsevaSTRATEGISTAlina.Zaytseva+44 20 7677-3254+44 20 7677-2571+44 20 7677-6457+44 20 7677-6671+44 20 7677-1120MORGAN STANLEY MUFG SECURITIES CO., LTD.+Koichi SugisakiSTRATEGISTKoichi.Sugisaki +81 3 6836-8428Shoki OmoriSTRATEGISTShoki.Omori +81 3 6836-5466Due to the nature of the fix
11、ed income market, the issuers or bonds of the issuers recommended or discussed in this report may not be continuously followed. Accordingly, investors must regard this report as providing stand-alone analysis and should not expect continuing analysis or additional reports relating to such issuers or
12、 bonds of the issuers.Morgan Stanley does and seeks to do business with companies covered in Morgan Stanley Research. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of Morgan Stanley Research. Investors should consider Morgan St
13、anley Research as only a single factor in making their investment decision.For analyst certification and other important disclosures, refer to the Disclosure Section, located at the end of this report.+= Analysts employed by non-U.S. affiliates are not registered with FINRA, may not be associated pe
14、rsons of the member and may not be subject to FINRA restrictions on communications with a subject company, public appearances and trading securities held by a research analyst account.Exhibit 18: Major oil price declines* in the last 15 years% changeOil200-63-42-21021Dec-08 trough Jan-15 trough Feb-
15、16 trough-50Dec-18 trough -CurrentSource: Bloomberg. Morgan Stanley ResearchExhibit 19: 10y TIPS breakevens during major oil price declines in the last 15 yearsDec-18 trough CurrentSource: Bloomberg, Morgan Stanley ResearchExhibit 20: 10y UST nominal yields during major oil price declines in the las
16、t 15 yearsExhibit 21： 10y UST real yields during major oil price declines in the last 15 yearsSource: Bloomberg, Morgan Stanley Research1. US breakevens more affected than Europe, the UK, and Japan: Purely mechanically, US CPI inflation is the most sensitive to changes in oil prices because (a) taxe
17、s on gasoline in the eurozone and the UK make up a much bigger fraction of the retail price of gasoline than in the US, and (2) US CPI carries the highest weight for energy goods and services compared to Italy, Spain, France, and Japan. Indeed, during the 2015 sell-off in oil prices, US breakevens w
18、ere the most affected, followed by HICP swaps and UK breakevens (Exhibit 16).Additionally, given that shale oil has become a major industry in the US over the last few years (Exhibit 17), a decrease in oil prices negatively affects workers in the energy sector. This negative effect spills over as we
19、aker consumer demand in the economy, further weakening prospects for inflation in the US compared to Europe and the UK.Dec-18 trough _CurrentSource: Bloomberg, Morgan Stanley Research; *We assume a trough of the current move in late March for visualization purposes.2. Breakevens moves account for ne
20、arly 100% of the nominal moves: As we can see in Exhibit 19, Exhibit 20, and Exhibit 21, the nominal yield decline in the US during major oil price declines was largely explained by the decline in breakevens. In normal market environments, breakevens make up about 30% of the moves in nominal yields.
21、 On averageJOy TIPS breakevens were 108% of the move in nominals in the last four major declines in oil. Similarly, on average, UK breakevens were 105% of the move in nominals during these oil price declines (Exhibit 25).Exhibit 22: 10y HICP swaps during major oil price declines in the last 15 years
22、-Dec-18 trough -CurrentSource: Bloomberg, Morgan Stanley ResearchExhibit 23: 10y German real yields during major oil price declines in the last 15 years-Dec-18 trough -CurrentSource: Bloomberg, Morgan Stanley ResearchExhibit 24: 10y UK breakevens during major oil price declines in the last 15 yearsJ
23、an-15 troughFeb-16 troughDec-18 troughCurrentSource: Bloomberg, Morgan Stanley ResearchExhibit 25: 10y UK real yields during major oil price declines in the last 15 yearsSource: Bloomberg. Morgan Stanley Research3. Real yields moves are mixed, depending on the type of oil shock: In theory, a supply-
24、 driven oil price decline is typically positive for consumers and growth, while a demand- driven oil price decline is the opposite and should lead to lower real yields. Exhibit 23 and Exhibit 25 show that real yields have been mixed around these oil price declines.Exhibit 26： Moves in TIPS real yiel
25、ds over the last week-100A.ACJLOOO、-COmBE- Change since Mar 04mRY- Change since Mar 04Exhibit 27: Moves in TIPS real yields during the 2008 crisisMay-08 Sep-08 Jan-09 May-09 Sep-09 10-year breakevens 10-year real yields (rhs)Fed Funds RateSource: Bloomberg, Morgan Stanley ResearchPerversely, real yi
26、elds can also go higher, even when the shock is demand-based, because investors prefer nominals over inflation-linked bonds, moving real yields higher. This is most visible in the peak of the 2008 risk-off, when 5-year real yields rose sharply (Exhibit 27), even as the Fed was cutting rates. A simil
27、ar dynamic has played out in the last week, as nominal yields have moved lower while real yields have moved higher (Exhibit 26).-Nominal Change since Mar 04Source: Bloomberg, Morgan Stanley Research4. The 2008 decline is comparable to the recent decline: While most major declines in oil prices came
28、as stand-alone shocks, the 2008 decline in oil prices came alongside a major demand shock, as the housing markets declined and the global financial crisis gripped, tightening financial conditions significantly. Recent moves in the TIPS market seem comparable to 2008 (Exhibit 19), given the sharp mag
29、nitude of the decline in oil prices due to both a supply shock (failed OPEC deal) and a demand shock (coronavirus).Why do 5y5y breakevens sell off?A common question when the oil price declines is why should 5y forward 5y breakevens decline when the decline in oil prices only affects near-term inflat
30、ion? There are two reasons why long-dated forward breakevens decline when oil prices fall: Inflation risk premium: Breakevens are made up of pure inflation expectations and an inflation risk premium which captures risk around the baseline expectation. With an oil decline like this, the inflation ris
31、k premium goes down the curve because, for every tenor, the market thinks there is a higher risk of the shock that leads to a decline in oil prices. The carry channel: Mathematically, a reduction in oil prices will reduce carry in holding TIPS bonds of every tenor. With big moves, the reduction in c
32、arry will be more meaningful, which will, on the margin, make investors choose nominals over TIPS. The carry dynamic cheapens up breakevens at every tenor.Exhibit 28: Current inflation carryBasis Points30.0 25.0 Today 1M 3M 6M 9M 12M 15MJGBI17 -JGBi18 -JGBi19 -JGBi20 _JGBi21 -JGBi22 -JGBi23 -JGBi24S
33、ource: Morgan Stanley Research30.0 25.0 20.015.010.05.00.0-5.0-10.0Today 1M 3M 6M 9M 12M 15MJGBi17 -JGBi18 -JGBi19 JGBi20_JGBi21 -JGBi22 JGBi23 -JGBi24-15.0Self-reliant Japanese linker marketThe plunge in oil prices triggered by the OPEC+ breakdown is an unambiguous negative for the Japan-style core
34、 CPI inflation rate (all items, less fresh food). As discussed in Bumpy Start to 2020 Unlikely to Significantly Impact JGB Linkers (12 Jan 2020), in Japans case movements in the price of oil tend to impact the gasoline component of CPI with a roughly one-month time lag, kerosene after around two mon
35、ths, and electricity and gas after some six to eight months. Moreover, a 10% fall in oil prices will- all else equal- tend to depress the Japan-style core CPI inflation rate by around 0.2pp.In The Oil Manual: OPECs Sisyphean Task Has Ended; Lower Prices Ahead (6 Mar 2020), our commodities strategist
36、s lowered their Brent/WTI forecasts to US$35/45/bbl for 2Q and US$30/40 for4Q. In reality it is actually the Dubai oil price that is of greatest relevance to Japanese prices, but Brent forecasts will nevertheless serve as a reference, for which reason we have opted to analyze the potential ramificat
37、ions for JGBi inflation carry under our commodities strategists base case scenario for Brent crude.Our latest inflation forecasts are based on those laid out by our economists. We should also stress that our inflation carry calculations have been made on an all else equal basis. In Japan Economics:
38、Updated GDP Forecast Table (After Revised Oct-Dec 2019 GDP) (9 Mar 2020), our economists highlight downside risk to the economy, but while this would of course be likely to have a negative impact on both the output gap and inflation expectations, we have opted not to make any assumptions at this jun
39、cture, given that the outlook remains highly uncertain.Exhibit 29： Inflation carry incorporating new oil forecastsBasis PointsSource: Morgan Stanley ResearchA comparison of Exhibit 28 with Exhibit 29 does point to something of a decline in inflation carry, but we would still expect it to move back i
40、nto positive territory over the longer term (with our strategists forecasting that oil prices will at some point start trending higher once again), That said, there is currently little to recommend JGB linkers to short-term investors.Breakevens will likely depend on some combination of supply/demand
41、 conditions in the JGBi market, economic confidence, and the behavior of nominal JGBs. We find it difficult to envisage any major movement in BEIs as long as the Bank of Japan persists with its yield curve control (YCC) framework with a floor of around -0.2% for the lOy JGB yield.Liquidity remains m
42、inimal, but JGB linkers continue to be supported by twice-monthly Bank of Japan JGBi-buying operations of around 30 billion each along with some 20 billion in monthly Ministry of Finance buybacks, suggesting that breakevens are unlikely to fall much deeper into negative territory.JGB linkers should
43、even be looking attractive to general investors with the pure BEI (after accounting for the value of the embedded floor option) already so far below zero, but we do of course acknowledge that buying interest remains minimal.To summarize, while our calculations (under an admittedly unrealistic all el
44、se equal scenario) do point to something of a decline in JGBi inflation carry, our basic expectation is that BEIs will only be impacted minimally.Foreign ExchangeMORGAN STANLEY & CO. INTERNATIONAL PLCMORGAN STANLEY & CO. LLCSheena ShahSheena.ShahDavid AdamsDavid.S.Adams loana Zamfir loana.ZamfirAndr
45、ew WatrousAndrew.Watrous+44 20 7677-6457+1 212 761-1481+1 212 761-4012+1 212 761-5287The oil exporters COP, RUB, CAD and NOK are the most sensitive to changes in oil prices. We remain bearish on NOK and COP. The safe-haven JPY typically appreciates when oil prices fall as risk sentiment in broader m
46、arkets weakens too. In recent days FX implied volatility has picked up the most for high-yielding EM and oil-exporting GIO currencies.The oil-FX frameworkThe significant sell-off in crude has weighed on oil-sensitive FX (and broader risk sentiment) in recent days. In GIO, NOK and CAD underperformed
47、their GIO peers, in contrast with the low-yielding safe havens, which outperformed. The moves were considerable: USD/CAD rose just over 2% while EUR/NOK rose 4.7%, a roughly 4- and 8- standard deviation move, respectively. In the case of EUR/NOK this was the largest one- day gain in more than 20 years.In EM, we saw record one-day move