Morgan_Stanley_Fixed-Global_Macro_Commentary_January_22-113013137_24页_946kb

Global Macro Commentary Summary

Core Content

On January 22, global equities generally rose due to increased risk sentiment and optimism around artificial intelligence investments, while China equities underperformed amid tariff concerns. U.S. Treasury yields (USTs) fell across the curve, with the 10y yield at 4.611% (+3.5bp). The DXY USD Index closed at 108.23 (+0.2%), and the U.S. 10y yield was supported by a strong 20y bond auction, which resulted in a 1.1bp yield cut.

The European Central Bank (ECB) showed diverging views ahead of its January meeting, with some members supportive of rate cuts while others urged caution. French bonds (OATs) outperformed European peers, and the OAT/Bund spread tightened by ~3bp. South Africa's CPI unexpectedly slowed, leading to a 10bp drop in 5y yields. The Bank of Malaysia (BNM) kept rates on hold, with the MYR strengthening 0.9% against USD.

Key Points

Global Equities

• S&P 500: +0.6%
• Euro Stoxx: +0.8%
• Nikkei: +1.6%
• Hang Seng: -1.6% (due to tariff fears)

U.S. Treasury Yields

• 20y Auction: Strong with a cut-off yield of 4.90% (1.1bp through when-issued yield)
• 5y Yield: +4bp (leading the curve)
• 10y Yield: 4.611% (+3.5bp)

ECB Views

• Knot: Comfortable with market expectations of a 25bp cut
• Holzmann: Advocates for waiting before easing further
• Market-implied pricing: Slight increase for ECB meetings, with December meeting now ~15bp higher

FX Movements

• DXY: +0.2%
• MYR: +0.9% against USD
• USD/CAD: +0.3% (larger decline than most G10 peers)
• USD/ZAR: Muted
• EUR: -0.1%
• GBP: -0.2%
• NOK: Outperformed
• PLN: Outperformed, EUR/PLN down 0.6%

Emerging Markets

• South Africa: 5y yields fell 10bp after a surprise slowdown in CPI
• Thailand: 5y NDOIS yields fell 4bp, 1s5s curve bull-flattened 2bp
• Indonesia: 10y IndoGBs rallied 3bp
• Malaysia: NDIRS yields fell 1bp
• India: 10y G-secs and 5y NDOIS yields down 1bp
• Korea: 10y and 30y CGBs stable, NDIRS yields rose 2bp
• China: CNH weakened 0.4% intraday but recovered to end at ~7.27
• Taiwan: TAIEX rallied 1.2%

Key Economic Indicators

Developed Markets

• UK: Public Sector Net Borrowing (ex Banking Groups) rose to £17.2bn in December
• UK Median Pay Award: Fell to 3.3% in the three months to December, lowest since December 2021
• Eurozone Consumer Confidence: Deteriorated to -14.7 in January
• Eurozone Real Yields: Rose, supporting 10y Bunds

Emerging Markets

• South Africa CPI: Headline CPI edged up to 3.0% y/y, Core CPI unexpectedly slowed to 3.6% y/y
• Poland Employment: Contracted 0.6% y/y, Gross Wages slowed to 9.8% y/y
• Korea Consumer Confidence: Rose to 91.2 in December
• Malaysia CPI: Moderated to 1.7% y/y
• Taiwan Unemployment Rate: Stable at 3.4% y/y

Strategic Insights

Tactical Trading Models

• G4 10y Futures Smarter (beta) Trading Strategy: Active for all major markets, with full exposure to "Fade Shorts" portfolios
• UK 10y: Total exposure increased to 200%, with an anticipated exit date of February 26
• U.S. 10y: Exposure will increase to 100% on January 23, with an exit date of February 28

Analysts

• Alexandra Maier (Strategist): Focus on global macro and equities
• Zoe K Strauss (Strategist): Covered in global macro and equities
• Lenoy Dujon (US/Canada Economist): U.S. macro outlook
• Hiromu Uezato (Strategist): Asia coverage
• David Cueva (Strategist): European coverage
• Nimish M Prabhune (Strategist): India and Asia coverage
• Gek Teng Khoo (Strategist): Asia coverage

Important Disclosures

• Morgan Stanley Research may have conflicts of interest due to business relationships with covered companies
• Analysts employed by non-U.S. affiliates are not registered with FINRA and may not be subject to its restrictions
• The report references entities and countries under economic sanctions, which is incidental to the coverage and not an endorsement of investment activities in such regions

Summary of Events

• ECB: Diverging views on rate cuts, with some members supportive and others cautious
• Japan: JGB yield curve twisted and flattened, with 5y yields down 2.5bp and 40y yields up 2.0bp
• U.S.: Strong 20y bond auction, but 5y yields still rose 4bp
• China: Equities fell amid tariff concerns, CNH underperformed
• South Africa: CPI slowdown led to 5y yield drop of ~10bp
• Malaysia: BNM kept rates on hold, MYR strengthened
• Thailand: Customs Trade Deficit narrowed slightly
• India: CPI moderated, and RBI expects growth to rebound in the second half of 2025
• Korea: GDP growth expected at 1.6% y/y, 0.2% q/q
• Mexico: CPI rose slightly, with Core CPI up 0.26% in 1H January
• Poland: Retail Sales rose 5.1% y/y, Employment contracted 0.6% y/y

Conclusion

The global market sentiment was risk-on, driven by AI investment news and a strong U.S. equity performance, which pressured UST yields. ECB views were mixed, with diverging opinions on the timing of rate cuts. France's bond performance outperformed, and South Africa's CPI slowdown supported its rate decline. The DXY rose slightly, while MYR was the main outperformer in FX. Emerging markets showed mixed performances, with some currencies like THB and IDR gaining against USD, while others like CNH and ZAR showed more modest movements. The strategic trading signals indicate a continued focus on "Fade Shorts" portfolios across the G4 markets, with increased exposure in the U.S. and UK.