2025-06-05-花旗集团-研究周度快照_22页_1mb

报告摘要

US/Global Economic Slowdown Concerns: Citi Research views continuing high jobless claims and recently slower consumer spending growth as early indicators of an economic slowdown and higher unemployment rate, rather than tailwinds. The Fed is expected to cut rates further and deeper than markets currently price in.
Fed Cuts: The expectation is that increases in the unemployment rate, seen now at 4.3% and expected in future, will convince Fed officials to act sooner.
Tariffs: The US Court of International Trade ruling on the original Trump tariff framework is seen as a blow, necessitating other tariff authority. The impact is considered to be positive for US equities (downside noise revised down) but negative for the back-end of the Treasury curve due to persistent inflation.
US Rates: Rising jobless claims and lower inflation are tightening labor market conditions. 1-year inflation swaps remain bounded. A buyers' strike on 2-year Treasuries persists due to inflation concerns, limits on Fed tools (aiming for soft landing), and strong economy/Treasury funding needs. The Fed and Treasury lack tools to formally end the curve selling.

EMFX Short-term View Positive: Maintaining a positive shorter-term view on EM currencies. Rationales include relatively appealing real yield valuations (compared to core real yields) and better past 12-18 months EM vs US economic performance.
Tariff Policy: The short-term impact of the tariff ruling revision is judged as positive for US equities due to reduced risk aversion/noise. Consequences for the curve and deeper mechanics are unknown. The next step for Trump's tariff policy if the court ruling stands is the key question.
Investor Flows: Flow data shows CETEM and CESUI negative recently, reflecting risk aversion stemming from the negative news flow around tariffs. The US dollar index trend remains up.

This section presents a detailed table with average values and trends for various fixed-income products, primarily MBS. Key metrics include Current Spread, 1y Trend, Yield, WAL (weighted average life), 1y Percentile (overall and within the past 5 years), and QT Percentile.
Non-Agency RMBS Simple Interest rates appear elevated (e.g., STACR B1 around 30-34%), offering scope for steepening. Non-QM (Non-Full Documentation Payable) deals have the highest yields and narrowest expected excess returns, potentially due to the stressed base case. ABS 7Y and AAA are near their 1y high percentiles, indicating low absolute spreads but significant upside potential globally. Credit Card and Auto ABS are at similar levels.
Overall, the scores provide insights into valuation and positioning across different asset classes. Much of the commentary focuses on positioning against core yields and identifying relative value opportunities. Basis views (like a slight negative for 1x2 payer) are changed.

Japanese trip observations suggest tepid demand from investors this week/outlook.
Reasons for potential rotation out of US assets include uncertainty around their use, high hedging costs, and attractive domestic yields. Stronger loan demand might mean less subsequent MBS demand from banks. A constructive bias has been removed in favor of a neutral stance.
Overall rates appear fully discounted, but significant divergence between real and nominal yields adds some attractiveness to the 3-year.

Rebound in New Issues: May sees a rebound in CLO new issue volume, suggesting resilience.
Slow Refi/Reset Pace: However, following tariff announcement jitters, the pace of refinancing and reset has slowed compared to the Spring refi cadence.
Large Refi Wave: There are significant deal concentrations due for refinance or reset by year-end. These typically have high average WACCs (>200bps pre-tax) and remain attractive relative value pending pricing. This potential supply year may allow faster spread reduction than in Spring.

Slowed Issuance: Headline high yield bond and leveraged loan issuance in 2025 is significantly slowed from initial forecasts, reflecting the uncertain macro environment and sluggish overall corporate finance activity.
Dovish Revision: Forecast revised down to $250bn (from $370bn) for bonds and $390bn (from $530bn) for loans.
Outlook: Although tailwinds eventually expected (a more "Greenspan glide path" from rate expansion), the initial implementation seems paused.
Structure: Sour activity, particularly loans, may allow management to delay repricing. Corporate borrowers have less urgent refinancing needs. The refi target remains an underlying driver.

Retail Uncertainty: Positives in May (+$6bn) were reversed in June ( -$2bn) due to inflation tape and tariffs. Retail exposure poses a key credit risk through deteriorating sales and traffic trends, particularly harder-hit subsectors (department stores, furniture, CE).
Deals Under Specific Depreciation: Specific mentions lack positive outlook in Foot Locker (FFL), Steve Madden (SMA), Gymboree (GBC), Apollo (APOL). Potentially upside in restaurants (BKFS, PF, NYCB) and specialty health (True).
Correlation with Broad Market: While the broader market supports certain crowded trades (groc suppliers, etc.), specific durations/vintages within those sectors lack breadth. Malls (option Alpha note) are still expensive. Foot traffic data highlights differentiation.

Non-QM Strains: Loss severity is highest in Non-QM under distressed investor scenarios compared to traditional or alternative docs. DSCR investor deals have the highest severity (30% loss) and higher foreclosure average (approx 10 months).
DSCR Characteristics: DSCR deals are structured for a business base case, allowing for a faster, more streamlined foreclosure process, which likely contributes to the higher severity and average time between workout and liquidation when funded selectively.

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