2025-05-15-花旗集团-研究周度快照_22页_1mb

US Economics Snapshot: Equity markets retraced post-April declines, with long-term Treasury yields stabilizing above 4%. Soft data remain weak, but hard data are resilient, supported by a solid jobs report. Fed's wait-and-see approach continues, influenced by recent data; a softening labor market may lead to rate cuts later this year.

US Rates Analysis: Recent move in 2y yields reflects downside risks priced out of 2025; tariffs could keep risks high. Term premium is expected to remain elevated due to foreign demand challenges, fiscal concerns, and potential pension fund demand drops. Front-end swap spreads look attractive despite recent widening, driven by risk-on sentiment.

Emerging Markets Outlook: Maintains short and medium-term positive view for EM assets post-FOMC meeting. Headwinds from weaker trade volumes and upside US goods inflation risks are anticipated; Fed is likely to remain cautious, requiring more data on inflation and economic outcomes.

Spread Products Barometer: Reports YTD and FY2024 returns for various indices, highlighting trends in spreads, percentiles, and volatility. Includes analysis of 1y and 5y Percentile scores, with red indicating below-50% performance, and QT Percentile benchmarks.

Agency MBS Insights: Risk assets rallied, Treasury yields sold off, with Fed custody holdings showing a $27bn drop. Shift in focus from tariffs to taxes could pressure yields further. Implied volatility is low, and a neutral stance is maintained with a constructive bias.

High Yield Credit Focus: Energy bonds negatively impacted by oil prices falling below $60, which creates negative convexity. Energy sector is seen as a source of lower returns and higher volatility; recommendation reversed to underweight.

CMBS Analysis: International travel to the US has declined, with hotel demand weakening in top tourism markets like New York and Miami. Full-service hotels face risks, and spread volatility varies by location (e.g., Washington DC has lowest volatility).

US Consumer ABS Update: Data center ABS issuance growing, with spreads widening compared to generic ABS. Used vehicle market may stabilize once tariffed cars appear; solar loan ABS bonds were downgraded by KBRA.

Non-Agency MBS: Citi Securities Trust (STACR) conducted a tender offer on $2.8B in CRT bonds, with 62% accepted. Additional CRT calls expected in 2025-2026, increasing pressure on callable deals.

Spread Products Barometer Reiteration: Details on excess returns, trends, and comparative performance, with charts indicating spread ranges and year-over-year changes.