Morgan_Stanley_Fixed-Global_Macro_Strategy_January_Index_Extensions-113032841_16页_752kb

报告摘要

Morgan Stanley Global Macro Strategy Update: January 2025 Bond Index Extensions

Overview

This report analyzes January 2025 index extensions for government bond indexes, focusing on nominal and inflation-linked bonds. Extensions, measured in years, result from bond additions/subtractions, supply changes, and index rebalancing. Key aspects: Eurozone extensions marginally below average, US extension subdued, UK extension higher, Japan and others show moderate changes. Inflation-bond extensions highlight US TIPS as a standout.

Key Takeaways

Eurozone: Index extended by 0.073y, slightly below January average (0.082y) but above monthly average (0.055y). Netherlands led with 0.323y due to bond outflows.
United States: 1y+ index extended by ~0.051y, below average January extension (0.063y).
United Kingdom: Index extended by 0.169y, exceeding January average and showing contraction in longer maturities.
Japan: Extension modest at 0.025y, within expected ranges.
Australia and New Zealand: Small extensions with muted activity compared to historical averages.
Inflation-Linked Bonds: US TIPS extended by 0.262y (up from 0.177y average), while Eurozone and UK indices had lower or negative movements.

Breakdown by Region

Eurozone Government Bonds: Overall extension marginally below average due to bond outflows; Netherlands extended most significantly.
US Government Bonds: Extension below average, influenced by supply and long-end issuance.
UK Government Bonds: Higher extension than average, attributed to specific bond changes.
Japan Government Bonds: Extension within typical monthly ranges.
Australia and New Zealand Government Bonds: Subdued extensions with no major bond outflows.
Nominal Index Extensions Summary:
- Eurozone: 0.073y extension.
- US: ~0.051y extension.
- UK: 0.169y extension.
- Japan: 0.025y extension.
- Australia: 0.005y extension.
- New Zealand: 0.007y extension.
Inflation-Linked Components: Notably, US TIPS showed a large extension (0.262y), while Eurozone inflation index was 0.029y below average, and UK inflation index contracted slightly.