2025-06-11-花旗集团-研究周度概览_20页_4mb

Research Weekly Summary

Core Content Overview

This document is a weekly research snapshot from Citi Research, focusing on US Economics, US Rates, Emerging Markets, Spread Products, EUR CLOs, US Consumer ABS, and Non-Agency MBS. It is intended for institutional investors only and highlights key economic indicators, market trends, and investment recommendations.

US Economics

Core Content

• The Federal Reserve kept rates unchanged, but further rate cuts are expected.
• The unemployment rate remained stable at 4.2% following a summer rise, indicating some market reassurance.
• Continuing jobless claims suggest higher unemployment is on the horizon.
• The labor market is expected to loosen further, with economic activity slowing after a period of front-loading.
• The next Fed rate cut is now expected in September, with 25 basis points (bps) cuts anticipated at each meeting through March of next year, totaling 125bps.

US Rates

Core Content

• The deficit-related market dynamics remain a key focus, with term premium near multi-year highs.
• The buyers strike has cooled, with some flattening of the yield curve before the NFP data.
• The report suggests selling upside risk on 2y tails (3.7% at 9:43AM on 6/11/25) via costless 1X2 payer spreads.
• The front-end yields are relatively pinned, which may lead to further upside risks for the long end.
• The fiscal bill is unlikely to see significant changes in the Senate, maintaining the deficit narrative.
• Treasury may need to increase coupon sizes, but this is not fully priced in.
• The Fed removed the Wells Fargo asset cap, but UST demand from them is not expected to increase significantly in the short-term.

Emerging Markets Strategy

Core Content

• USD price action is biased to the downside, benefiting Emerging Markets (EM).
• Tariff-related issues may continue to cap USD, as international investors adjust their US asset allocations.
• Local currency bond flows are supported by both exogenous and endogenous factors.
• EM FX positioning is closely tracked, with Asia FX showing strong performance despite widening US vs Asia interest rate differentials.
• The report highlights the importance of monitoring EM FX positioning as a key indicator for the sub-asset class.

Spread Products Barometer

Core Content

• The table presents a detailed overview of spread levels, changes, and returns across various asset classes, including RMBS, US Consumer ABS, Non-Agency MBS, and others.
• Key metrics include:
  • Current Spread (bps)
  • 1y Tight (bps)
  • 1y Wide (bps)
  • Spread 1y Range (bps)
  • 1y/5y Percentile (%)
  • QT Percentile (%)
  • YTD Returns (%)
  • FY2024 Returns (%)
• Notable observations:
  • RMBS spreads show modest changes with limited dispersion.
  • US Consumer ABS and Non-Agency MBS exhibit varied spread dynamics.
  • Some assets are highlighted with red bars for scores below 50%.
  • The report provides data sources and notes on how spread levels are calculated and tracked.

EUR CLOs

Core Content

• EUR CLO primary markets are slow to restart, with May MTD new issue volume at €2bn, below the 12-month average of €4bn.
• Primary AAA spread dispersion was limited to 7bps in May, contrasting with the US where it was 32bps.
• Refi and reset activity is expected to increase as €50bn of EUR CLOs will exit their non-call periods by the end of 2025.
• Deals with a cost of debt (WACC) of at least 200bps and a deal factor of at least 60% are likely candidates for refi or reset.

US Consumer ABS

Core Content

• S&P downgraded nine Flagship bonds, including three previously investment-grade (IG) Class Ds that fell below IG.
• All downgraded deals have been on the watchlist for six months.
• The 2023 vintage of Flagship bonds shows no improvement from 2022 levels.
• Auto loan performance worsened marginally in April, which is atypical as defaults typically decline MoM since 2019.

Non-Agency MBS

Core Content

• Delinquencies continued their tepid rise, with D60+ rates increasing by 5 to 10bps in May for non-QM, Prime 2.0, and HELOC/CES sectors.
• The D60+ rates reached 3.9%, 0.5%, and 1.0% respectively.
• Credit deterioration is expected to continue at a modest pace due to higher mortgage rates.
• High underwriting standards and low loan-to-value (LTV) ratios are expected to contain defaults and losses.
• Citi Research has introduced a new data product for non-QM credit performance by shelf, including DQs, REO, Foreclosure, Speeds, and Cumulative Net Losses, to be published monthly.

Key Information and Disclosures

• This document is not for distribution to retail investors.
• Citi Research is a division of Citigroup Global Markets Inc., which may have conflicts of interest due to its business relationships.
• Analysts are certified to the extent that the views in the report reflect their personal views and were prepared independently.
• The report includes important disclosures regarding the Firm's role as a liquidity provider and market maker.
• Compensation for analysts is not directly linked to specific recommendations or transactions.
• The report includes historical recommendations and disclosures, which can be accessed via Citi Velocity.

Analysts and Contact Information

• Robert Rowe
  Managing Director
  US Regional Director of Research
  Head of Global Strategy & Macro Group
  Email: robert.rowe@citi.com
  Phone: +1-212-723-1168

• Gisela Young
  Research Sr Associate
  US Economics
  Email: gisela.young@citi.com
  Phone: +1-212-816-8349

Additional Notes

• The report includes a detailed table with spread data, yield, WAL, and return metrics.
• The data is sourced from Citi Research, Bloomberg, Citi Velocity, Yieldbook, Trepp, Intex, and LCD.
• The report provides a disclaimer for visually impaired individuals who wish to discuss the graphics.