20160211-穆迪服务-Treasury_Bonds_Thrive_as_Markets_Dive_30页_653kb

Moody's Weekly Market Outlook Summary

Core Content

Moody's Weekly Market Outlook provides an analysis of current credit market trends, economic indicators, and market outlook for the US, UK/Europe, and Asia-Pacific regions. The report is authored by a team of analysts and economists, including John Lonski, Ben Garber, and others, and highlights key developments in bond markets, credit spreads, and economic data.

Main Viewpoints

• Treasury Bonds Thrive Amid Market Volatility:

  • US Treasury bond yields have declined sharply, with the 10-year yield reaching a 2015 low of 1.65%.
  • The Federal Reserve's December 2015 rate hike was expected to push yields up, but instead, the 10-year yield dropped by 65 bp.
  • The spread between high-yield and investment-grade bonds has widened, indicating heightened risk aversion and economic uncertainty.

• High-Yield Bond Spread as a Warning Signal:

  • The US high-yield bond spread reached 873 bp in early 2016, the widest since 2011.
  • Historical data shows that high-yield spreads exceeding 800 bp have often preceded or coincided with recessions, though not always.
  • The spread has widened due to deteriorating fundamentals, with the VIX index suggesting a narrower spread than observed, indicating market anxiety.

• CoCos Under Pressure:

  • Contingent convertible bonds (CoCos) are facing severe sell-off due to weak earnings and uncertainty about conversion conditions.
  • CoCos have grown in size but their issuance has slowed, partly due to adverse capital market conditions and concerns over their risk profile.

• European Banking Sector Concerns:

  • Junior bank debt, including CoCos, is under scrutiny as spreads have widened significantly.
  • European banks have increased capital buffers, but lower returns on equity (ROE) and high problem loan exposure raise concerns about capital adequacy during downturns.

• Emerging Market Woes Affect Europe:

  • The slowdown in major emerging markets is impacting European banks with significant overseas operations.
  • USD-denominated corporate bond spreads from emerging market borrowers have risen sharply, indicating increased risk aversion.

• Economic Outlook for the US and Europe:

  • US economic data shows signs of slowing growth, with the Import Price Index and Producer Price Index both declining.
  • The European Union faces critical challenges, particularly around immigration and the UK's EU membership negotiations.
  • Eurozone economic growth is expected to remain modest, with risks including deflation, migration, and slowing emerging markets.

Key Information

Credit Market Metrics

High-Yield Bond Spread Analysis

• Recent Spread: 873 bp (exceptionally wide).
• Historical Context: Spread has exceeded 800 bp only four times before, three of which preceded or coincided with recessions.
• VIX Index Correlation: The VIX index suggests the spread should be closer to 710 bp, but actual spread has widened due to low VIX and weak fundamentals.

CoCos Market Trends

• Spread Increase: CoCos spreads reached 600 bp on February 9, up from 497 bp at the end of January.
• Valuation Concerns: CoCos are valued at 93% of par, down from 97% in late 2015.
• Issuance Growth: CoCos issuance in Europe has slowed, with only €7 billion added since mid-2015.

Emerging Market Impact

• USD Corporate Bond Spread: Rose to a four-year high of 523 bp in early 2016.
• Issuance Decline: USD-denominated emerging market corporate bond issuance hit a four-year low of $43 billion in the six months ending January 2016.

Economic Outlook for the Week Ahead

• US Reports:

  • Import Price Index – January: Expected to fall by -1.5%.
  • Retail Sales – January: Forecast at 0.1% overall, 0.0% ex auto.
  • Business Inventories – December: Projected to rise by 0.1%.
  • Consumer Sentiment – February Preliminary: Forecast at 92.3.
  • Housing Market Index – February: Expected to drop to 60.
  • Producer Price Index – January: Overall -0.2%, core 0.1%.
  • Industrial Production & Capacity Utilization – January: 0.3% growth, 76.7% capacity utilization.
  • Leading Economic Indicators – January: Expected to fall by -0.2%.
  • Consumer Price Index – January: Overall -0.1%, core 0.2%.

• Europe Reports:

  • EU Summit: Focus on immigration and UK's EU membership negotiations.
  • Germany – CPI – January: Expected to rise 0.7%.
  • Germany – GDP – 2015Q4: Forecast at 0.7% growth.
  • France – Nonfarm Payrolls – 2015Q4: Likely unchanged at 15.8 million.
  • Spain – CPI – January: Expected to fall by -0.3%.
  • Italy – GDP – 2015Q4: Forecast at 0.2% growth.
  • Euro Zone – Industrial Production – December: Expected to rise 0.3%.
  • Euro Zone – GDP – 2015Q4: Forecast at 0.3% growth.

Conclusion

The report highlights a period of heightened risk aversion and economic uncertainty, with Treasury bonds performing well amid market volatility. High-yield spreads signal growing concerns about corporate fundamentals, while CoCos face significant market stress. The European banking sector is under scrutiny due to weak earnings and the broader economic environment, with the EU summit and UK referendum serving as pivotal events. The US and Eurozone economies show signs of slowing growth, with the outlook for 2016 remaining cautious.