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Disclosures & Disclaimer

This report must be read with the disclosures and the analyst certifications in

the Disclosure appendix, and with the Disclaimer, which forms part of it.

Issuer of report: HSBC Bank plc

View HSBC Global Research at:

https://www.research.hsbc.com



ECB policy accommodation reinforces the yield curve

flattening theme



US real rates appear to have already reached a significant

level: 1% is the new 2%



We look for duration exposure where it is cheap: Australia

and the Eurozone periphery present the best opportunities

Australia leads, G3 valuations close to policy neutrality Page 21

We remain neutral on the duration call for the big markets and prefer to look for the

directional risk in areas where our conviction is stronger. We cut our end-2019

Australia 10-year forecast to 1.85% (from 2.3%) reflecting the increasing probability

of easing.

Eurozone periphery flattening is best Page 13

The front-ends have already benefitted from the ECB TLTRO announcement and

conviction over low-for-longer. Syndicated deals for Greece, Italy and Spain all went

very well, reflecting faith in the ECB. The path is clear for more flattening, and a shift

to a mildly bullish view on the non-core.

Mildly bearish credit views maintained Page 10

The more cautious stance on credit is consistent with the low-for-longer stance on

rates. For US credit the deteriorating fundamentals present a major headwind to a

market that has performed so strongly this year.

Inflation-linked: value in TIPS and short-dated EUR breakevens Page 8

We do not need to be worried about inflation to justify purchases of inflation products,

especially where they are cheap. Besides, they also provide a hedge for our more

cautious stance on risky assets.

Emerging markets: increasingly selective on diverging policies Page 23

We remain bullish local rates in China, Russia and Indonesia, but are cautious

elsewhere in EM. This reflects our neutral stance on duration in core markets and

increasingly diverging policies within EM, especially on the fiscal front.

Steven Major, CFA

Global Head of Fixed Income Research

HSBC Bank plc

steven.j.major@hsbcib.com

+44 20 7991 5980

12 March 2019

Fixed Income Asset Allocation

Fixed Income

Global

Flat as a pancake

Fixed Income

●

Global

12 March 2019

Convictions and forecasts

Table 1. The HSBC Conviction Snapshot: our views on the fixed income asset classes for the coming month

Conviction*

Index

Yield

Returns (%)

1 month

Name

Duration

8 Mar (%)

1 month (bp)

1 month

3 month

Ytd

US Treasury

◄

►

BUSY

6.07

2.57

-2

0.13

1.90

0.73

Euro core

◄

►

I05760EU

7.77

-0.13

0.11

0.95

1.11

Euro non-core

▲

LTITTREU

6.79

1.84

-36

2.24

3.52

1.37

UK gilt

◄

►

LSG1TRGU

12.38

1.29

-0.24

0.32

1.48

Japan govt

◄

►

BEPAGA

9.76

0.04

0.01

1.34

0.84

Canada govt

▼

I05500CA

6.93

1.76

-11

0.96

2.17

1.47

Australia govt

▲

BEASGA

6.70

1.90

-10

0.33

3.40

2.32

Global inflation

◄

►

iBoxx inflation

12.18

-0.60

-5

0.65

1.52

2.25

Covered

◄

►

iBoxx Covered

4.74

0.40

-7

0.41

1.31

1.08

Euro SSA

◄

►

iBoxx Sub-sovereigns

6.53

0.63

-6

0.45

1.66

1.39

USD SSA

◄

►

iBoxx Sub-sovereigns

3.67

3.32

-2

0.33

1.98

1.17

EM Sovereign

◄

►

EMUSTRUU

7.46

6.07

0.36

4.86

4.14

Euro IG

▲

iBoxx EUR Corporates

5.05

1.28

-6

0.44

2.50

2.17

Euro HY

▼

iBoxx EUR High Yield

3.48

4.28

-30

1.47

4.08

3.88

US IG

◄

►

Bloomberg US Corporate*

7.43

3.86

-3

0.52

3.79

3.08

US HY

◄

►

Bloomberg US High Yield*

3.94

6.74

-15

0.87

3.74

5.82

Asia credit

◄

►

iBoxx ADBI

4.84

4.36

-9

0.83

3.94

2.98

*HSBC FI Research opinion, direction of arrows indicates change of view from previous month

Source: Bloomberg, iBoxx, HSBC

Notes: Bloomberg indices are used, except for inflation, covered bonds and SSAs, which use iBoxx. Germany is used as a proxy for the Eurozone core (I05760EU) and Italy for

the periphery (LTITTREU). Indices are local currency except for inflation and EM which are US-dollar based. Euro corporates, covered bonds and SSAs are euro-denominated.

*Bloomberg Barclays US Corporate/High Yield.

Notes: Bloomberg indices are used throughout, with the exception of global inflation, covered bonds and SSAs,

which use iBoxx indices. Germany is used as a proxy for the Eurozone core (BGER) and Italy for the region’s

periphery (BITA). The indices are all local currency except for Global inflation and EM sovereign which are both

US dollar based. The Eurozone IG Corporate, HY Corporate, Covered and Sub-Sovereign indices are euro-

denominated.

Table 2. Forecast summary: 10Y yields (%)

Country

Current

+1m

Q2 2019

Q3 2019

Q4 2019

Q1 2020

Q2 2020

United States

2.66

2.70

(-0.10)

2.65

(-)

2.50

(-)

2.50

(-)

2.50

(n/a)

Germany

0.07

0.05

0.10

(-)

0.20

(-)

0.20

(-)

0.20

(-)

0.20

(n/a)

France

0.41

0.40

0.45

(-0.05)

0.50

(-0.10)

0.50

(-0.05)

0.45

(-0.10)

0.45

(n/a)

Italy

2.53

2.60

(-)

2.45

(-)

2.20

(-)

2.20

(-)

2.20

(n/a)

Spain

1.17

1.05

(-0.20)

1.20

(-0.10)

1.20

(-)

1.20

(-)

1.20

(n/a)

United Kingdom

1.19

1.20

(-)

1.30

(-)

1.40

(-)

1.40

(-)

1.40

(n/a)

Japan

-0.03

0.05

(-)

0.00

(-)

0.00

(-)

0.00

(-)

-0.05

(n/a)

Canada

1.77

1.85

1.90

(-0.40)

1.90

(-0.45)

1.90

(-0.50)

1.90

(-0.50)

1.90

(n/a)

Australia

2.03

2.15

2.05

(-0.25)

1.95

(-0.35)

1.85

(-0.45)

1.90

(-0.40)

2.00

(n/a)

Source: HSBC, Bloomberg. Change from last month shown in parentheses.

Neutral

Mildly bullish

Neutral

Mildly bearish

Mildly bullish

Neutral

Mildly bullish

Mildly bearish

Neutral

Mildly bearish

Neutral

Fixed Income

●

Global

12 March 2019

When 1% for US real rates is the new 2%

Central banks have been busy capitulating on previous tightening commitments, shifting to an

easing bias or maintaining the existing accommodation levels. In itself this information should

be bullish for bonds but the problem in some cases is valuations.

The Fed’s IOER represents a floor to US yields (US Fixed Income: Top 10 Questions, 4 March

2019). For us to lower our end-2019 forecast for 10-year Treasuries (2.50%) we have to believe that

Fed rate cuts will start sooner rather than later. Put simply, if the Fed is still shrinking its balance

sheet into Q3 2019 it will be hard to envisage a cut before 2020. Forward curve steepening already

says there is some preparation for this (see Figure 1) and it will require a high conviction that rates

are coming down to justify such bullish steepening exposure.

In contrast to the ECB, at least the US Fed can look back at some relative success in

normalising policy, having lifted the IOER by 215bp over three years − to reach 2.40% − whilst

simultaneously shrinking the balance sheet. The headline number is the USD500bn by which

the Fed’s balance sheet has shrunk since its peak, but the real story is the USD1.2trn drop in

excess reserves from the peak in September 2014 (see Figure 2). The optimum level of

reserves, at which the Fed will stop shrinking the balance sheet, appears to be much closer

than many would have envisaged from the standpoint of a year or so ago.

Global direction



Developed market 5Y5Y real rates appear to be settling

close to equilibrium levels, lower than the previous cycle…



... so it is hard to be overweight duration without high

conviction of further easing



In the meantime, the ECB is doing its best to pancake the

yield curve

Steven Major, CFA

Global Head of Fixed Income

Research

HSBC Bank plc

steven.j.major@hsbcib.com

+44 20 7991 5980

Figure 1. Curve has steepened in the forwards

Source: Bloomberg, HSBC

Some preparation for easing

is apparent

Central banks’ balance

sheets holds the key

-5

Mar 18 Jun 18 Sep 18 Dec 18 Mar 19

USD 10Y

-2Y swap curve (bp)

spot curve

2Y forward

Fixed Income

●

Global

12 March 2019

It is still too early to conclude for sure that the Fed has over-tightened but the facts are pointing

in that direction. Through shrinking the balance sheet, at a time when the global economy has

become far more leveraged and therefore sensitive to rates, it does not take much in the way of

rate hikes to have an outsized effect. It looks like 1% real rates is the new 2%. So reaching

2.40% IOER is comparable to reaching 5.25% in the last tightening cycle (2005-07).

US real yields are relatively high (see Figure 3). They may be low in absolute terms but

compared to what’s on offer in Japan and the Eurozone, US real yields are much more

attractive. If it wasn’t for the significant fiscal loosening, US real rates would be substantially

lower than they already are

. Private sector neutral real rates may have fallen 700bp since the

1970s but this would have been even greater without the increase in government debt and

unfunded liabilities (e.g. pay-as-you-go pensions).

Looking at the 5y5y real rates gives guidance on the shift in market-implied equilibrium neutral

rates. Comments from Fed Chair Jerome Powell last year put the equilibrium real neutral rate

close to 50bp. Most estimates of a similar rate for the Eurozone put it in negative territory

(Draghi, 2016 and Constancio, 2016). As for Japan, having experienced policy rates at zero for

20 years, forward real yields have barely budged during the period of yield curve control, which

started in September 2016.

ECB pancakes the yield curve

The ECB was two days late (Pancake Day was 5 March) but its announcements add to

pressure to flatten the curve. Slashing its Eurozone 2019 GDP growth forecast (to 1.1% from

1.7%), extending the forward guidance and providing a ‘new’ TLTRO3 were accommodative

steps. It is, however, as much about what was not said – or what is waiting to be said – that will

really matter.

“On Falling Neutral Real Rates, Fiscal Policy,

and the Risk of Secular Stagnation,” Rachel and Summers, BPEA Conference Drafts, March 7–8, 2019

1% is the new 2% for real rates



The narrow normalisation path is proving to be a

winding one



Claudio Borio, BIS, 5 March 2019

Low real rates are in the price

Most significant line-item

shift is excess reserves

Figure 2. Fed B/S: Assets = liabilities = USD3.969trn

Source: HSBC, New York Fed *This consists of deposits from US Treasury, foreign officials and multilateral organisation

0 1000 2000 3000

Treasuries (including LSAPs)

USD2,175bn

MBS

USD1,608bn

Other

USD184bn

Agency debt

USD2bn

0 1000 2000 3000

Currency (notes and coins)

USD1,672bn

Reverse repos

USD237bn

Other deposits*

USD510bn

Liabilities

Assets

Excess reserves

USD1,505bn

Capital accounts

USD39bn

Other liabilities

USD6bn

Sep 2014 when

excess reserves

were USD2,677bn

剩余31页未读，继续阅读

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