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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
The adverse scenario informing our US 10-year Treasury
forecast appears to have played out. No change to the 2.10%
end-2019 forecast
Instead, the focus turns to curves where the US front-end has
room to steepen if Fed rate cuts start soon
We are neutral duration across core rates markets, but are
more cautious on credit, which looks increasingly exposed
Reversing over-optimism bias explains half of the yield drop Page 4
There is much discussion about the suddenness of the recent drop in US yields.
Indeed, weaker data, trade tensions and the Fed’s focus on the inflation undershoot
explain the recent downward shift in end-2020 rate expectations. But this misses the
point that expectations for the economy and rate hikes were overly optimistic, largely
due to the Fed’s projections in Q4 2018.
Duration and curve: taking stock as yield forecasts are hit Page 11
A flattening bias is maintained for Eurozone curves, whilst front-end steepening is
now preferred in the US. We are tactically neutral on duration across Treasuries,
Bunds and gilts. That said, we cut our year-end 10-year Bund yield forecast to -20bp,
down from 10bp previously.
Inflation-linked: reaching for the bottom Page 8
US and Euro breakevens have faced a potent cocktail of unfriendly forces. 30-year
TIPS continue to offer the best outright value for those prepared to look through the
near-term noise and position consistently with a steeper curve.
Credit looks exposed Page 21
Deteriorating fundamentals support our cautious stance across much of the global
credit spectrum. Nevertheless, we have become more concerned, especially in Asia,
that the spread widening could be even larger than we previously thought.
Bullish backdrop for EM local rates markets Page 22
We think yields have further to fall across various local rates markets and retain a
preference for China and Russia. There are exceptions, however.
Steven Major, CFA
Global Head of Fixed Income Research
HSBC Bank plc
steven.j.major@hsbcib.com
+44 20 7991 5980
12 June 2019
Fixed Income Asset Allocation
Fixed Income
Global
That was quick
Fixed Income
●
Global
12 June 2019
2
Convictions and forecasts 3
Global direction 4
Americas 7
US 7
Canada 8
USD supras & agencies 8
USD Credit 9
Latin America 10
EMEA 11
Eurozone core 11
Eurozone non-core 12
UK 13
EUR supras and agencies 15
Covered bonds 15
European Credit 16
CEEMEA 17
Green bonds 17
Asia Pacific 19
Australia 20
New Zealand 20
Asia credit 21
Asia rates 22
Currencies 23
Forecasts 24
Disclosure appendix 26
Disclaimer 29
Contents
3
Fixed Income
●
Global
12 June 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
10 Jun (%)
1 month (bp)
1 month
3 month
Ytd
US Treasury
◄
►
BUSY
6.32
2.07
-31
1.99
3.47
4.23
Euro core
◄
►
I05760EU
7.85
-0.35
-12
1.28
2.11
3.27
Euro non-core
▼
▼
LTITTREU
6.82
1.75
-21
1.98
2.37
3.40
UK gilt
▼
▼
LSG1TRGU
12.57
1.00
-25
3.35
3.80
5.61
Japan govt
▲
▲
BEPAGA
9.93
-0.06
-8
1.06
1.42
2.28
Canada govt
◄
►
I05500CA
7.10
1.53
-19
1.51
2.14
3.71
Australia govt
◄
►
BEASGA
7.02
1.37
-24
1.83
4.21
6.62
Global inflation
◄
►
iBoxx inflation
12.52
-0.89
-18
1.74
2.58
5.32
Covered
▼
▼
iBoxx Covered
4.78
0.13
-14
0.73
1.49
2.59
Euro SSA
◄
►
iBoxx Sub-sovereigns
6.79
0.41
-15
1.15
1.99
3.45
USD SSA
◄
►
iBoxx Sub-sovereigns
3.79
2.86
-28
1.26
2.55
3.77
EM Sovereign
◄
►
EMUSTRUU
7.64
5.71
-25
2.28
3.91
8.56
Euro IG
◄
►
iBoxx EUR Corporates
5.10
0.95
-6
0.47
2.18
4.40
Euro HY
▼
▼
iBoxx EUR High Yield
3.35
3.99
9
0.09
1.81
5.77
US IG
◄
►
Bloomberg US Corporates*
7.58
3.40
-23
1.82
4.43
7.61
US HY
◄
►
Bloomberg US High Yield*
3.65
6.16
-5
0.49
2.62
8.78
Asia credit
▼
▼
iBoxx ADBI
4.95
3.86
-25
1.61
3.73
6.81
*HSBC FI Research opinion, direction of arrows indicates change of view from previous month’s Fixed Income Asset Allocation
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
Q3 '19
Q4 '19
Q1 '20
Q2 '20
Q3 '20
United States
2.14
2.10
2.10
(-0.10)
2.10
(-)
2.10
(-)
2.10
(-)
2.10
(n/a)
Germany
-0.23
-0.30
-0.25
(-0.30)
-0.20
(-0.30)
-0.15
(-0.25)
-0.10
(-0.20)
0.00
(n/a)
France
0.12
0.05
0.05
(-0.30)
0.05
(-0.35)
0.10
(-0.30)
0.15
(-0.25)
0.25
(n/a)
Italy
2.35
2.20
2.45
(-)
2.20
(-0.20)
2.15
(-0.25)
2.20
(-0.20)
2.30
(n/a)
Spain
0.59
0.45
0.60
(-0.40)
0.75
(-0.25)
0.75
(-0.20)
0.75
(-0.15)
0.80
(n/a)
United Kingdom
0.84
0.90
0.95
(-0.05)
1.00
(-)
1.00
(-)
1.00
(-)
1.00
(n/a)
Japan
-0.11
-0.10
-0.15
(-0.10)
-0.15
(-0.10)
-0.15
(-0.10)
-0.20
(-0.15)
-0.20
(n/a)
Canada
1.52
1.51
1.50
(-0.10)
1.50
(-)
1.50
(-)
1.50
(-)
1.50
(n/a)
Australia
1.45
1.55
1.55
(-0.20)
1.50
(-0.35)
1.40
(-0.45)
1.40
(-0.45)
1.40
(n/a)
Source: HSBC, Bloomberg. Change from last month shown in parentheses.
Neutral
Neutral
Neutral
Neutral
Mildly bullish
Neutral
Mildly bullish
Neutral
Mildly bearish
Mildly bullish
Mildly bearish
Neutral
Neutral
Mildly bearish
Mildly bearish
Mildly bearish
Mildly bearish
Fixed Income
●
Global
12 June 2019
4
That was quick
The bond rally of 2019 has defied consensus opinion but it is ever thus (see Figure 1).
Arguably, a sufficient proportion of the market needs to have the wrong position – in this case
expecting yields to rise – for a move lower in yields to be possible. This was the case in Q4 18.
We are presented with a different problem when everyone starts to think the same. US 10-year
yields are close to our end-2019 forecast of 2.10%, which inevitably prompts the question as to
whether the forecast will now change. All of a sudden the consensus view is for lower policy
rates, reflected in the dramatic shift in Fed funds futures expectations for end-2019 and end-
2020 (see Figure 2).
We think there is much more to this than tariffs and trade. Already in Q4 2018 there was
evidence from the incoming data outside of the US that all was not well. Economic data from
Europe and China was already closer to the Fed’s own definition of an adverse scenario under
the Dodd-Frank stress tests (Yanking down the yields, 29 March 2019) even though the US
economy may have been ticking along closer to base.
Subsequently, the focus on the inflation undershoot evident from February this year (FIAA:
Peloton, 10 April 2019) has given more of a domestic storyline. We will presumably hear more
about how the Fed might address past undershoots, or future overshoots, in subsequent FOMC
meetings. This will be informed by the 4-5 June System review conference at the Chicago Fed.
Global direction
At least half of the 150bp downward shift in US rate expectations
since October 2018 is explained by the removal of an optimism bias
Some of the recent discounting of rate cuts reflects softer incoming
data and trade tensions…
… but none of this is sufficient to lower our end-2019 US 10-year
bond yield forecast from 2.1%
Steven Major, CFA
Global Head of Fixed Income
Research
HSBC Bank plc
steven.j.major@hsbcib.com
+44 20 7991 5980
Figure 1. HSBC 10Y US forecasts vs consensus and spot
Source: HSBC, Bloomberg Note: consensus uses Bloomberg year-end survey forecasts, HSBC forecasts from 1 year before
The global economy was
already weakening in the face
of Fed rate hikes in Q4 18
Consensus yield forecasts
have fallen along with the US
10-year spot yield, yet again
2.13
2.65
1.2
1.6
2.0
2.4
2.8
3.2
3.6
4.0
Dec 15 Dec 16 Dec 17 Dec 18 Dec 19
Yield (%)
Q4 '16 consensus
Q4 '17 consensus
10Y US Treasury spot
Q4 '19 consensus
Q4 '18 consensus
HSBC year-end forecasts
5
Fixed Income
●
Global
12 June 2019
Over-optimism bias
Looking more closely at Figure 2, the shift in the Fed funds futures contracts from the beginning of
2018 – to both end-2019 and end-2020 – tells the story. Having increased by the equivalent of about
three 25bp rate hikes, to reach a peak in October 2018, there has since been a decline of twice this
magnitude. The peak-to-trough move – from October to June – has been the equivalent of six 25bp
rate cuts. The scale of the recent decline is because of the fall from a lofty height.
This pattern mirrors the changing shape of the Fed’s ‘dot plot’. The committee’s median rate
hike expectations were finally erased at the March meeting, and given recent commentary from
top Fed officials, will most likely tip towards an easing bias in subsequent meetings, or perhaps
a lower long-run median ‘dot’. Not for the first time is the Fed lagging the market. Over the last
six years the long dot has fallen from 4.25% to 2.75%, consistent with bond forward rates. This
happened through a period when they were actually tightening policy, through tapering, rate
hikes and shrinking the balance sheet.
Similarly, consensus expectations, reflected in the Fed funds futures, have followed an
exaggerated version of the Fed’s guidance, rate hikes followed by rate cuts, and a peculiar
‘hump’ in the dot plot. So a large proportion of the 164bp peak-to-trough move in the Fed funds
2020 futures yield can be explained by the removal of what we think can now be labelled
mistaken tightening expectations.
An over-optimism bias in official forecasts for GDP, inflation and interest rates is not new.
Neither is the over-dependence on central bank guidance by mainstream forecasters, which
appears to be the result of forward guidance.
Bond yield forecasts necessarily look through gyrations in short rate expectations, hence there is no
change to our end-2019 forecast of 2.10%. When spot yields were 100bp or so higher than our
forecasts, we did not have compelling reasons to make a change. The same is true now.
This is not about economic theory. This is about
refining our framework in a way that could be of
practice use.
Fed Vice Chair Richard Clarida, speaking to CNBC about the Fed’s
inflation framework (Chicago, 4 June 2019)
Mr Clarida gave a very candid
interview, revealing a more
pragmatic line of thinking
Reversing the over-optimism
bias embedded in the dot-
plot and mainstream
forecasts for rates
Fed guidance resulted in
mainstream forecasters
projecting too much
tightening through the hump
in its ‘dot plot’
Figure 2. Peak-to-trough Fed funds expectations collapse
Source: HSBC, Bloomberg *Normalised from the start of 2018
81
1.4
1.6
1.8
2.0
2.2
2.4
-80
-60
-40
-20
0
20
40
60
80
100
Jan 18 Apr 18 Jul 18 Nov 18 Feb 19 Jun 19
Rate (%)
Re-based yield (bp)
IOER (RHS)
Fed funds future Dec 2020*
Fed funds future Dec 2019*
US mid-
terms
Powell
pause hints
Fed: 2019
dot lowered
to no hike
US impose
Mexico
tariffs
-164bp
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