摩根大通：全球利率策略概述

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The report discusses the volatility in developed market (DM) yields due to fluctuating tariff headlines and significant movements at the long end of the yield curve, particularly following the US downgrade by Moody's and weak long-dated bond auction results [1][4][5] - The report anticipates further rate cuts from the European Central Bank (ECB) and the Reserve Bank of New Zealand (RBNZ), with the ECB expected to lower rates by 25 basis points to 2% [1][33] - The term premium in 5Yx5Y EUR rates has increased since the start of 2025 but remains below the peaks observed in 2022, indicating a complex interaction of supply and demand dynamics in the long end of the curve [1][10][13] Summary by Sections Market Dynamics - Recent weeks have seen choppy movements in DM yields, influenced by tariff announcements and the US credit rating downgrade, leading to a bear steepening of curves that has since retraced [1][2][4] - The long end of the yield curve has been particularly volatile, with Japan experiencing the largest one-day swings in 30Y JGB yields in a decade [1][7][9] Central Bank Actions - The RBNZ has cut policy rates by 25 basis points to 3.25%, with a hawkish tone suggesting limited further cuts in the near term, while the ECB is expected to cut rates next week without signaling future moves [1][33] - The report highlights that the RBNZ is likely to hold rates through the second half of 2025 and implement further cuts in early 2026 [33] Term Premium Analysis - The report notes that term premia uncertainty is more impactful on 5Yx5Y or 10Y yields than on longer maturities, with current term premiums in EUR intermediate swaps appearing excessive relative to macroeconomic drivers [10][18][19] - The estimated term premium has increased since the start of 2025 but remains subdued compared to 2022 levels, indicating potential mispricing in the market [13][16][18] Yield Curve Comparisons - The report compares 5s/30s curves across different markets, noting a strong positive correlation between the curves in the US, UK, and Eurozone, with the UK exhibiting a higher beta relative to the US [24][25][22] - It concludes that the excessive steepness of the 5s/30s curves globally has moderated but is unlikely to fully normalize, particularly for USD and GBP curves due to limited political appetite for fiscal tightening [25][30]