美股-投资策略-美国债券——量化宽松的窘境

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  We use event studies to show that US Treasury yields are where they are because of rates not QE  Applying long-end yields to infer shadow rates exaggerates the true policy accommodation for the real economy  The larger Fed balance sheet and increase in money supply do not mean inflation is about to rise Client questions centre on these misconceptions Whilst defending our US Treasury forecasts we realised that the pushback to our view has a common thread leading to the QE quandary. So we were motivated to write this paper to provide a better understanding about the three main misconceptions: 1) yields are lower because of QE, 2) that by extension QE is a substitute for rate cuts, and 3) the bigger balance sheet will feed through to higher inflation and yields. Our forecast is still 50bp for US 10-year Treasuries Long-term structural themes justify policy rates staying low for a very long time. One of these themes is the level of debt that just got a lot larger, making it even more difficult for rates to rise. QE ‘rules of thumb’ that suggest yields are too low, and views on the balance sheet expansion being inflationary, are distractions from what really matters to the longer-run equilibrium policy rate. Treasury market looks through the noise For most of April, May and June the 10-year Treasury range has been just 10bp. In the volatility of March the range for daily closes was 66bp and this belies the true intra-day volatility. When we consider the size of the stimulus and the ‘lumpiness’ of net bond supply, the market’s smooth transition has been impressive. Our view means we prefer to use periods of volatility to position for lower yields. In the longer maturities we look for curve flattening opportunities. We address each of the three misconceptions After a brief executive summary this paper is divided into three sections: 1. Bond purchases and yields 2. Substituting QE for rate cuts 3. Balance sheet, money supply and the return of inflation 29 June 2020 Steven Major, CFA Global Head of Fixed Income Research HSBC Bank plc steven.j.major@hsbcib.com +44 20 7991 5980 Lawrence Dyer Head of US Rates Strategy HSBC Securities (USA) Inc. lawrence.j.dyer@us.hsbc.com +1 212 525 0924 Shrey Singhal, CFA Fixed Income Strategist HSBC Securities (USA) Inc. shrey.singhal@us.hsbc.com +1 212 525 5126 US bonds – the QE quandary Fixed Income Rates United States Three common misconceptions Fixed Income ● Rates 29 June 2020 2 Bond purchases and yields We do not believe bond yields are lower than they would have been absent QE. The consensus view is that large-scale asset purchases (LSAPs) reduced US Treasury yields significantly. There is no doubt that there can be a large initi