全球量化策略-2022年全球新兴市场固定收益展望：低期望的胜利

James.Lord@morganstanley.comFilip.Denchev@morganstanley.comPascal.Bode@morganstanley.comSimon.Waever@morganstanley.comIoana.Zamfir@morganstanley.comGilberto.Hernandez-Gomez@morganstanley.comEmma.Cerda@morganstanley.comMin.Dai@morganstanley.comBelle.Chang@morganstanley.comJingzhong.Zhang@morganstanley.comMORGAN STANLEY & CO. INTERNATIONAL PLC+James K LordSTRATEGIST+44 20 7677-3254Filip DenchevSTRATEGIST+44 20 7677-3166Pascal N BodeSTRATEGIST+44 20 7425-3282MORGAN STANLEY & CO. LLCSimon WaeverSTRATEGIST+1 212 296-8101Ioana ZamfirSTRATEGIST+1 212 761-4012Gilberto A Hernandez-GomezSTRATEGIST+1 212 296-8940Emma C CerdaSTRATEGIST+1 212 761-2344MORGAN STANLEY ASIA LIMITED+Min DaiSTRATEGIST+852 2239-7983Belle ChangSTRATEGIST+852 3963-0668Jingzhong ZhangSTRATEGIST+852 2239-15282022 Global EM Fixed Income Outlook2022 Global EM Fixed Income OutlookA Triumph of Low ExpectationsThis past year has been filled with false hope for EM investors.It promised so much, yet delivered so little. Expectations for2022 are low. Markets will remain challenging near term andwe stay defensive, yet with a little patience by this time nextyear we'll be enjoying better returns.FX & EM Strategy: We expect more USD strength in the short term, and risksthat it overshoots. We thus maintain our bearish FX and neutral rates view fornow but think we're in the final phases of the FX sell-off and the next movewould be to turn bullish on rates and neutral FX. Thus, full-year returns shouldlook better in 2022 than 2021 in local markets, but some patience is required.Sovereign Credit Strategy: The tactical window to hold EM risk lasted only a fewweeks, making us revert back to our bearish stance that sees EMBIG-D reach405bp by mid-2022. External forces are tightening, with higher US real yields,wider US credit spreads and a stronger USD, all while EM growth still lags theUS and EM sovereign credit fundamentals are weak. Implications include: i) Staybearish overall and buy EM CDS protection on TURKEY, BRAZIL and REPSOU;GCC to keep outperforming, like Oman and Qatar; among IMF credits we likeEcuador, Ukraine and Argentina; fiscals dominate in the mid-tier space – Mexicoand the Dominican Republic to outperform, South Africa and Morocco to lag,Brazil and Colombia neutral despite cheapness; in quasis we suggest addingPEMEX, INVCOR, ARAMCO and ADGLXY. We also provide three focus piecescovering debt concerns, the GCC commodity story and remittances.LatAm Macro Strategy: Hawkishness to peak by March 2022 but cycle stagedispersion is high. Stick with 1s5s COPxIBR flatteners in Colombia (for early-cycle), but sell belly breakevens in Mexico and 10y breakevens in Chile(intermediate cycles). In Brazil, we add Jan 24 DI receivers (for aggressive butmaturing hiking cycle). We extend the target on 10y COPxIBR payers to 7.00%as election concerns build into 1Q22. In FX, we add 3m6m USD/MXN calendarcall spreads as a tail hedge around the energy reform bill, into the April vote.Asia Macro Strategy: Asia FX a