高盛：2013年全球固定收益投资策略资料下载.pdf

高盛：2013年全球固定收益投资策略资料下载.pdf

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December7,2012FixedIncomeMonthlyGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearch1December7,2012FixedIncomeMonthlyEconomicsResearchThemesfor2013:

@#@SteeperCurvesandSeniorityShiftsSteeperCurvesinMajorGovernmentBondMarketsin2013Weforecastagradualincreaseinintermediatematurityyieldsinthemaincurrencyareas,asinvestorsbringforwardto2015/16expectationsaroundthestartofthetighteningcycle,andbuildabiggertermpremiumfortheperiodspanning2017-2022.IntheUS,weproject10-yearTreasuryyieldstoend2013at2.25%around40bpabovetheforwardsandfromtherecontinuetorise,reaching3.75%byend-2016.EMUYieldsSettoConvergeFurtherWeexpecttoseeafurtherreductionintheyieldofferedbySpainandItaly,particularlyinmaturitiesupto5years.Thisshouldsupportthedeleveragingofbankbalancesheetsinthesetwoeconomiesand,overtime,resultinamoreevendistributionofliquidityintheEuroarea.Asoneofour2013TopTrades,werecommendpositioningoutrightlongof5-yearSpanishGovernmentBondswithatargetof3.50%,translatingintoanun-leveredtotalreturnintheregionof8%.EMUSovereignDebt:

@#@AProspectiveMetamorphosis?

@#@Whilewedonotexpectcreditevents,weforeseeheightenedawarenessofpotentialshiftsinseniorityrankingforEMUlegacysovereigndebt,aftertheintroductionofCACs,heavierissuancefromtheEFSF/ESM,andadebatearoundpossibledebtmutualisationandcommonissuance.Suchtopicsarelikelytobecomemoreprominentintherun-uptotheGermanelectionsnextSeptemberandaffectprimarilyverylong-datedmaturities.FrancescoGarzarelli+44（20）7774-5078GoldmanSachsInternationalSilviaArdagna+44（20）7051-0584GoldmanSachsInternationalGeorgeCole+44（20）7552-3779GoldmanSachsInternationalInvestorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ForRegACcertificationandotherimportantdisclosures,seetheDisclosureAppendix,orgotoGoldmanSachsGroup,Inc.GoldmanSachsDecember7,2012FixedIncomeMonthlyGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearch2MacroRateThemesfor2013:

@#@SteeperCurvesandSeniorityShiftsWesetoutourinvestmentthemesfor2013inmacroratesspace.Theseincludeagradualincreaseinintermediatenominalratesasglobaleconomicactivitypicksupmomentum.Wealsoexpectfurthercompressionofintra-EMUspreads,especiallyinmaturitiesoutto5years,andanincreasedfocusonpotentialshiftsinseniorityforexistingholdersoflonger-datedgovernmentbonds,asthedebatesurroundingplansforapartialmutualisationoflegacysovereigndebtandpossiblycommonissuancecontinues.ALookBackto2012.Inbroadbrushstrokes,theendof2012hasbeencharacterisedby:

@#@（i）asubstantialdeclineinnominallongratesinthemajorcurrencyblocs,partlyledbymoreeasingbycentralbanksthanoriginallyexpected（particularlyincontinentalEurope）inthecontextofrelativelystableinflationexpectations;@#@（ii）aflight-to-safetyfavouringAAAissuers,alongsidestrongreturnsoncreditproductsinscarcersupply（HighYieldcorporatebonds,emergingmarketdebt）;@#@and（iii）aroller-coasterperformanceofthelowinvestmentgradeEMUsovereignperipherals,suchasItalyandSpain,shunnedbyinternationalinvestorsbutwithsufficientdomesticcapacitytoabsorbnewbondissuanceandforeignselling.Againstthisbackdrop,werecommendedtacticalexposuretoEMUperipheralbondmarkets.Specifically,wesuggestedgoinglongItaly（onaspreadtoFrance）betweenJanuaryandMarch,andlongabasketofItaly,SpainandIrelandbetweenmid-Juneandmid-September.Ourrecommendedtradeswouldhavedeliveredapotentialcumulativeun-leverednon-annualisedtotalreturnofabout20%.Wehavebeenlesssuccessfulincallingthedirectionofrisklessrates,however.Wewerestoppedoutofourrecommendationforshortpositionson10-yearUSTreasuriestwice,recordingpotentialsmalllosses,andonshortsinKoreanrates.Atthebeginningof2012,werecommendedsellingGermanBunds,butthetradehitthestop-lossaftertwoweeks,withapotentiallossof3.5%.OnAugust20,2012,weinitiatedashortpositionon5-yearFrenchbonds,whichwerecommendedclosingata1.5%lossonDecember7.Exhibit1:

@#@LowerQualityCreditinHighDemandEMBondIndexisCitigroupGlobalEMSovereignBondIndexExhibit2:

@#@FrancehadBetterRisk-ReturnthanItalyin2012Totalreturnson7-10-yearmaturityGovernmentBondsSource:

@#@Bloomberg,GSGlobalECSResearchSource:

@#@Bloomberg,GSGlobalECSResearch5075100125150175Jan-12Mar-12May-12Jul-12Sep-12Nov-12IndexEMBondBenchmarkTRIndexUS5yHYTRIndexPortugal5-7yTRIndexIreland5-7yTRIndexGreece10ybond05101520250.00.51.01.52.02.53.0FranceJapanItalyAustraliaGermanyUSASwitzerlandUKCanadaSwedenSpain%YTDvolatility-adjustedreturnYTDabsolutereturn（RHS）December7,2012FixedIncomeMonthlyGoldmanSachsGlobalEconomics,Commoditiesan