daily fixed-income insights - msci
TRANSCRIPT
March 24, 2022 (market close)
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.
Daily Fixed-IncomeInsights
Daily Trends in Yields, Equity Returns, FX
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
-8.0-6.0-4.0-2.00.02.04.06.08.0Cumulative MSCI Equity Return in USD (%)
USA World ex USA Emerging Markets
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
-505
1015202530354010-Yr Government Yield: Cumulative Change (bps)
*See Appendix for data sources
US Germany UK Japan
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
99.00
100.00
101.00
102.00
103.00
104.00
105.00
106.00Strength of USD
vs EUR vs GBP vs JPY vs CNY
−1.50
−1.00
−0.50
0.00
0.50
1.00
1.50
2.00
2.50Equity Return (%)
Nominal Yield MSCI USA
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
1.96
2.02
2.07
2.13
2.18
2.24
2.29
2.34
2.4010-Yr US Government Yield (%)
2
Monthly Trends in Yields, Equity Returns, FX
Aug2021
Sep Oct Nov Dec Jan Feb Mar*-20.0
-15.0
-10.0
-5.0
0.0
5.0
10.0Cumulative MSCI Equity Return in USD (%)
USA World ex USA Emerging Markets
Aug2021
Sep Oct Nov Dec Jan Feb Mar*-15
0153045607590
10512010-Yr Government Yield: Cumulative Change (bps)
*As of March 24**See Appendix for data sources
US Germany UK Japan
Aug2021
Sep Oct Nov Dec Jan Feb Mar*96.0098.00
100.00102.00104.00106.00108.00110.00112.00Strength of USD
vs EUR vs GBP vs JPY vs CNY
−6.00
−4.00
−2.00
0.00
2.00
4.00
6.00
8.00Equity Return (%)
Nominal Yield MSCI USA
Aug2021
Sep Oct Nov Dec Jan Feb Mar*1.12
1.31
1.50
1.69
1.88
2.07
2.26
2.4510-Yr US Government Yield (%)
3
Government Nominal Yield Curves
1 3 5 7 10 15 20 30Maturity (years)
-1.00-0.500.000.501.001.502.002.503.00US Government Yield Curve (%)
24-Mar 2022 30-Sep 2021 31-Mar 2021
1 3 5 7 10 15 20 30Maturity (years)
-1.00-0.500.000.501.001.502.002.503.00Germany Government Yield Curve (%)
24-Mar 2022 30-Sep 2021 31-Mar 2021
1 3 5 7 10 15 20 30Maturity (years)
-1.00-0.500.000.501.001.502.002.503.00UK Government Yield Curve (%)
*See Appendix for data sources
24-Mar 2022 30-Sep 2021 31-Mar 2021
1 3 5 7 10 15 20 30Maturity (years)
-1.00-0.500.000.501.001.502.002.503.00Japan Government Yield Curve (%)
24-Mar 2022 30-Sep 2021 31-Mar 2021
4
Daily & Monthly US Corporate Spreads vs Equities
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
-15
-10
-5
0
5
1010-Yr Corporate OAS: Cumulative Change (bps)
*As of March 24**See Appendix for data sources
BBB A AA
Aug2021
Sep Oct Nov Dec Jan Feb Mar*-20-10
01020304050607010-Yr Corporate OAS: Cumulative Change (bps)
BBB A AA
−2.00
−1.00
0.00
1.00
2.00
3.00Equity Return (%)
Option Adjusted Spread MSCI USA
−6.00
−4.00
−2.00
0.00
2.00
4.00
6.00
8.00Equity Return (%)
Option Adjusted Spread MSCI USA
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
182
186
191
195
199
20410-Yr BBB OAS (bps)
Aug2021
Sep Oct Nov Dec Jan Feb Mar*120
133
145
158
170
183
195
20810-Yr BBB OAS (bps)
5
Euro Corporate and Sovereign Spreads vs Equities
Aug2021
Sep Oct Nov Dec Jan Feb Mar**-10
0102030405060708010-Yr Corporate OAS: Cumulative Change (bps)
**As of March 24***See Appendix for data sources
BBB A AA
Aug2021
Sep Oct Nov Dec Jan Feb Mar**-10
01020304050607010-Yr Sovereign OAS: Cumulative Change (bps)
Italy France Spain
−6.00
−4.00
−2.00
0.00
2.00
4.00
6.00
8.00Equity Return (%)*
Option Adjusted Spread MSCI Europe
−6.00
−4.00
−2.00
0.00
2.00
4.00
6.00
8.00Equity Return (%)*
Italy France Spain MSCI Europe
Aug2021
Sep Oct Nov Dec Jan Feb Mar**107
120
133
146
159
173
186
19910-Yr BBB OAS (bps)*
*Option Adjusted Spread in basis points to German government curve.Equity return expressed in USD
Aug2021
Sep Oct Nov Dec Jan Feb Mar**22
45
68
91
113
136
159
18210-Yr Sovereign OAS (bps)*
*Option Adjusted Spread in basis points to German government curve.Equity return expressed in USD
6
Spread Term Structure: BBB Corporates & Sovereigns
1 3 5 7 10 15 20 30Maturity (years)
0
50
100
150
200
250US BBB OAS (bps)
24-Mar 2022 30-Sep 2021 31-Mar 2021
1 3 5 7 10 15 20 30Maturity (years)
0
50
100
150
200
250Euro BBB OAS (bps)*
*Spread to German government curve
24-Mar 2022 30-Sep 2021 31-Mar 2021
1 3 5 7 10 15 20 30Maturity (years)
0
50
100
150
200
250Euro Sovereign OAS (bps)*
*Spread to German government curve as of March 24**See Appendix for data sources
Italy Spain France
1 3 5 7 10 15 20 30Maturity (years)
0
50
100
150
200
250Italy Sovereign OAS (bps)*
*Spread to German government curve
24-Mar 2022 30-Sep 2021 31-Mar 2021
7
Trends in Government Yields and Actual Inflation
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-2.00-1.000.001.002.003.004.005.006.0010-Yr Government Nominal Yields (%)
US Germany UK Japan
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-2.00-1.000.001.002.003.004.005.006.00Realized Inflation (12-Month, in %)
*US: PCE ex food/energy; Eurozone: HICP ex food/energy/alcohol/tobaccoUK: CPIH ex food/energy/alcohol/tobacco; Japan: CPI ex food/energy
PolicyTarget
US Eurozone UK Japan
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-2.00-1.000.001.002.003.004.005.006.0010-Yr Government Breakeven Inflation Yields (%)
*UK breakeven inflation and real yields are adjusted to reflect historical differences between the Retail Price Index (RPI) and the Consumer Price Index (CPI)**See Appendix for data sources
US Germany UK* Japan
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-3.00
-2.00
-1.00
0.00
1.00
2.0010-Yr Government Real Yields (%)
US Germany UK* Japan
8
Spreads on Corporates & Euro / EM Sovereigns
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
050
10015020025030035040010-Yr US Corporate OAS (bps)
BBB A AA
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
050
10015020025030035040010-Yr Euro Sovereign OAS (bps)*
*Spread to German government curve
Italy France Spain
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
050
10015020025030035040010-Yr Euro OAS (bps)*
*Spread to German government curve**See Appendix for data sources
BBB A AA
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
10020030040050060070080090010-Yr Emerging Markets Sovereign OAS (bps)*
*Spread to US Treasury curve
Mexico Brazil Turkey Indonesia
9
Inflation: US Market Implied (BEI) and Actual CPI / PCE
1 3 5 7 10 15 20 30Maturity (years)
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00US Government Breakeven Inflation Yield Curve (%)
24-Mar 2022 30-Sep 2021 31-Mar 2021
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00US CPI vs Breakeven Inflation Yields (%)
*CPI ex food/energy inflation (yoy) 6.4% as of Feb 2022
CPI ex food/energy 2-yr 5-yr 10-yr
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00US CPI (%)
*CPI all items inflation (yoy) 7.9% as of Feb 2022**See Appendix for data sources
CPI all items CPI ex food/energy
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00US Inflation: CPI vs PCE (%)
*PCE ex food/energy inflation (yoy) 5.2% as of Jan 2022
PCE ex food/energy CPI ex food/energy
10
US Govt Yield Drilldown: Nominal, Real and BEI
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
-1.00-0.500.000.501.001.502.002.503.0010-Yr US Government Yields (%)
US Nominal US BEI US Real
Aug2021
Sep'21
Oct'21
Nov'21
Dec'21
Jan'22
Feb'22
Mar'22
-1.50-1.00-0.500.000.501.001.502.002.503.0010-Yr US Government Yields (%)
US Nominal US BEI US Real
ThuMar 10
Fri Mon Tue Wed ThuMar 17
Fri Mon Tue Wed ThuMar 24
-20
-10
0
10
20
30
4010-Yr Yields: Cumulative Change (bps)
*See Appendix for data sources
US Nominal US BEI US Real
Aug2021
Sep'21
Oct'21
Nov'21
Dec'21
Jan'22
Feb'22
Mar'22
-150
153045607590
10512010-Yr Yields: Cumulative Change (bps)
US Nominal US BEI US Real
11
China Government Bond Drilldown
1 3 5 7 10 15 20 30Maturity (years)
2.002.252.502.753.003.253.503.754.00China Sovereign (CNY) Yield Curve (%)
24-Mar 2022 30-Sep 2021 31-Mar 2021
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
0.000.501.001.502.002.503.003.504.004.5010-Yr Yields (%)
***See Appendix for data sources
China Sovereign (CNY)
US Treasury (USD)
US AA Corporate (USD)
China Sovereign (USD)
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
-1.000.001.002.003.004.005.006.007.008.00Realized Inflation (%)**
**China inflation (yoy) 0.9% as of Feb 2022Inflation measured by All Items CPI includes food and energy prices
China US
−8.00
−6.00
−4.00
−2.00
0.00
2.00
4.00Equity Return (%)*
Yield (CNY) MSCI China
Aug2021
Sep Oct Nov Dec Jan Feb Mar*2.89
2.97
3.04
3.11
3.18
3.26
3.3310-Yr China Sovereign Yield (%)
*As of March 24. Equity return in USD
12
Long-Run Trends in Yields and Inflation
Jun1997
Jan'01
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-1.000.001.002.003.004.005.006.007.008.0010-Yr Government Nominal Yields (%)
US Germany UK Japan
Jun1997
Jan'01
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-2.00-1.000.001.002.003.004.005.006.00Realized Inflation (12-Month, in %)
*US: PCE ex food/energy; Eurozone: HICP ex food/energy/alcohol/tobaccoUK: CPIH ex food/energy/alcohol/tobacco; Japan: CPI ex food/energy
US Eurozone UK Japan
Jun1997
Jan'01
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-3.00-2.00-1.000.001.002.003.004.005.0010-Yr Government Breakeven Inflation Yields (%)
*UK breakeven inflation and real yields are adjusted to reflect historical differences between the Retail Price Index (RPI) and the Consumer Price Index (CPI)**See Appendix for data sources
US Germany UK* Japan
Jun1997
Jan'01
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-3.00-2.00-1.000.001.002.003.004.005.0010-Yr Government Real Yields (%)
US Germany UK* Japan
13
Long-Run Trends in Spreads
Mar2003
Jan'06
Jan'08
Jan'10
Jan'12
Jan'14
Jan'16
Jan'18
Jan'20
Jan'22
010020030040050060070080010-Yr US Corporate OAS (bps)
BBB A AA
Mar2003
Jan'06
Jan'08
Jan'10
Jan'12
Jan'14
Jan'16
Jan'18
Jan'20
Jan'22
010020030040050060070080010-Yr Euro Sovereign OAS (bps)*
*Spread to German government curve
Italy France Spain
Mar2003
Jan'06
Jan'08
Jan'10
Jan'12
Jan'14
Jan'16
Jan'18
Jan'20
Jan'22
010020030040050060070080010-Yr Euro OAS (bps)*
*Spread to German government curve**See Appendix for data sources
BBB A AA
Mar2003
Jan'06
Jan'08
Jan'10
Jan'12
Jan'14
Jan'16
Jan'18
Jan'20
Jan'22
0
250
500
750
1000
125010-Yr Emerging Markets Sovereign OAS (bps)*
*Spread to US Treasury curve
Mexico Brazil Turkey Indonesia
14
Trends in Yield and Return Volatilities
Jan2000
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
0
50
100
150
20010-Yr Government Nominal Yield Volatility (bps)*
US Germany UK Japan
1 3 5 7 10 15 20 30Maturity (years)
0
50
100
150
200US Nominal Yield Volatility Curve (bps)*
18-Mar 2022 24-Sep 2021 26-Mar 2021
Jan2000
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
0
50
100
150
20010-Yr US Yield Volatility (bps)*
*Realized volatility using exponential time decay with half life of 18-weeks**See Appendix for data sources
Nominal BEI Real
Jan2000
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
0
10
20
30
40
50
60Equity and 10-Yr US Government Return Volatility (%)*
US 10-Yr NominalMSCI USA
MSCI World ex USAMSCI Emerging Markets
15
Trends in Correlations and Yield Curve Slope
Jan2000
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-0.75
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00Return Correlations: Equities & 10-Yr US Government*
10-Yr Nominal vs: MSCI USAMSCI Emerging Markets
MSCI World ex USA
Jan2000
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-0.75
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00Return Correlations: US Equity & 10-Yr US Real, BEI*
MSCI USA vs: 10-Yr Government BEI10-Yr Government Real
Jan2000
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-0.75
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00Yield Correlations: 10-Yr US Government*
*Realized correlation using exponential time decay with half life of 2-years**See Appendix for data sources
10-Yr Nominal vs: 10-Yr BEI 10-Yr Real
Jan2000
Jan'04
Jan'07
Jan'10
Jan'13
Jan'16
Jan'19
Jan'22
-200
-100
0
100
200
300
400
500Yield Curve Slope: 10-Yr less 3-Month (bps)
US Germany UK Japan
16
FX Trends
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
95
100
105
110
115
120
125Strength of US Dollar
vs EUR vs GBP vs JPY vs CNY
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
90100110120130140150160170180Strength of US Dollar
vs MXN vs BRL vs CAD vs KRW
0 1 2 3 4 5Maturity (years)
85
90
95
100
105FX Forward Curve: Strength of US Dollar*
*As of March 24
***See Appendix for data sources
vs EUR vs GBP vs JPY
Apr2018
Jan'19
Jul'19
Jan'20
Jul'20
Jan'21
Jul'21
Jan'22
0
5
10
15FX Volatility (%)**
**Realized volatility using exponential time decay with half life of 18-weeks
USD/EUR USD/GBP USD/JPY USD/CNY
17
GDP
2020 2021 Q22021
Q3'21
Q4*'21
-10.0
-5.0
0.0
5.0
10.0US GDP (%)
*Most recent quarterly GDP: 1.7
2020 2021 Q22021
Q3'21
Q4*'21
-10.0
-5.0
0.0
5.0
10.0Eurozone GDP (%)
*Most recent quarterly GDP: 0.3
2020 2021 Q22021
Q3'21
Q4*'21
-10.0
-5.0
0.0
5.0
10.0China GDP (%)
*Most recent quarterly GDP: 1.6
2020 2021 Q22021
Q3'21
Q4*'21
-10.0
-5.0
0.0
5.0
10.0Japan GDP (%)
*Most recent quarterly GDP: 1.1
**See Appendix for data sources
2020 2021 Q22021
Q3'21
Q4*'21
-10.0
-5.0
0.0
5.0
10.0UK GDP (%)
*Most recent quarterly GDP: 1.0
2020 2021 Q22021
Q3'21
Q4*'21
-10.0
-5.0
0.0
5.0
10.0Germany GDP (%)
*Most recent quarterly GDP: -0.3
18
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Appendix
Data Sources
Yields and Spreads MSCI zero coupon yield and spread curves
Indexes MSCI USA Index, MSCI World ex USA Index, MSCI Europe Index, MSCI China, MSCI Emerging Market Index
Relative Strength of Currencies MSCI
Inflation and GDP OECD, Eurostat, UK Office of National Statistics, Cabinet Office of Japan, US Bureau of Economic Analysis, US Bureau of Labor Statistics, National Bureau of Statistics China
20
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