【英文】摩根士丹利报告：全球宏观策略报告：全球经济增长的V形态（122页）

We noted last week that the 5s30s curve steepener could become a strategic trade if the Fed doesn't extend duration of its Treasury QE in June,and the market starts to focus on economic data surprises. That data surprise came sooner than we expected,and if upcoming data confirms the strong improvement in the labor market in May,5s30s curve steepening could continue as a strategic trade. As yields rise, we might be seeing a regime shift, where 10s start to unwind their richness,and start leading the move higher in yields vs.30s. History suggests that now is a likely time for that to happen. We suggest adding 3s10s yield curve steepeners to our 5s30s yield curve steepeners into the June FOMC meeting. With the sharp rise in yields in the last few weeks,an obvious question would be what level of rise in yields would be acceptable to the Fed? 

We think another 25- 30bp higher in 10y yields could be a level at which the Fed might look to push back against market pricing. We suggest selling 1m30y payors 25bp OTM, to play this view, while capitalizing on rich vol and skew levels. Finally,heading into the FOMC next week, we will be pickingup hints about their forward guidance plans from the summary of economic projections (SEP), which lays down their expected path for growth, inflation,and the policy rate. We expect an open-ended monthly Treasury QE program at $80bn/month, with no duration extension. We continue to see YCC as unlikely. Overall, we see the policy mix leaning on the dovish side, supporting 5s30s and 3s10s steepeners. Euro area In the euro area, we discuss some of the factors that may be contributing to higher Bund yields and steeper Bund curves in front of the quickly approaching strong seasonal for Bunds during the summer months. We think at least four factors may be contributing to higher Bund yields and steeper Bund curves in addition to the positive tone in risk markets and the break of some key technical levels for certain DBR steepeners.