利率策略：全球债券过剩

Ashiftfrom a global savings glut to a bond glut points tostructurally higher long-term yields, reflecting persistentfiscal deficits alongside a price-sensitive buyer base.Incremental measures such as shortening issuance may slow Anshul Pradhan+1 212 412 3681anshul.pradhan@barclays.comBCI, US Rohan Khanna+44 (0) 20 7773 0533rohan.khanna1@barclays.comBarclays, UK Long-end yields across developed markets have repriced to multi-decade highs,but thedriver is not a return to past rate expectations: despite similar outright levels, current yieldsreflect a much larger role for term premia, rather than the expected path of short rates, Moyeen Islam+44 (0) 20 7773 4675moyeen.islam@barclays.comBarclays, UK Budget deficits remain elevated across major economies, but the causesdifferacrossregions:in the US through an erosion of convenience yield, in Europe due to vulnerability tofiscal stress re-emerging under weaker macro conditions, in the UK because of heightened Shinichiro Kadota+81 3 4530 1374shinichiro.kadota2@barclays.com Demi Hu, CFA+1 212 526 7398demi.hu@barclays.com A common thread across markets is that the buyer base has become more pricesensitive:Reduced central bank andofficialsector support have weakened inelastic demandfor duration, while a growing reliance on private investors and a diminished perception of Andres Mok, CFA+1 212 526 8690andres.mok@barclays.com Supply-side adjustments are helping at the margin, but not changing the direction oftravel:Whether through the Treasury’s bill skew, lower WAM issuance in Europe, active remitadjustments in the UK, or super-long issuance cuts in Japan, issuance management can slow Max Kitson+44 (0) 20 3134 1456max.kitson@barclays.comBarclays, UK Ayao Ehara+ 81 3 4530 1379ayao.ehara@barclays.com Absent a true macro regimeshift,long-end rallies are likely to be temporary:A sustainedrally would likely require a material growth shock, a decisive return to policy easing orbalance-sheet support, or a meaningful restoration of fiscal credibility; otherwise, the bias Thisdocument is intended for institutional investors and is not subject to all of theindependence and disclosure standards applicable to debt research reports prepared for retailinvestors under U.S. FINRA Rule 2242. Barclays trades the securities covered in this report for its US: Returning to the old normal •Long-end yields have reverted to pre-GFC levels, but their composition has fundamentallyshifted:Expected real returns on cash are significantly lower, with termpremia – both rate and fiscal – playing a larger role, particularly the latter. The inflation riskpremium is very well contained for now, but eroding insurance value is increasing the Scope remains for further repricing through neutral rates and fiscal premia:Investment-driven demand is likely to push estimates of r* higher versus the consensus, which remainstoo anchored to the post GFC–pre COVID era. There is room for the deficit outlook to worsen, 30y yields back near 5%: Same level,differentstory 30y yields have moved back near 5%, briefly revisiting levels last reached in 2007 and drawingrenewed market attention. The 5% threshold remains much watched, with evidence of demandfrom investors seeking to lock in long-duration yields at attractive levels. Here, we place current Long-end yields can be decomposed into the expected path of short rates (ie, the expectedreturn from holding T-bills) and the term premium required to bear duration risk. Bothcomponents can further be split into real and inflation elements. An alternative lens is todecompose term premia into rate-driven factors, capturing compensation embedded in swap Figures 3 to 5 present this decomposition over time and across key snapshots. Several points A significantly lower expectations component:While 30y yields are back near 2007 levels, theexpectations component (based on surveys) is materially lower. Current estimates point to~3.1% nominal, versus ~4.4% in 2007, 130-140bp lower. While surveys may be lagging andunderstating true market expectations, the magnitude of the gap suggests this is not purely a The rate term premium has normalized higher:The rate-driven term premium (30y swap rateminus the above expected rate) is now well above pre-COVID levels and also somewhat abovepre-GFC norms, indicating investors are being compensated for taking duration risk. 30y swaprates currently trade at ~110bp over the survey based expectations component, in between the Inflation compensation is well anchored:Long-term inflation expectations and risk premiumhave been well anchored and are not the reason 30y yields have risen from the lows. Mostforecasters continue to have faith in the Fed's inflation-fighting credibility and expect core PCEinflation to be near 2%. In addition, 5y5y CPI swaps have been trading in a tight range near Fiscal premium is clearly visible in asset swap spreads:Perhaps the most strikingshiftis inasset swap spreads. 30y Treasuries trade at +70bp