大摩股票融资一个新的宏观变量20260728

Equity Funding: A MacroVariable financing microstructureunderneath themshowsleveragedexposure is growing. We think equity funding has become animportant macro variable and introduce a demand-supply-priceframeworkto understandthismicro-to-macrotransmission KeyTakeawaysEquity derivative notional exposurehas eclipsed $9tr,and its rapid pace of growth underscores rising investor demand for dealer-intermediated activity.Balance sheet capacityis thebinding constraint for equity financing when demand for leverage outpaces the system's natural rate of capital creation. AxWfutures have similar economic exposure as OTC equity total return swaps;they offer a more transparent gauge of the marginal cost of equity balance sheet. Higher funding costs raise the hurdle rate on levered longs; AxW futures above3ovs.T12mrangehistoricallyhasprecededmean revision inSPXperformance Investors need to heed how equityfinancing microstructure can becomea sourceof tighter macro FCl, when the marginal buyer is one reliant on leverage. CLOSINGTODAY:The2O26Extel Global Fixed IncomePoll is open andyourparticipation matters. If you have found our research helpful, we would greatlyappreciate your support in these categories (click here to request your ballot): .USA:Economics&Strategy/General>ShortDuration Strategy·USA:Economics&Strategy/General>U.S.Rates Strategy·Global:Economics&Strategy/General>Global Macro Strategy Please add me to your distribution list. Click hereforour Bloomberg TickerAlmanac. Morgan Stanley does and seeks to do business withcompanies covered in Morgan Stanley Research.As aresult,investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of Morgan StanleyResearch.Investors should consider Morgan StanleyResearch as only a singlefactor in making their investmentdecision For analyst certification and other important disclosures,refer to the Disclosure Section, located at the end of thisreport. Executive Summary underneath shows investors are more reliant on dealerintermediated exposure.Whatchanged:Investordemandfordealer-intermediatedexposurehasgrownfasterthan bank balance sheet capacity as well as proxies for cash in thefinancial system.At the sametime, leverage has become more concentrated in areas with similar risk exposures. constraint.Banks can expand financing supplythrough capital accretion, but dealerbalance sheet capacity can expand more slowly than investor demand. 2020,providea visiblemarket price for themarginal cost of equity balance sheet. orderly; it does not show that the marginal price of equity leverage is benign. Equity funding as a macro variable:Higher financing costs raise hurdlerates formaintaining leveraged positions,slow buying, and increase odds of position squaring Exhibit2:Genericthird,quarterlyAxWfuturescontract and theS&P500since July2022,rolling252-day z-scoreandmayfromtimetotimeaddtoordisposeofanysuchsecurities(orinvestment).Therefore,investorsshould Equityfinancing pressure has eased,but elevated dealer equityrepo exposureandconcentrated leverage leave equities sensitive to constraints in balance sheet capacity. Investment implications:ThequestionisnotwhethertheFed cutsrates inthenear-termIt is whether markets should continue to price substantial risk premia for hikes,whenmarket-basedfinancial conditions already implya restrictive stance and the marginalbuyer of equities is one increasingly reliant on more expensive dealer balance sheet. Traderecommendations:We expect investors assign less weight tohawkishFed tailoutcomes.Wefavor expressions that benefit fromcurve steepening without requiringimmediate easing,suchas UST7s3Os Dv01neutral and SFRM7M8curve steepeners. What is Equity Funding? •Equity funding is the foundation that converts investor capital and collateral into gross exposure.It isfinancing,stock loan,hedging,clearingand balance sheet resources to support cash and synthetic positions.Prime brokerage links investor demand for exposure with the bankingsystem's finite capacity to intermediate it.When financing demand growsfaster than dealers can expand or reallocate balance sheet, financing costsrise and the marginal buyer becomes more exposed to tighter terms.·Equityfunding becomes relevant formacro because higher financing costscan slowleveragegrowth,pressurecrowdedpositions,tighten financialconditions, and alter the distribution of risks priced for Fed policy Thefoundationbehindequityexposure Equityfundingreferstohow investors finance,hedge, and obtain economicexposuretoequities in secondarymarkets (see ourframework for equity financing in Exhibit 3) Exhibit3:EquityFinancing:TheTransmissionMechanism loan,borrow securitiestoestablisha short position,or obtain syntheticlevered exposurethroughtotal return swaps,futures,and options.These products differ in transparency and capital efficiency, but all require a combination of collateral, funding, securities, hedging,margin, liquidity,and operational capacity