德银-美股-固定收益-股市反弹至债市，政策维持在中性状态

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1、DeutscheBankMarketsResearchNorthAmericaFixedIncomeDateUnitedStates17November2017GlobalMarketStrategyStocksrallytobonds,whilepolicykeepsvolstuckinneutralDominicKonstam■Wecontinuetothinkthatyieldsaremoreorlessfair,andifanythingseeResearchAnalystpotentialforamodestrallyfromheretowardsour

2、year-endfairvalueof+1-212-250-97532.25%on10s.Volinratesandequitiescontinuestoestablishanew,lowerequilibrium,thecurvecontinuestoflatten,andourexpectationoflowerWilliamMarshalltermpremium/higherriskneutralbegettingstableyieldsisbeingrealized.StrategistTheriskofareemergenceofvolatilitylin

3、gersasaworry,butvolislow+1-212-250-6950forareason,andperiodicvolspikes–suchasthisweek’smodestpopinequityvol–needtobesustainedtocarryanymeaningfulimplicationsformarkets.Thelackofeconomicvolatility,lowdeliveredvol,andanupwardslopingimpliedcurveallworkintogetherinthisenvironment,andweare

4、inclinedtoviewthesemodestpopsinvolasabuyingopportunity.■Thecurrentlowvolenvironmentmaysimplyreflecttheideathatvolatilitywastoohighpreviously,andtheriseofthestructuralvolshorthassimplyhelpedittofindanewlowerequilibriumlevel.WeintroduceamacromodelforimpliedratevolthatilluminatestheroleofF

5、edpolicy–throughbothitsMBSpurchasesandtheconstraintsofhikinginalowr*world–inkeepingvollow.Balancesheetrun-offshouldputupwardpressureonvolinthisframework,butabsenthigherinflationand/orgrowth,thelowneutralratemeansthatadditionalrateriseswillfurthercompresstherangeofpossiblerateoutcomes,da

6、mpeningupsideforratevolatility.Figure1:VIXandDVXhavereachedrecordlowsinthelastmonth8515014075VIXVIXmin13065DVX(rhs)DVXmin120551104510090358025701560550Jan-99Jan-04Jan-09Jan-14Source:HaverAnalyticsandDeutscheBankDeutscheBankSecuritiesInc.Distributedon:17/11/201723:36:10GMTDISCLOSURESAN

7、DANALYSTCERTIFICATIONSARELOCATEDINAPPENDIX1.MCI(P)083/04/2017.0bed7b6cf11c17November2017GlobalMarketStrategyTableOfContentsUSOverview....................................................................3Stocksrallytobonds,whilepolicykeepsvolstuckinneutral........................4Earnin

8、gsyie