Morgan Stanley Fixed-Global Macro Commentary August 11-103398211-此為英文文檔

Update

August11,202310:43PMGMT

GlobalMacroCommentary|Global

August11

StrongUKJuneGDPdrivesdouble-digitgiltsell-off;Front-endledUSTsell-offfollowsfirmPPI;SEK,NOKlossescontinueamidprecariousriskbackdrop;USD/CNHrisesonsluggishChinacreditdemand;RBA'sLowecommentsonAustralianhousingoutlook;US10yat4.152%(+4.7bp).

Pleaserefertoourrecentpublicationsandcollaborations(NorgesBankPreview:Another25;Inflation-LinkedMarketStrategy:JulyCPI;GovernmentBondAuctionPipeline:TheMonthAhead;EMStrategy:FiscalRiskPremiaUpdate;BrazilEconomics&Strategy:JulyIPCA;EMFixedIncomeFlowsUpdate:WhereSupplyMeetsDemand;Podcast|TheGlobalMacroGuide:August11).

?StrongJuneUKGDPat0.5%m/m(C:0.2%)leadstoabove-consensus2Q23UKGDPat0.2%q/q(C:0.0%)anddrivesasignificantcheapeninginUKgilts;10ygiltssell-off16.2bpto4.52%.

?Front-endledUSTsell-offcommencesasfirmerJulyUSPPItranslatestoanaccelerationinJulycorePCEinflation;5s30sflattensby~6bpandreturnstonegativeterritory(-4bp).

?Scandinaviancurrencies,SEK(-0.6%)andNOK(-1.0%),leadG10lossesagainstUSDasriskmarketconditionsremainprecarious.

?USD/CNH(+0.2%)returnsabove7.26,itshighestlevelsinceearlyJuly,amidsluggishcreditdemandinChina;newCNYloanstothereal

economyfalltoa17-yearlowinJuly.

?RBAGovernorLowegivesrelativelysanguineremarksabouttheAustralianhousingandconsumptionoutlookatParliament.Hesays,

“peoplehaveknownthisiscoming,andmanypeoplehavepreparedforit”anddownplayedpotentialconcernsabouta“mortgagecliff.”

ThemainG10centralbankeventsintheweekaheadareMonetaryPolicyMeetingsfortheRBNZ(8/15)andNorgesBank(8/17)aswellasreleaseofMinutesfromthe

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2

Update

AugustRBA(8/14)andJulyFOMC(8/16)meetings.SelectedscheduledG10central

bankspeakingengagementsincludeMinneapolisFedPresidentKashkari(8/15),

RBNZGovernorOrr(8/16),andRiksbankDeputyGovernorBreman(8/17).InEM,

MonetaryPolicyMeetingsarescheduledfortheNBU(8/15)andBSP(8/17).

RetailSales(8/14:China;8/15:US;8/18:UK)andCPI(8/14:PolandandIndia;8/15:

Sweden,Canada,Israel,andArgentina;8/16:UKandPoland;8/17:Japan;8/18:Euro

Area)datawillheadlinenextweek’seconomiccalendar.FixedAssetInvestment

(8/14:China),theWagePriceIndex(8/14:Australia),labormarket(8/15:UK),and

GDP(8/16:EuroArea)datawillalsobecloselywatched.

SovereignsupplywillfeatureissuancefromGermany,France,Spain,theUK,Japan,

Australia,NewZealand,Canada,andChina.Forfurtherdetails,pleaserefertoour

economists’regionalweeklies:JapanEconomics–KeyDataWatchCalendar,

EuropeanEconomicsWeekly,CEEMEAEconomicsWeekly,WeekAheadinLatin

America,andUSEconomics–FridayFinish.OurGlobalBondAuctionPipeline

includesasupplyandredemptionsummaryfortheweekandmonthahead.

DevelopedMarkets

UnitedStates:

Riskmaintaineditsprecarioustoneinthefinalsessionoftheweek.Furthersignsof

distressforChina’slargestpropertydeveloperdampenedriskappetiteasboththe

Shenzhen(-2.30%)andHangSeng(-0.90%)indicespushedlower.Inaddition,

sluggishcreditdemandinChinaduringJuly(newCNYloanstotherealeconomyfell

toa17-yearlow),ledoureconomistsciteriskofadebt-deflationloopshould

monetaryandfiscalpolicyeasingnotbedelivered;USD/CNH(+0.2%)rosetoahigh

sinceearlyJuly.

ClosedforMountainDayaheadoftheObonholidays,JGBsweresparedfromthe

globalsovereignbondsell-off.UKgiltsunderperformedonacross-marketbasisas

yieldsstageddouble-digitadvancesacrossthecurvefollowingstronger-than-

expectedUKGDPdataforJuneand2Q23.As2ygiltyieldssurgedto5.01%

(+12.7bp),marketsparedthelikelihoodforBoEratecutsin2024andpricedina

cumulative50bpofratehikesbyDecember2023.WiderUK-USyielddifferentials

supportedariseinGBP/USD(+0.2%)to1.270assterlingwasoneoffewcurrencies

tofinishagainstabroadlystrongerUSdollar.

USTsjoinedtheongoingsell-offacrossthepondalongsidereleaseoffirmJulyPPI

datawhichtranslatedtoanaccelerationincorePCEinflationforJuly.Withthis

anticipatedobstacletocorePCEdisinflation,theUSSTIRcurvetradedsimilartoUK

STIR,butatroughlyhalfthemagnitude.At3bp,theattractiverisk/rewardofpaying

theSeptemberFOMCmeetinglikelyattractedtacticalmarketparticipants,butthe

mainmovesreflectedaslowerpaceofratecutsin2024.

Instridewithredsandgreensunderperformance,5yUSTs(4.30%,+6.9bp)beganto

underperformonthecurve.Givenaratesmarketseeminglysetuptosell-offwith

eitheranin-lineorupsidesurpriseUniversityofMichiganinflationexpectationsora

downsidesurprise(discountedasapreliminaryreport),long-terminflation

expectationsat2.9%(C:3.0%)inAugustonlytemporarilystemmedthemarch

higherinUSTyields.The5ytenorcheapenedby~4bponthe2s5s10sbutterflyand

MorganStanleyResearch3

Update

the5s30scurveflattened~6bpto-4bp.

Amidstill-subduedriskdemand,Scandinaviancurrencies,SEK(-0.6%)andNOK(-

1.0%),ledG10lossesagainstUSD.Aheadofnextweek’sRBNZmeetingandafter

NewZealandfoodpricesfellforthefirsttimeinoverayear,NZD(-0.6%)broke

belowakeypsychologicallevelof0.600.USD/JPY(+0.1%)continueditsprecarious

marchtowardthe145.00levelandclosedatitshighestsinceNovember.

AsidefromgainsintheEnergysector,theS&P500(-0.11%)tradedwithadefensive

biasasUtilities,ConsumerStaples,andHealthcarewereamongthetopperforming

S&P500GICSsectors.

Thisweekbroughtthebondmarket’sfirstchancetoabsorbincreasedUSTcoupon

supplypost-Augustrefunding.Despiteastellar3yauction(1.8bpthrough)anda

verysolid10yauction(0.1bptail),themarketchosetofocusonamediocre30y

auction(1.4bptail)asproofsupplyconcernswerevalid.Althoughtherehavebeen

clearsignalsthefiscalyear2023USbudgetdeficitwouldcomeinhigher-than-

expected,marketsagainchosetouseahigherJulydeficitasprooffiscal

sustainabilityandspendingconcernswerevalid.Addinweakinflationandsluggish

creditdemandfromChinaandriskmarketconditionssuddenlydidnotseemso

accommodative,evenwiththeslightly-softerJulyUSCPIreport.The-0.31%weekly

declineintheS&P500masksasignificantintraweekreversalasequitiesdisplayed

signsoffatigueandfinishedtheweek~1.4%belowthepost-CPIintraweekhighs.

Europe:

ScandinaviancurrenciesextendedunderperformancefromThursday,whichfollowed

softJulyNorwegianCPI;USD/NOKandUSD/SEKrose1.0%and0.6%,respectively.

GBPheldfirmagainstUSD,up0.2%,afterUKGDPdatashowedanunexpected

manufacturingrebound,whichsentGBP/USDbacktothebottomofthe1.27-1.28

channelittradedwithinthisweek.

EuropeandurationopenedloweronFridayfollowingstrongUKGDPdata(for

more,readhere).IntheLondonafternoonsession,higher-than-expectedUScore

andheadlinePPIdrovethenextlegofthesell-off.Although,driversofthesell-off

wereextrinsictotheEuroArea,the10yUST-Bundspreadtightenedcloseto6bpd/

dbyLondonclose.Consistentwithrecentpriceaction,thesell-offwasledbythe

long-endinEurope,as2s10ssteepened4bpontheswapcurve(against6m)while

10s30sflattenedlessthan1bp;5s10s30scheapenedby~2.5bp.TheCoreASW

complexcontinuedtotighten(exceptforBuxl),onceagainledbySchatz(-1bp).10y

BTPscheapenedby1bpagainst10yBundsafter~3bpoutperformanceintheprior

session.BonosandOATstightenedslightlytoBundsinthe10ysector.

DollarBloc:

Risk-sensitivecurrenciesfellsharplyagainstUSDonFridayascoreDMyields

pressedhigher,spurredbyvigorousUSproducerprices.NZGBstwist-steepenedand

outperformed(2025NZGB:-1bp;2025ACGB:+4bp),asNewZealandfoodpricesfell

forthefirsttimeinoverayear.NZDunderperformed,down0.7%againstUSD,

whichpushedAUD/NZDbackabove1.0850forthefirsttimethismonth.

EmergingMarkets

4

1dΔ(bp)2wk

5.36.56.96.64.72.21.0

11-Aug

4.8954.5754.3014.2464.1524.445

4.261

Tenor

2y

3y

5y

7y

10y

20y

30y

3.0332.7872.6262.5902.6222.759

2.701

7.17.28.69.19.68.3

8.1

1dΔ(bp)2wk

2.14.21.52.9

(1.0)

2.6

11-Aug

2.0022.3161.7732.3751.943

2.332

Tenor

5y

BEI

10y

BEI

30y

BEI

0.1802.389

0.588

8.11.4

2.4

DBRiBEI

UKTi

3.8012.8

BEI

JGBiBEI

1.099(0.4)

1dΔ(%)2wk

0.3

(0.3)

0.20.1

(0.0)(0.3)(0.1)

1dΔ(%)2wk

0.2

0.1

(0.1)

0.70.5

(0.7)

0.3

11-Aug

102.851.0951.270144.960.8770.650

1.344

Spot

CNH INRTHBKRWZARMXN

BRL

11-Aug

7.26

82.84

35.09

1324.65

18.95

17.01

4.91

SpotDXYEURGBPJPYCHFAUD

CAD

Update

Asia:

TheriseinUSTyieldsovernightonThursday,despitesofterCPIdata,spilledover

intotheAsiasessiononFridayandmostAxJcurrenciesweakened.KRWwasthe

worstperformingcurrency,asmarketparticipantsremainedconcernedwhether

repatriationofIran’sfrozenassetcouldcauseKRWweakness.ThePBoCkeptthe

CNYfixingat7.1587,consistentwiththepatternoverthepastfewsessions(i.e.,the

fixinghasbeenbelow7.16despitehigherUSD/CNYinthespotmarket).Thiskept

USD/CNHstable,despiteweaker-than-expectedtotalsocialfinancingdatainChina.

OtherAXJcurrencies(IDR,PHP,andTWD)weakened0.1-0.2%.Chinaraterallied

2bpafterthedisappointingJulycreditdata.InIndia,10yIGBstraded3bphigher

while5yNDOISsoldoffby6bp,alongsidethemoveinUSTs.

Exhibit1:G4RatesCloses(5pmNY)

USGermanyUKJapan

1dΔ(bp)

11-Aug

2wk

11-Aug

5.0134.7664.5234.4604.5244.764

4.725

1d111111

1

Δ(bp)2wk

2.73.04.05.16.25.35.1

10-Aug

0.0100.0260.1800.3730.5791.264

1.543

1dΔ(bp)2wk

0.20.10.20.40.02.52.4

Source:MorganStanleyResearch,Bloomberg

Exhibit2:InflationCloses(5pmNY)

USTIPS

10yRealYields,BEI

1dΔ(bp)

11-Aug

10y

2wk

10y

BTPi

BEI

11-Aug1.921

2.261

1dΔ(bp)2wk

5.84.7

Source:MorganStanleyResearch,Bloomberg

Exhibit3:MacroCloses(5pmNY)

MajorsEMEquities/Commodities

Index

11-Aug

1dΔ(%)

2wk

S&P

4464.05

(0.1)

Stoxx

4321.33

(1.4)

FTSE

Nikkei

7524.16

--

(1.2)

--

VIX

14.84

(6.4)

Gold(S)

1913.76

0.1

WTI(Fut)

83.19

0.4

Source:MorganStanleyResearch,Bloomberg

PleaserefertoourMarketDatasectionforamorecomprehensivesnapshot.

TheDayAhead

DevelopedMarkets

?OnMonday,at11:00amET,theNewYorkFedwillreleaseitsSurveyofConsumerExpectationsforAugust

EmergingMarkets

MorganStanleyResearch5

1dΔ(bp)

0.0

0.7

0.4

1dΔ(bp)

0.0

0.2

1.0

2.5

3.3

1dΔ(bp)

0.0

0.1

0.8

0.1

0.7

0.7

TotalΔ

--

2.0

2.1

Implied

5.3305.3565.4205.3975.318

4.705

TotalΔ

--

10.1

16.2

17.6

14.9

(16.3)

Implied-0.074-0.054-0.053

TotalΔ

--

2.6

9.0

6.7

(1.2)

(62.5)

Implied

3.6523.7533.8143.8283.801

3.489

Fed

EFFR(8/10)09/20/2311/01/2312/13/2301/31/24

07/31/24

ECB

EONIA(8/10)09/14/2310/26/2312/14/2301/25/24

07/18/24

BOJTONAR(8/9)09/22/2310/31/23

Update

?OnMonday,at8:00pmHKT,oureconomistsexpectIndia'sHeadlineCPIacceleratedto6.4%y/yinJuly(C:6.4%;P:4.8%).Thisislikelydrivenbyanincreaseinfoodprices(particularlyvegetables),ascoreandfuelCPIremainsteadyonay/ybasis.Onasequentialbasis,oureconomistsanticipateheadlineCPIgainedmomentum,mainlydrivenbyfoodprices

?At1:00pmBST,oureconomistsexpectPoland’sfinalJulyHeadlineCPIdeceleratedto10.8%y/y(June:11.5%),in-linewiththepreliminaryestimate

?At1:00pmBST,consensusexpectsPoland’sCurrentAccountBalanceroseto€1785mninJune(P:€1392mn)

Exhibit4:G4CentralBankImpliedPricing

CentralBankOIS

Implied5.183

BOE

SONIA(8/10)

1dΔ(bp)

0.0

TotalΔ

--

1.32.65.1

8.2

21.336.949.355.2

5.3965.5525.676

5.735

09/21/23

11/02/23

12/14/23

02/01/24

-0.025

0.4

12/19/23

4.9

6.7

06/20/245.69411.051.2

Source:MorganStanleyResearch,Bloomberg

CentralBankMonitor

DevelopedMarkets

?RBAGovernorLowegaverelativelysanguineremarksabouttheAustralian

housingandconsumptionoutlookatParliament.GovernorLowesaid

“Peoplehaveknownthisiscoming,andmanypeoplehavepreparedforit”

anddownplayedpotentialconcernsabouta“mortgagecliff”

EconomicReleaseNotes

DevelopedMarkets

?IntheUK,2Q23GDPcameinat0.2%q/q(C:0.0%;P:0.1%),largelyduetoamanufacturingsurgeinJune.While2Q23domesticdemanddynamicsweresolid,oureconomistsexpectmomentumtoslowover2H23andaretrackingsofternear-termgrowthcomparedtotheBoE

?InFrance,finalJulyCPIcamein-linewiththepreliminaryestimateat4.3%y/y(C:4.3%;June:4.5%)

?InSpain,finalJulyCPIcamein-linewiththepreliminaryestimateat2.3%y/y(C:2.3%;June:1.9%)

?IntheUS,theProducerPriceIndexforJulywasstronger-than-expected.CorePPI(ex-food,energy,andtradeservices)cameinat0.2%m/m(C:0.2%;P:0.1%),thisbroughtthey/yrateto2.7%(C:2.5%;P:2.7%).HeadlinePPIcameinat0.3%m/m(C:0.2%;P:0.0%),thisbroughtthey/yrateto0.8%(C:0.7%;P:0.2%).IncorporatingPPIinputs,oureconomistsmadeasignificantupwardrevisiontothePCEforecastduetostrongfinancialservicesandairfares.OureconomistsfinalizetheforecastforcorePCE

6

Update

inflationat0.27%m/minJuly(P:0.10%)andheadlinePCEinflationat0.27%

m/minJuly(P:0.11%).Financialservicesaccountedforroughlytwo-thirdsof

theupwardrevisionandairfaresfortheremainingone-third(formore,read

here)

?IntheUS,preliminaryAugustUniversityofMichiganConsumerSentiment

camein-linewithconsensusexpectationsat71.2(P:71.6).Current

Conditionsimprovedto77.4(C:76.9;P:76.6)whileExpectationsfellin-line

withconsensusexpectationsto67.3(P:68.3).Long-termInflation

Expectationstickeddownto2.9%(C:3.0%;P:3.0%),alowsinceMarch,

whileNear-termInflationExpectationsfellto3.3%(C:3.5%;P:3.4%)

?IntheUS,thePhiladelphiaFedSurveyofProfessionalForecastersdidnot

showamoderationininflationexpectations.CorePCEexpectationsfor2023

wereunalteredfromtheforecastpublishedthreemonthsago,at3.7%ona

4q/4qbasis.2024and2025forecastswererevisedupatenthto2.4%and

2.1%,respectively,andreflectaslowreturntowardtargetinflation.Thefive-

yearPCEinflationprojectionwasalsorevisedupto2.50%(P:2.42%).GDP

projectionsnolongershowedasmuchweakness:Thelastprojection

indicatedgrowth(+0.3%)stalledin2H23butwasrevisedupto1.5%growth

onaverage.Theunemploymentrateisprojectedtobeat3.7%(P:4.0%),by

year-end.Overall,thereislessriskofrecessionintheprofessional

forecasters’consensusestimates,butalsoslightlyslowerdisinflation

EmergingMarkets

?InChina,JulyCreditdatawasweakerthanconsensusexpectations;NewCNYLoansfelltoCNY345bn(C:CNY780bn;P:CNY3050bn)whileM2MoneySupplyfellto2.3%(C:3.0%;P:3.1%)

?IntheCzechRepublic,theCurrentAccountcameinwellbelowconsensusexpectationsat-CZK58.6bninJune(C:-CZK12.1bn;P:-CZK0.9bn)

?InTurkey,theCurrentAccountcameinabitaboveconsensusexpectationsatUS$0.67bninJune(C:US$0.30bn;P:-US$7.84bn

TacticalTradingModelSignals–CurrentlyActiveStrategies

G410yFuturesSmarter(beta)TradingStrategy–A"Smarter"(beta)WaytoTradeG410yFuturesDuration?(pleaseseeExhibit15foundlaterinthispublicationfordetailedbreakdown)

lUS10y:Total200%,TradeLongsOnly:100%,FadeShortsPortfolio:

100%

lGerman10y:Total200%,TradeLongsOnly:100%,FadeShortsPortfolio:100%

lJapan10y:Total200%,TradeLongsOnly:100%,FadeShortsPortfolio:100%

lUK10y:Total200%,TradeLongsOnly:100%,FadeShortsPortfolio:

100%

MorganStanleyResearch7

Update

Notes:

None.

What'sInside

?MarketData

?RiskEventCalendar

?SupplyCalendar

?CyclicalandSecularTrends

?PivotPoints

?G4Smarter(beta)TradingStrategy

?USHolidayTradingStrategy

?InCaseYouMissedIt

?GlobalMacroStrategyTeam

Pleaseclickhereifyouwouldliketoreceiveourweeklystrategicadviceonglobal

rates,FX,andEM!

Importantnoteregardingeconomicsanctions.Thisresearchreferencescountry/ies

whicharegenerallythesubjectofcomprehensiveorselectivesanctionsprograms

administeredorenforcedbytheU.S.DepartmentoftheTreasury’sOfficeofForeign

AssetsControl(“OFAC”),theEuropeanUnionand/orbyothercountriesandmulti-

nationalbodies.Anyreferencesinthisreporttoentities,debtorequityinstruments,

projectsorpersonsthatmaybecoveredbysuchsanctionsarestrictlyincidentalto

generalcoverageoftheRussianFinancialServicessectorasgermanetoitsoverall

financialoutlook,andshouldnotbereadasrecommendingoradvisingastoany

investmentactivitiesinrelationtosuchentities,instrumentsorprojects.Usersofthis

reportaresolelyresponsibleforensuringthattheirinvestmentactivitiesinrelation

toanysanctionedcountry/iesarecarriedoutincompliancewithapplicablesanctions.

8

1dΔ(bp)

2.44

10.25

13.88

12.87

1dΔ(bp)

PackWhitesRedsGreensBlues

$Avg.5.2974.3383.713

3.631

￡Avg.5.5295.4134.796

4.456

09/14/23

3.753

0.1

09/21/23

5.396

1.3

10/26/23

3.814

0.8

11/02/23

5.552

2.6

12/14/23

3.828

0.1

12/14/23

5.676

5.1

01/25/24

3.801

0.7

02/01/24

5.735

8.2

03/07/24

3764

21

03/21/24

5736

76

04/11/24

3.702

2.6

05/09/24

5.735

12.3

06/06/24

3.604

5.1

06/20/24

5.694

11.0

07/18/24

3.489

0.7

Q/B

USD

EUR

JPY

GBP

CAD

AUD

NZD

CHF

NOK

SEK

USD

--

1.095

(0.29%)

0.007

(0.16%)

1.270

0.16%

0.744

0.07%

0.650

(0.29%)

0.598

(0.61%)

1.141

0.02%

0.096

(1.03%)

0.093

(0.64%)

EUR

0.913

0.30%

--

0.630

0.18%

1.159

0.43%

0.680

0.35%

0.593

0.02%

0.547

(0.29%)

1.042

0.34%

0.088

(0.79%)

0.085

(0.25%)

JPY

144.960015%

158.780

(011%)

--

184.031030%

107.850020%

94.160

(016%)

86.762

(044%)

165.418020%

13.902

(085%)

13.409

(084%)

GBP

0.788

(0.16%)

0.863

(0.44%)

0.543

(0.29%)

--

0.586

(0.10%)

0.512

(0.42%)

0.471

(0.78%)

0.899

(0.12%)

0.076

(1.18%)

0.073

(1.36%)

CAD

1.344

(0.07%)

1.471

(0.36%)

0.009

(0.19%)

1.706

0.09%

--

0.873

(0.37%)

0.805

(0.64%)

1.534

(0.01%)

0.129

(1.07%)

0.125

(0.56%)

AUD

1.539

0.29%

1.685

(0.04%)

1.062

0.18%

1.954

0.43%

1.145

0.34%

--

0.921

(0.30%)

1.756

0.34%

0.148

(0.67%)

0.143

(0.28%)

NZD

1.671

0.61%

1.829

0.30%

0.012

0.44%

2.121

0.75%

1.243

0.66%

1.085

0.30%

--

1.906

0.64%

0.160

(0.37%)

0.155

0.00%

CHF

0.877

(0.01%)

0.960

(0.31%)

0.605

(0.17%)

1.113

0.13%

0.654

0.28%

0.571

(0.11%)

0.525

(0.62%)

--

8.405

(1.04%)

8.091

(1.25%)

NOK

SEK

10.424

0.98%

10.766

0.59%

11.417

0.70%

11.855

0.88%

7.195

0.89%

7.476

1.10%

13.238

1.16%

13.664

0.71%

7.758

1.05%

8.025

0.83%

6.774

0.73%

7.037

0.90%

6.246

0.47%

6.467

0.32%

11.895

1.01%

12.282

0.61%

--

1.033

(0.36%)

0.967

0.29%

--

Source:MorganStanleyResearch,Bloomberg

1dΔ(bp)

1dΔ(bp)

10.7

9.1

4.7

(2.4)

8.2

9.2

8.9

7.0

CountryAustraliaAustriaBelgiumCanadaDenmarkFinlandFrance

Ireland

Last4.1113.2133.2733.6422.8933.1833.1523.011

Last4.2492.9564.8303.8123.3083.6302.7391.050

CountryItalyNetherlands

NewZealand

Norway

Portugal

Spain

Sweden

Switzerland

Update

MarketData

Exhibit5:SelectCloses(5pmNY)

GovernmentBonds

Japan

US

UK

Germany

Tenor

11-Aug

1dΔ(bp)

11-Aug

1dΔ(bp)

11-Aug

1dΔ(bp)

10-Aug

1dΔ(bp)

2y

4.895

5.3

3.033

7.1

5.013

12.7

0.010

0.2

3y

4.575

6.5

2.787

7.2

4.766

13.0

0.026

0.1

5y

4.301

6.9

2.626

8.6

4.523

14.0

0.180

0.2

7y

4.246

6.6

2.590

9.1

4.460

15.1

0.373

0.4

10y

4.152

4.7

2.622

9.6

4.524

16.2

0.579

0.0

20y

4.445

2.2

2.759

8.3

4.764

15.3

1.264

2.5

30y

4.261

1.0

2.701

8.1

4.725

15.1

1.543

2.4

Curve/Fly

2s5s

-59.4

1.6

-40.7

1.5

-49.0

1.3

17.0

0.0

2s10s

-74.3

(0.6)

-41.1

2.5

-49.0

3.6

56.9

(0.2)

5s10s

-14.9

(2.2)

-0.4

1.0

0.0

2.3

39.9

(0.2)

5s30s

-4.0

(5.9)

7.5

(0.5)

20.2

1.2

136.3

2.2

10s30s

10.9

(3.7)

7.9

(1.5)

20.2

(1.1)

96.4

2.4

2s5s10s

-44.5

3.8

-40.3

0.5

-49.0

(1.0)

-22.9

0.2

5s10s30s

-25.8

1.5

-8.3

2.5

-20.1

3.4

-56.5

(2.6)

10s20s30s

47.7

(1.3)

19.5

(1.1)

27.9

(0.9)

40.6

2.6

IRSwaps

EUR

Tenor

11-Aug

1dΔ(bp)

2y

3.754

5.6

3y

3.535

7.0

5y

3.315

8.3

7y

3.240

9.1

10y

3.218

9.5

20y

3.109

8.2

30y

2.828

7.6

Curve/Fly

2s5s

-43.9

2.7

2s10s

-53.6

3.9

5s10s

-9.7

1.2

5s30s

-48.7

(0.6)

10s30s

-39.0

(1.9)

2s5s10s

-34.3

1.4

5s10s30s

29.3

3.1

10s20s30s

17.2

(0.7)

BondFutures

Contract

SettleChg

AggVol.Vol.1dΔVol.60dZOI1wChg

TU

FV

TY

UXY

US

WN

101-152

106-092

110-060

114-29+

120-240

126-220

0-276

0-180

0-10+

0-05+

0-020

0-060

368,954

935,807

1,211,008

295,392

270,034

164,269

-323,746

-663,075

-761,977

-143,182

-182,714

-154,479

-0.64

-0.50

-0.60

-0.52

-0.69

-044

98,655

123,216

14,422

30,277

22,493

16,068

DU

OE

RX

UB

IK

G

JB

CN

104.99

115.39

131.47

130.62

114.61

93.63

146.95

118.81

-0.115

-0.41

-0.96

-1.96

-0.9

-1.69

-0.22

-0.7

365,461

477,477

551,263

58,870

120,407

166,281

23,033

76,464

20,742

14,233

80,559

2,026

17,758

46,058

-6,456

-17,288

-0.49

-0.50

-0.72

-0.65

-0.62

-0.33

-0.41

-0.63

43,133

-1,384

-4,643

7,307

4,890

-9,207

8,100

-67,485

Inflation-Linked

Bond

RealYld1dΔ(bp)

BEI1dΔ(bp)

TII5y

TII10y

TII30y

2.002

1.773

1.943

2.1

1.5

(1.0)

2.316

2.375

2.332

4.2

2.9

2.6

DBRi10y

BTPi10y

UKTi10y

JGBi10y

2.389

2.261

3.801

1.099

1.4

4.7

2.8

(0.1)

STIRFutures

€Avg.1dΔ(bp)

3.8253.2612.9472.887

3.508.508.259.00

4.38

14.13

16.12

14.75

CentralBankOIS

1dΔ(bp)BOE

0.0SONIA(8/10)

1dΔ(bp)ECB

0.0EONIA(8/10)

1dΔ(bp)BOJ

0.0TONAR(8/9)

Fed

EFFR(8/10)

1dΔ(bp)

0.0

Implied5.183

Implied5.330

Implied3.652

Implied-0.074

09/20/2311/01/2312/13/2301/31/2403/20/2405/01/2406/12/2407/31/24

5.3565.4205.3975.3185.2045.0584.8844.705

0.21.02.53.35.25.06.36.7

-0.054-0.053-0.025

0.70.40.4

09/22/23

10/31/23

12/19/23

G10Crosses(5pmNY)

Sovereign10y

6.4

9.6

9.7

5.1

9.1

9.7

9.6

8.4

EquityIndices

IndexLast1dΔ(%)IndexLast1dΔ(%)

S&P4464(0.11)Nikkei324740.84

(1.43)(1.24)

HangSengMSCIEM

SX5EFTSE

4321

7524

19075

1008

(0.90)(0.01)

FX(5pmNY)

1dΔ(%)

0.32

(0.29)

0.15

0.16

(0.01)(0.07)(0.29)(0.61)

0.59

0.98

0.37

0.31

1.58

0.43

(0.73)

0.59

Currency

DXY

EUR

JPY

GBP

CHF

CAD

AUD

NZD

SEK

NOK

ARS

BRL

CLP

COP

MXN

PEN

Last

102.853

1.095

144.960

1.270

0.877

1.344

0.650

0.598

10.766

10.424

287.242

4.908

859.350

3968.880

17.008

3.685

Currency

Gold

CNY

INR

IDR

KRW

MYR

SGD

TWD

THB

CZK

HUF

ILS

PLN

RUB

UAH

ZAR

Last

1913.760

7.260

82.839

15215.000

1324.650

4.588

1.352

31.802

35.085

21.977

349.840

3.738

4.050

#N/A

36.874

18.951

1dΔ(%)

0.070.240.150.200.670.380.210.10

(0.06)(0.50)(0.33)

0.42

(0.03)

--

(0.25)

0.53

MorganStanleyResearch9

Update

SupplyCalendar

Exhibit6:UpcomingIssuance

Event

EU4Billionof189-dayBills

Time(GMT)

10:30AM

Time(EST)

5:30AM

Country

Germany

Day

Monday

Date

14-Aug

France

1:50PM

8:50AM

EU400Millionof56-dayBills

France

1:50PM

8:50AM

EU2Billionof84-dayBills

France

1:50PM

8:50AM

EU2.3Billionof357-dayBills

France

1:50PM

8:50AM

EU1.5Billionof147-dayBills

U.S.

4:30PM

11:30AM

USD69Bln13-WeekBills

U.S.

4:30PM

11:30AM

USD62Bln26-WeekBills

Tuesday

15-Aug

Japan

4:35AM

11:35PM

5-YearBonds

U.K.

10:00AM

5:00AM

GBP2.5Billionof1.125%2039Bonds

Switzerland

10:00AM

5:00AM

91-dayBills

Germany

10:30AM

5:30AM

EU5.5Billionof3.1%2025Bonds

Finland

11:00AM

6:00AM

EU1Billionof180-dayBills

Finland

11:00AM

6:00AM

EU1Billionof271-dayBills

Canada

3:30PM

10:30AM

C$3.9Billionof364-dayBills

Canada

3:30PM

10:30AM

C$10.95Billionof98-dayBills

Canada

3:30PM

10:30AM

C$3.9Billionof182-dayBills

U.S.

4:30PM

11:30AM

USD60Bln42-DayCMB

Wednesday

16-Aug

Australia

2:00AM

9:00PM

A$500Million2.75%2041

Bonds

Denmark

9:15AM

4:15AM

Bills

Spa