摩根士丹利-亚太地区信贷策略：中国进一步压缩的六大障碍-2021.3.9-28页

TaperingandhigherratesmightnotbetherealhurdleforChinaHYspreadcompressionintheneartermGiventhevolatilityinUSratesinthepasttwoweeks,wehavebeengettingalotofquestionsfrominvestorswhoareworriedabouttheadverseimpactofhigherratesonChinaHY.AswementionedinWhat'sGoinginAsiaCredit,February23,2021,wethinkthatitisimportanttounderstandthedriversoftheincreaseinthenominalUST10YyieldbeforewecanassessitsimpactonChinaHY.WecanbreakdownthechangeinthenominalUST10Yyieldintobreakeveninflationandrealyields.FromlastNovemberuntilJanuary,mostoftheincreaseinthenominal10Yyieldwasdrivenbybreakevens.However,thischangedinFebruaryascloseto86%oftheincreasein10YUSTlastmonthwasdrivenbyrealyields(Exhibit3).OurUSratesteamexpectsrealyieldstoincreasefromherealongsidewiderbreakevens,drivingnominal10YUSThigherto1.7%(seeHigherRealYields–APlaybook,February19,2021).InourpreviousreportontheimpactofrisingratesonAsiacredit(seeTheImpactofRisingRatesonAsiaCredit,November9,2017),wementionedthatChinaHYtendstotightenwhentheincreaseisdriv