M Global IdeaGlobal Macro StrategistCold As Ice Ice BabyMorgan Stanley & Co. LLCMatthew HornbachStrategist Matthew.Hornbach@morganstanley.com +1 212 761-1837 Guneet Dhingra, CFAStrategist Guneet.Dhingra@morganstanley.com +1 212 761-1445 Andrew M WatrousStrategist Andrew.Watrous@morganstanley.com +1 212 761-5287 Efrain A Tejeda, CFAStrategist Efrain.Tejeda@morganstanley.com +1 212 761-3529 Martin W Tobias, CFAStrategist Martin.Tobias@morganstanley.com +1 212 761-6076 Francesco GrechiStrategist Francesco.Grechi@morganstanley.com +1 212 761-1009 Zoe K StraussStrategist Zoe.Strauss@morganstanley.com +1 212 761-0407 Morgan Stanley & Co. International plc+James K LordStrategist James.Lord@morganstanley.com +44 20 7677-3254 David S. Adams, CFAStrategist David.S.Adams@morganstanley.com +44 20 7425-3518 Eric S OynoyanStrategist Eric.Oynoyan@morganstanley.com +44 20 7425-1945 Lorenzo TestaStrategist Lorenzo.Testa@morganstanley.com +44 20 7677-0337 Fabio Bassanin, CFAStrategist Fabio.Bassanin@morganstanley.com +44 20 7425-1869 Marie-Anais C FrancoisStrategist Marie-Anais.Francois@morganstanley.com +44 20 7425-1877 Dominic J KrummenacherStrategist Dominic.Krummenacher@morganstanley.com +44 20 7425-9781 Morgan Stanley MUFG Securities Co., Ltd.+Koichi SugisakiStrategist Koichi.Sugisaki@morganstanleymufg.com +81 3 6836-8428 All right stop, collaborate and listen, winter is back with a brand new intention. December warmth helped data improve nicely. But now snow and polar vortex, daily and nightly. Will it ever stop? We hope so. Prepare for downside risk? We think so. To the extreme, we buy the dip like a vandal. Global Macro StrategyWe discuss differences in US weather between 2023 and 2024, and how it might introduce downside risks to economic data in February. We also discuss numerous meaningful catalysts for the USD on the horizon, particularly revolving around Groundhog Day and the Ides of March. Finally, find out the answer to question: Do US elections change Fed policy in election years?Interest Rate StrategyWe re-enter duration longs – buy 5y USTs. We maintain EUR 2y1y vs 1y1y and pay Apr ECB OIS meeting; we enter a EUR 5y5 vs 20y5y steepener. In cash, we keep our structural short 10y BTP versus Bund and 10s30s OAT ASW box. We maintain receive May'24 MPC and long UKT 1T37 versus short UKT 1T57, and we also keep our short 15y ASW. We remove the long duration bias from our receive 10y OIS vs. sell 30y JGB (DV01 1.5 vs. 1) and shift it to DV01 neutral weight. We maintain TONA OIS 2s5s steepeners (DV01 1.5 vs. 1) and sell 30y JGB ASW.Currency & Foreign ExchangeWe see USD risks broadly balanced for now, though numerous catalysts in the coming weeks may shake USD out of its recent range. We discuss why the USD is sometimes negatively correlated with the S&P 500 and sometimes uncorrelated. Despite recent comments from the SNB's Thomas Jordan about real CHF appreciation, we expect only li...
