波动性接近金融危机以来最高！美债会像英债一样崩盘吗？

智通财经网2022-11-08

在过去的十年里，由于极低的利率压低了固定收益资产的回报率，华尔街顶级的量化投资团队为那些想要更高收益率的投资者提供了一系列复杂的产品，让投资者能在萎靡不振的市场获得额外的回报率。而现在，在至少五十年来最严重的债券崩盘中，各家机构争相对冲自己的头寸，大量买进从波动率上升中受益的衍生品，以寻求减少损失。但事实上，在这个过程中，他们只是在火上浇油。目前，一项衡量利率波动率的指标已经接近全球金融危机以来的...

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Comments

hhyw
2022-11-09
hhyw
好
熊也赚钱
2022-11-09
熊也赚钱
Good
TorisQ
2022-11-09
TorisQ
刺激的政策和效應
- HCBICE:
  [财迷] [财迷]

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Dayan表示，这反过来又助长了交易商拼命寻找长期波动率押注，以对冲自己的风险敞口。因此，市场的单边押注推动了衡量美国国债波动率的MOVE指数在今年的大幅上涨。上个月，随着10年期国债收益率飙升至4.3%，该指数突破160，接近金融危机以来的最高点。低波动率押注造成的结构性问题市场观察人士表示，数千亿美元的波动驱动型产品加剧了市场波动。简单来说，这些产品是对债券收益率涨跌的间接押注。在过去的十年里，渴望回报的投资者争相买入这些产品，押注市场将处于低波动性。这些押注被认为是稳赚不赔的事，直到整体环境出现变化。随着债券收益率飙升，投资者正承受着巨大的损失。与此同时，对于银行而言，它们本应对冲自己的风险，因此无论市场走势如何，它们都能在这些单边押注中走出来，但美国国债的波动却比它们预期的更为剧烈。事实上，飙升的利率正迫使许多交易商为应对更大的波动性而调整仓位，而市场上的其他机构也在这么做。LongTail Alpha LLC创始人、太平洋投资管理公司前投资组合管理分析部门主管Vineer  Bhansali表示：“当你度过拐点时，交易商必须买入波动率。今年发生了很多事情，这让我相信我们已经处于自由落体的悬崖边上——这些结构只是其中一个因素。”这些波动性驱动的产品——有着走廊票据、球道债券和区间计息期权等难以置信的晦涩名称——许多都取决于维持在预设交易区间内的利率。部分区间计息期权——估计有400亿美元流通在外——不仅与收益率保持在低位有关，还与美国国债曲线的形状有关。通常情况下，美国国债收益率曲线向上倾斜。只要这种情况仍然存在，该产品的持有者就会收取券息付款。另一方面，为了对冲风险，交易商出售同样可以从积极期限结构中受益的期权。而当收益率曲线在今年早些时候首次倒挂时，许多交易商不再需要支付债券的利息。但随着短期债券相对于较长期债券的收益率溢价继续攀升，它们出售的期权就成了问题，突破了关键的阈值，从而使买方的利润越来越高。从本质上讲，他们在对冲上的损失比在长期波动敞口上的收益要多。法兴银行的Pintar表示，因此，为了保护自己，交易商开始买入波动性更大的产品。还有其他分析人士指出，债务供应动态的变化也加剧了利率波动。巴克莱银行利率策略师Amrut  Nashikkar表示：“供应已经枯竭。与此同时，对波动率的需求有所上升，因为过去几年做多波动率一直是一项不错的交易，而且美联储的行动也存在不确定性。”对一些人来说，随着美联储加息和交易商越来越被迫对冲头寸，投资者继续买入波动率，对更多痛苦可能即将到来的担忧正在加剧。就在上周，掉期交易商提高了对美联储将利率提高到5.25%的预期，这一水平在几个月前几乎是不可想象的。最近，英国的养老金计划也被打了个措手不及：原本从政府债券收益率下跌中获利的衍生品，由于利率飙升而产生了事与愿违的效果。追加保证金的要求助长了英国国债的被迫抛售，这进一步推高了收益率，进而增加了养老金计划需要支付的抵押品。只有英国央行的干预才止住了暴跌。虽然LongTail Alpha的Bhansali认为美国国债没有同样数量级的结构性风险，但他还是看到了潜在的问题。Bhansali表示：“曲线如此倒挂，MOVE指数几乎处于历史高位，这基本上为利率市场出现类似VIX的崩盘做好了完美准备(Bhansali指的是在2018年，衡量美国股市波动率的指标VIX意外飙升)。”尽管有分析师并没有那么悲观，但大多数人都认为，较高的利率波动性将持续下去。三菱日联金融集团美国宏观策略主管George  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