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李秀蓮
2023-06-15
$阿里巴巴-SW(09988)$
李秀蓮
2023-03-22
$中國石油化工股份(00386)$
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</a>","text":"$香港航天科技(01725)$","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/623921331","isVote":1,"tweetType":1,"viewCount":3058,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"hots":[{"id":650485058,"gmtCreate":1679453200876,"gmtModify":1679454321181,"author":{"id":"3576457691067596","authorId":"3576457691067596","name":"李秀蓮","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3576457691067596","idStr":"3576457691067596"},"themes":[],"title":"","htmlText":"<a href=\"https://laohu8.com/S/00386\">$中國石油化工股份(00386)$ </a>","listText":"<a href=\"https://laohu8.com/S/00386\">$中國石油化工股份(00386)$ </a>","text":"$中國石油化工股份(00386)$","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/650485058","isVote":1,"tweetType":1,"viewCount":3620,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":662448812,"gmtCreate":1666733197641,"gmtModify":1676537795428,"author":{"id":"3576457691067596","authorId":"3576457691067596","name":"李秀蓮","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3576457691067596","idStr":"3576457691067596"},"themes":[],"title":"","htmlText":"／","listText":"／","text":"／","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/662448812","repostId":"1130690374","repostType":2,"repost":{"id":"1130690374","kind":"news","pubTimestamp":1666672819,"share":"https://ttm.financial/m/news/1130690374?lang=en_US&edition=fundamental","pubTime":"2022-10-25 12:40","market":"us","language":"zh","title":"China International Capital Corporation (CICC): US Treasury bonds in 2022 = oil","url":"https://stock-news.laohu8.com/highlight/detail?id=1130690374","media":"中金点睛","summary":"美债利率大幅下行是大概率事件。","content":"<p><html><head></head><body><b>CICC believes that the US Treasury market may be on the verge of pricing \"failure,\" similar to the oil situation in April 2020. The market has pushed pricing in the current macroeconomic environment to its limit, and the possibility of a reversal in the future is high. A sharp decline in US Treasury yields is highly probable.</b>By CICC Asset Class Research: Li Zhao, Qi Wei, Yang Xiaoqing, Wang Hanfeng</p><p><b>Liquidity in the US Treasury market is approaching levels seen when the market \"failed\" in March 2020.</b></p><p>The yield on 10-year US Treasury bonds recently surpassed 4.3% during trading, drawing market attention. We believe that interest rate pricing has significantly deviated from equilibrium prices, influenced by the following factors:</p><p><b>1) The bond market is excessively liquid.</b>Currently, the Federal Reserve still has $2 trillion in overnight reverse repos in its account, and the market generally has no shortage of dollar liquidity. However, macroeconomic policies and market volatility have been too high this year, and the increase in the stock of US Treasury bonds has made trading difficult for market makers, resulting in serious liquidity problems in the US Treasury market.</p><p>Liquidity can be measured using bond pricing error: summarize the pricing errors of all duration pricing models for US Treasury bonds in the market. The larger the error, the more severe the pricing distortion in the market and the worse the market liquidity.</p><p>Pricing error data shows that the liquidity of the US Treasury market is now close to the level it was at in March 2020 when the market \"failed\" due to the impact of the pandemic, when the Federal Reserve was forced to intervene and begin \"unlimited QE\" to restore the normal operation of the bond market.</p><p>The US Treasury market may be on the verge of pricing \"failure,\" and even if investors believe that interest rates have clearly deviated from reasonable prices, they dare not increase their positions against the market trend.</p><p>Chart: US Treasury market liquidity is approaching levels seen when the market \"failed\" in March 2020.</p><p><img src=\"https://static.tigerbbs.com/01e1bbae6ca2f1267f2a9d51f869a9b8\" tg-width=\"816\" tg-height=\"493\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: The Federal Reserve still has $2 trillion in overnight reverse repos in its account.<img src=\"https://static.tigerbbs.com/17fc7ab848330686a233a34f627c3fba\" tg-width=\"841\" tg-height=\"491\" referrerpolicy=\"no-referrer\"/>Source: Haver Analytics, CICC Research Department</p><p>Chart: The US Treasury market has been excessively volatile recently.</p><p><img src=\"https://static.tigerbbs.com/3fe1703f36e6de9e8c690ecbc1be3fc2\" tg-width=\"829\" tg-height=\"498\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: Futures market expects rate hike to end nearly 5%<img src=\"https://static.tigerbbs.com/8fd72d6c195ffadcf706bac9f98da2e6\" tg-width=\"772\" tg-height=\"527\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p><b>2) The black swan event in UK policy became the final straw that broke the global bond market.</b>The UK bond market collapsed, pension funds faced a repayment crisis, and global market correlations affected US Treasury bonds. Constrained by low liquidity, although risks in the UK have eased significantly, US Treasury yields has not reacted significantly to changes in fundamentals.</p><p><b>3) US CPI inflation exceeded expectations in August-September.</b>The Federal Reserve maintained its hawkish stance, and the market expected the end of the rate hike to approach 5%, creating an \"inflation panic\".</p><p><b>The US Treasury market in 2022 shared similarities with the oil market in 2020.</b></p><p>Among the major global asset classes, the last asset to significantly deviate from fundamental prices may have been oil. In early 2020, the impact of the pandemic led to a sharp reduction in oil demand and a precipitous drop in oil prices. Since oil is a resource with definite industrial value, and the negative impact of the pandemic will eventually pass, as long as the decline is large enough, it should provide a certain opportunity to rise.</p><p>In March 2020, market pricing had brought the predicament to its extreme, and a future reversal of the situation was certain. Therefore, investors chose to \"buy the dip\" at low oil prices. However, unexpectedly, a temporary shortage of oil storage capacity occurred, and the delivery mechanism caused oil prices to completely deviate from fundamentals. WTI oil futures prices fell to -$37 per barrel in April, causing losses for investors.</p><p>In retrospect, investors who chose to buy oil at the bottom in March and April 2020 were completely correct in their judgment of the fundamentals. Over the next two years, oil prices will rise rapidly from negative to $130, making it the most outstanding asset among the world's major asset classes. If you abandon fundamental analysis after suffering losses in April, you will miss this once-in-a-decade oil super cycle.</p><p>Chart: WTI crude oil prices once fell to -$37 per barrel in 2020.<img src=\"https://static.tigerbbs.com/daba71b7434bf85b738a81b3dc6446a8\" tg-width=\"795\" tg-height=\"499\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: Oil has been the best-performing asset class globally over the past two years (dollar-denominated, total return).<img src=\"https://static.tigerbbs.com/8a1dee1eb7c5dfd6961744e8398da207\" tg-width=\"1080\" tg-height=\"405\" referrerpolicy=\"no-referrer\"/>Source: Wind, Bloomberg, CICC Research Department</p><p>The situation in US Treasury bonds in October 2022 was similar to the oil situation in April 2020. The market has already pushed the pricing of the current macroeconomic environment to its limit, and the possibility of a reversal in the future is high.</p><p>Currently, with inflation remaining high and the Federal Reserve aggressively tightening, it is reasonable to push up interest rates. However, even assuming the Fed's rate hike stops at 4.8%, the equilibrium price of the 10-year US Treasury yield would only be 3.2%, which is already nearly 100 basis points higher than the equilibrium price.</p><p>Looking ahead, it is a foregone conclusion that the US economy will enter a recession, and the economic slowdown will lead to a significant improvement in inflation. We believe that a sharp decline in US Treasury yields is also highly probable. However, buying US Treasury bonds at the bottom in October will also result in significant losses.</p><p>Over the past two months, our forecasts for the trend of the US Treasury market have deviated significantly, but based on our experience in 2020,<b>We believe it is not advisable to over-follow trends while ignoring signals from fundamental analysis.</b></p><p>Chart: Assuming the Fed's rate hike target is 4.8%, the equilibrium price of the 10-year US Treasury yield at the end of 2022 is around 3.2%.<img src=\"https://static.tigerbbs.com/833929fa8e4b3e0f1b1737570137f9a5\" tg-width=\"842\" tg-height=\"526\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p><b>US Treasury yields predicts what we saw right, what we saw wrong, and what we learned.</b></p><p>In December 2021, we predicted a significant rise in US Treasury yields in 2022, in April 2022 we predicted two-way fluctuations in interest rates, and in June we predicted a sharp decline in interest rates, which subsequently turned neutral. Thus, our predictions about the market situation have basically come true.</p><p>However, since September, we did not predict that US Treasury yields would surge from 3% to 4.3%, mainly because the impact of \"nonlinear\" and \"low-probability\" events was not fully considered:</p><p>Chart: We accurately predicted the upward trend that began in US Treasury yields at the end of 2021 and the downward trend after June 2022, but we did not predict that US Treasury yields would surge above 4%.<img src=\"https://static.tigerbbs.com/3e6c25f6fe73d99757f5ed5f75b075a7\" tg-width=\"833\" tg-height=\"540\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>First, the sharp rise in US Treasury yields is ultimately the result of CPI inflation growth exceeding expectations. Our CPI forecasting model is based on the statistical laws of economic data. The implicit assumption is that the leading and lagging relationships of the data can be linearly extrapolated according to historical patterns, but the recent inflation rise has exceeded the model's predictions.</p><p>Secondly, we failed to predict the UK's policy surprises and pension crisis. We had assumed beforehand that the UK government's decisions would be in line with rationality and common sense, but this assumption was challenged, and the black swan event in UK policy ultimately crushed the US, Europe, and Treasury Bond markets.</p><p>Drawing on the experience of the past two months, we believe that the \"nonlinearity\" of the post-pandemic world needs more attention. Our fundamental analysis can only derive the average path and end price of asset prices, but nonlinear events may increase asset price volatility, which can significantly deviate from the equilibrium price and take longer to converge to the equilibrium price.</p><p><b>Therefore, while we maintain our forecast for the 10-year US Treasury yield to fall to 3%, we have extended the timeframe for this view to be realized to Q4 2022-Q1 2023.</b></p><p><b>Forecasting asset prices requires attention to new nonlinear events—financial market risks.</b></p><p>Before October, most non-linear events pushed up US Treasury yields. Now, a type of non-linear event—financial market risks—may become a force suppressing US Treasury yields. The Federal Reserve can choose to sacrifice economic growth to control inflation, but it may not be able to accept financial market disruptions and financial crises.</p><p>This rate hike cycle is faster than most rate hike cycles in history, but the complexity of today's financial markets is far greater than it was decades ago, and some institutions and markets may find it difficult to adapt to the sudden high-interest-rate environment.</p><p>Taking the UK crisis as an example, the collapse of the UK bond market exposed the leverage ratio problem of pension funds' LDI investments, and the Bank of England was forced to choose to stabilize the market through \"temporary QE\". We believe that similar problems may be hidden in markets in other countries, and that policy responses following financial market turmoil may be similar to those of the Bank of England.</p><p>In addition to the exposed problems in the operation of the US Treasury market, we believe that the risk accumulation of high-yield corporate bonds in developed markets and sovereign bonds in emerging markets cannot be ignored. In fact, the Wall Street Journal recently reported that Federal Reserve officials have begun to focus on the risk of \"excessive tightening\" and may slow the pace of rate hike at the December Fed meeting.</p><p>Although not a baseline scenario, we believe it is necessary to consider the possibility of the Federal Reserve adjusting its rate hike and shrinking balance sheet policies ahead of schedule in 2023. US Treasury yields may continue to fluctuate widely in 2023, but the final decline may exceed expectations.</p><p>Chart: This rate hike cycle is faster than most rate hike cycles in history.<img src=\"https://static.tigerbbs.com/069d60f2e3758a0a52d29b94446fa19e\" tg-width=\"834\" tg-height=\"598\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: Long-term UK interest rates plummet after the UK announced its bond-buying plan.<img src=\"https://static.tigerbbs.com/5e93df97be61997498ed3e69b299ae65\" tg-width=\"836\" tg-height=\"551\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p></body></html></p>","source":"zjdj","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>China International Capital Corporation (CICC): US Treasury bonds in 2022 = oil</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nChina International Capital Corporation (CICC): US Treasury bonds in 2022 = oil\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">中金点睛</strong><span class=\"h-time small\">2022-10-25 12:40</span>\n</p>\n</h4>\n</header>\n<article>\n<p><html><head></head><body><b>CICC believes that the US Treasury market may be on the verge of pricing \"failure,\" similar to the oil situation in April 2020. The market has pushed pricing in the current macroeconomic environment to its limit, and the possibility of a reversal in the future is high. A sharp decline in US Treasury yields is highly probable.</b>By CICC Asset Class Research: Li Zhao, Qi Wei, Yang Xiaoqing, Wang Hanfeng</p><p><b>Liquidity in the US Treasury market is approaching levels seen when the market \"failed\" in March 2020.</b></p><p>The yield on 10-year US Treasury bonds recently surpassed 4.3% during trading, drawing market attention. We believe that interest rate pricing has significantly deviated from equilibrium prices, influenced by the following factors:</p><p><b>1) The bond market is excessively liquid.</b>Currently, the Federal Reserve still has $2 trillion in overnight reverse repos in its account, and the market generally has no shortage of dollar liquidity. However, macroeconomic policies and market volatility have been too high this year, and the increase in the stock of US Treasury bonds has made trading difficult for market makers, resulting in serious liquidity problems in the US Treasury market.</p><p>Liquidity can be measured using bond pricing error: summarize the pricing errors of all duration pricing models for US Treasury bonds in the market. The larger the error, the more severe the pricing distortion in the market and the worse the market liquidity.</p><p>Pricing error data shows that the liquidity of the US Treasury market is now close to the level it was at in March 2020 when the market \"failed\" due to the impact of the pandemic, when the Federal Reserve was forced to intervene and begin \"unlimited QE\" to restore the normal operation of the bond market.</p><p>The US Treasury market may be on the verge of pricing \"failure,\" and even if investors believe that interest rates have clearly deviated from reasonable prices, they dare not increase their positions against the market trend.</p><p>Chart: US Treasury market liquidity is approaching levels seen when the market \"failed\" in March 2020.</p><p><img src=\"https://static.tigerbbs.com/01e1bbae6ca2f1267f2a9d51f869a9b8\" tg-width=\"816\" tg-height=\"493\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: The Federal Reserve still has $2 trillion in overnight reverse repos in its account.<img src=\"https://static.tigerbbs.com/17fc7ab848330686a233a34f627c3fba\" tg-width=\"841\" tg-height=\"491\" referrerpolicy=\"no-referrer\"/>Source: Haver Analytics, CICC Research Department</p><p>Chart: The US Treasury market has been excessively volatile recently.</p><p><img src=\"https://static.tigerbbs.com/3fe1703f36e6de9e8c690ecbc1be3fc2\" tg-width=\"829\" tg-height=\"498\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: Futures market expects rate hike to end nearly 5%<img src=\"https://static.tigerbbs.com/8fd72d6c195ffadcf706bac9f98da2e6\" tg-width=\"772\" tg-height=\"527\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p><b>2) The black swan event in UK policy became the final straw that broke the global bond market.</b>The UK bond market collapsed, pension funds faced a repayment crisis, and global market correlations affected US Treasury bonds. Constrained by low liquidity, although risks in the UK have eased significantly, US Treasury yields has not reacted significantly to changes in fundamentals.</p><p><b>3) US CPI inflation exceeded expectations in August-September.</b>The Federal Reserve maintained its hawkish stance, and the market expected the end of the rate hike to approach 5%, creating an \"inflation panic\".</p><p><b>The US Treasury market in 2022 shared similarities with the oil market in 2020.</b></p><p>Among the major global asset classes, the last asset to significantly deviate from fundamental prices may have been oil. In early 2020, the impact of the pandemic led to a sharp reduction in oil demand and a precipitous drop in oil prices. Since oil is a resource with definite industrial value, and the negative impact of the pandemic will eventually pass, as long as the decline is large enough, it should provide a certain opportunity to rise.</p><p>In March 2020, market pricing had brought the predicament to its extreme, and a future reversal of the situation was certain. Therefore, investors chose to \"buy the dip\" at low oil prices. However, unexpectedly, a temporary shortage of oil storage capacity occurred, and the delivery mechanism caused oil prices to completely deviate from fundamentals. WTI oil futures prices fell to -$37 per barrel in April, causing losses for investors.</p><p>In retrospect, investors who chose to buy oil at the bottom in March and April 2020 were completely correct in their judgment of the fundamentals. Over the next two years, oil prices will rise rapidly from negative to $130, making it the most outstanding asset among the world's major asset classes. If you abandon fundamental analysis after suffering losses in April, you will miss this once-in-a-decade oil super cycle.</p><p>Chart: WTI crude oil prices once fell to -$37 per barrel in 2020.<img src=\"https://static.tigerbbs.com/daba71b7434bf85b738a81b3dc6446a8\" tg-width=\"795\" tg-height=\"499\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: Oil has been the best-performing asset class globally over the past two years (dollar-denominated, total return).<img src=\"https://static.tigerbbs.com/8a1dee1eb7c5dfd6961744e8398da207\" tg-width=\"1080\" tg-height=\"405\" referrerpolicy=\"no-referrer\"/>Source: Wind, Bloomberg, CICC Research Department</p><p>The situation in US Treasury bonds in October 2022 was similar to the oil situation in April 2020. The market has already pushed the pricing of the current macroeconomic environment to its limit, and the possibility of a reversal in the future is high.</p><p>Currently, with inflation remaining high and the Federal Reserve aggressively tightening, it is reasonable to push up interest rates. However, even assuming the Fed's rate hike stops at 4.8%, the equilibrium price of the 10-year US Treasury yield would only be 3.2%, which is already nearly 100 basis points higher than the equilibrium price.</p><p>Looking ahead, it is a foregone conclusion that the US economy will enter a recession, and the economic slowdown will lead to a significant improvement in inflation. We believe that a sharp decline in US Treasury yields is also highly probable. However, buying US Treasury bonds at the bottom in October will also result in significant losses.</p><p>Over the past two months, our forecasts for the trend of the US Treasury market have deviated significantly, but based on our experience in 2020,<b>We believe it is not advisable to over-follow trends while ignoring signals from fundamental analysis.</b></p><p>Chart: Assuming the Fed's rate hike target is 4.8%, the equilibrium price of the 10-year US Treasury yield at the end of 2022 is around 3.2%.<img src=\"https://static.tigerbbs.com/833929fa8e4b3e0f1b1737570137f9a5\" tg-width=\"842\" tg-height=\"526\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p><b>US Treasury yields predicts what we saw right, what we saw wrong, and what we learned.</b></p><p>In December 2021, we predicted a significant rise in US Treasury yields in 2022, in April 2022 we predicted two-way fluctuations in interest rates, and in June we predicted a sharp decline in interest rates, which subsequently turned neutral. Thus, our predictions about the market situation have basically come true.</p><p>However, since September, we did not predict that US Treasury yields would surge from 3% to 4.3%, mainly because the impact of \"nonlinear\" and \"low-probability\" events was not fully considered:</p><p>Chart: We accurately predicted the upward trend that began in US Treasury yields at the end of 2021 and the downward trend after June 2022, but we did not predict that US Treasury yields would surge above 4%.<img src=\"https://static.tigerbbs.com/3e6c25f6fe73d99757f5ed5f75b075a7\" tg-width=\"833\" tg-height=\"540\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>First, the sharp rise in US Treasury yields is ultimately the result of CPI inflation growth exceeding expectations. Our CPI forecasting model is based on the statistical laws of economic data. The implicit assumption is that the leading and lagging relationships of the data can be linearly extrapolated according to historical patterns, but the recent inflation rise has exceeded the model's predictions.</p><p>Secondly, we failed to predict the UK's policy surprises and pension crisis. We had assumed beforehand that the UK government's decisions would be in line with rationality and common sense, but this assumption was challenged, and the black swan event in UK policy ultimately crushed the US, Europe, and Treasury Bond markets.</p><p>Drawing on the experience of the past two months, we believe that the \"nonlinearity\" of the post-pandemic world needs more attention. Our fundamental analysis can only derive the average path and end price of asset prices, but nonlinear events may increase asset price volatility, which can significantly deviate from the equilibrium price and take longer to converge to the equilibrium price.</p><p><b>Therefore, while we maintain our forecast for the 10-year US Treasury yield to fall to 3%, we have extended the timeframe for this view to be realized to Q4 2022-Q1 2023.</b></p><p><b>Forecasting asset prices requires attention to new nonlinear events—financial market risks.</b></p><p>Before October, most non-linear events pushed up US Treasury yields. Now, a type of non-linear event—financial market risks—may become a force suppressing US Treasury yields. The Federal Reserve can choose to sacrifice economic growth to control inflation, but it may not be able to accept financial market disruptions and financial crises.</p><p>This rate hike cycle is faster than most rate hike cycles in history, but the complexity of today's financial markets is far greater than it was decades ago, and some institutions and markets may find it difficult to adapt to the sudden high-interest-rate environment.</p><p>Taking the UK crisis as an example, the collapse of the UK bond market exposed the leverage ratio problem of pension funds' LDI investments, and the Bank of England was forced to choose to stabilize the market through \"temporary QE\". We believe that similar problems may be hidden in markets in other countries, and that policy responses following financial market turmoil may be similar to those of the Bank of England.</p><p>In addition to the exposed problems in the operation of the US Treasury market, we believe that the risk accumulation of high-yield corporate bonds in developed markets and sovereign bonds in emerging markets cannot be ignored. In fact, the Wall Street Journal recently reported that Federal Reserve officials have begun to focus on the risk of \"excessive tightening\" and may slow the pace of rate hike at the December Fed meeting.</p><p>Although not a baseline scenario, we believe it is necessary to consider the possibility of the Federal Reserve adjusting its rate hike and shrinking balance sheet policies ahead of schedule in 2023. US Treasury yields may continue to fluctuate widely in 2023, but the final decline may exceed expectations.</p><p>Chart: This rate hike cycle is faster than most rate hike cycles in history.<img src=\"https://static.tigerbbs.com/069d60f2e3758a0a52d29b94446fa19e\" tg-width=\"834\" tg-height=\"598\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p>Chart: Long-term UK interest rates plummet after the UK announced its bond-buying plan.<img src=\"https://static.tigerbbs.com/5e93df97be61997498ed3e69b299ae65\" tg-width=\"836\" tg-height=\"551\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research Department</p><p></body></html></p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s?__biz=MzI3MDMzMjg0MA==&mid=2247601045&idx=3&sn=b8dfe84c5f8f0719e88737f5eb960664&chksm=ead1ad52dda62444336398ae14e05f0caed6de36bdc41968a79a4939945a6c3ac160344636d8&mpshare=1&scene=23&srcid=102559g8boEyr8XpemFd7AB4&sharer_sharetime=1666657418894&sharer_shareid=00a55b671777cf0e253d4693000ead51#rd\">中金点睛</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/5eb1600a275cdb440167b676a1a207e1","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://mp.weixin.qq.com/s?__biz=MzI3MDMzMjg0MA==&mid=2247601045&idx=3&sn=b8dfe84c5f8f0719e88737f5eb960664&chksm=ead1ad52dda62444336398ae14e05f0caed6de36bdc41968a79a4939945a6c3ac160344636d8&mpshare=1&scene=23&srcid=102559g8boEyr8XpemFd7AB4&sharer_sharetime=1666657418894&sharer_shareid=00a55b671777cf0e253d4693000ead51#rd","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1130690374","content_text":"中金认为，目前美债市场可能已经接近定价“失灵”的边缘，这与2020年4月的石油形势类似，市场已经把当前宏观环境的定价打到极致，而未来形势逆转的可能性较高，美债利率大幅下行是大概率事件。文/中金大类资产研究：李昭 齐伟 杨晓卿 王汉锋美债市场流动性已接近2020年3月市场“失灵”时的水平近日十年期美债利率盘中一度越过4.3%，引发市场关注。我们认为利率定价已经明显脱离均衡价格，受到以下几个因素影响：1）债券市场流动性过差。目前美联储账户上仍有2万亿美元隔夜逆回购，市场总体不缺美元流动性。但是今年宏观政策与市场波动性太大，同时美债存量增加导致做市商交易困难，美债市场存在严重流动性问题。可以用债券定价误差来衡量流动性：把市场上所有美债的久期定价模型的定价误差汇总，这个误差越大，说明市场上的定价扭曲越严重，市场流动性越差。定价误差数据显示目前美债市场流动性已经接近2020年3月在疫情影响下市场“失灵”时的水平，当时美联储被迫介入开始“无限量QE”，恢复债券市场正常运行。目前美债市场可能已经接近定价“失灵”的边缘，即使投资者认为利率明显偏离合理价格，也不敢逆市加仓交易。图表：美债市场流动性已接近2020年3月市场“失灵”时的水平资料来源：Bloomberg，中金公司研究部图表：美联储账户上仍有2万亿美元规模隔夜逆回购资料来源：Haver Analytics，中金公司研究部图表：近期美债市场波动性过高资料来源：Bloomberg，中金公司研究部图表：期货市场预期加息终点接近5%资料来源：Bloomberg，中金公司研究部2）英国政策黑天鹅事件成为压垮全球债券市场的最后一根稻草，英国债市直接崩盘，养老金出现偿付危机，全球市场联动波及美债。受流动性偏低制约，虽然目前英国风险已经大幅缓解，美债利率并没有对基本面变化有明显反映。3）美国8-9月份CPI通胀超出预期，美联储维持鹰派表态，市场预期加息的终点一度接近5%，形成“通胀恐慌”。2022年的美债行情与2020年的石油行情有相似之处在全球大类资产中，上一个明显脱离基本面价格的资产可能是石油。2020年初受疫情冲击，石油需求大幅削减，油价断崖式下跌。由于石油是具有确定工业价值的资源品，并且疫情的负面冲击终将过去，只要下跌幅度足够大，理应提供确定性上涨机会。2020年3月，市场定价已把当时的困境演绎到极致，而未来形势反转又无悬念，因此投资者选择在油价低位“抄底”。但意外发生，储油能力出现暂时性短缺，交割机制导致油价彻底脱离基本面，WTI石油期货价格4月份跌至-37美元每桶，给投资者造成损失。事后来看，选择在2020年3-4月抄底石油的投资者对基本面的判断完全正确，未来2年油价从负数快速上涨到130美元，是全球大类资产中表现最亮眼的资产。如果在4月份承受损失后放弃基本面分析，会错过这波十年一遇的石油超级周期。图表：WTI原油价格2020年一度跌至-37美元/桶资料来源：Bloomberg，中金公司研究部图表：过去两年内，石油是全球大类资产中表现最亮眼的资产（美元计价，全收益回报率）资料来源：Wind，Bloomberg，中金公司研究部2022年10月的美债形势与2020年4月的石油形势类似，市场已经把当前宏观环境的定价打到极致，而未来形势逆转的可能性较高。当前看，通胀居高不下，联储激进紧缩，理应推高利率。但即使假设联储加息至4.8%停止，十年期美债利率均衡价格也仅为3.2%，市场定价已经高于均衡价格接近100bp。往前看，美国经济进入衰退已成定局，经济放缓将带来通胀明显改善，我们认为美债利率大幅下行也是大概率事件。但是若10月份抄底美债，也会承受较多损失。过去2个月我们对美债市场走势的预测出现较大偏差，但参考2020年的经验，我们认为不宜过度追随趋势而忽视基本面分析的信号。图表：假设联储加息终点在4.8%，十年期美债利率2022年底的均衡价格在3.2%左右资料来源：Bloomberg，中金公司研究部美债利率预测，我们看对了什么，看错了什么，学到了什么我们于2021年12月预测2022年美债利率大幅上行，2022年4月预测利率双向波动，6月预测利率大幅回落，随后转为中性，至此我们对于市场形势的预测基本兑现。但9月份以来，我们没有预测到美债利率从3%骤升至4.3%，主要由于没有充分考虑“非线性”与“小概率”事件的影响：图表：我们准确判断出美债利率2021年底开始的上行趋势以及2022年6月后的回落趋势，但没有预测到美债利率冲高到4%以上资料来源：Bloomberg，中金公司研究部首先，美债利率大幅上行归根结底是CPI通胀增速超预期的结果。我们对CPI的预测模型建立在经济数据的统计规律之上，隐含假设是数据的领先滞后关系可以根据历史规律线性外推，但近期通胀上涨幅度超出模型预测。其次，我们没有预测到英国政策意外与养老金危机。我们事前假设英国政府决策会符合理性与常识，但这一假设受到挑战，英国政策黑天鹅事件最终冲垮了美欧国债市场。吸取过去两个月的经验，我们认为疫情后世界的“非线性”需要更多关注，我们的基本面分析只能得出资产价格的平均路径与终点价格，但非线性事件可能使资产价格波动增大，完全可以大幅脱离均衡价格，并且需要更长的时间收敛至均衡价格。因此，虽然我们维持十年期美债利率下行至3%的预测不变，但将观点兑现的时间延长至2022Q4-2023Q1。预测资产价格需要关注新的非线性事件——金融市场风险10月份以前，大部分的非线性事件都推高美债利率，现在可能有一类非线性事件——金融市场风险——成为压低美债利率的力量。美联储可以选择牺牲经济增长控制通胀，但是可能无法接受金融市场紊乱与金融危机。本次加息周期速度快于历史上大部分加息周期，但当前金融市场的复杂程度远远超过几十年以前，一些机构与市场可能难以适应突如其来的高利率环境。以英国危机为例，在英债崩盘后，暴露了养老金LDI投资的杠杆率问题，英国央行也被迫选择以“暂时性QE”的形势稳定市场。我们认为其他国家的市场可能隐藏类似的问题，金融市场震荡后政策应对也可能接近英国央行的选择。目前除美债市场运行已经暴露问题以外，我们认为发达市场高收益公司债与新兴市场主权债的风险积累也不容忽视。事实上，近期华尔街日报报道联储官员已经开始关注“紧缩过度”风险，并有可能在12月美联储会议上放慢加息速度。尽管并非基准情景，但我们认为需要考虑美联储2023年提前调整加息与缩表政策的可能性。美债利率2023年可能继续宽幅震荡，但最终下行幅度可能超出预期。图表：本次加息周期速度快于历史上大部分加息周期资料来源：Bloomberg，中金公司研究部图表：英国宣布购债计划后英国长端利率急跌资料来源：Bloomberg，中金公司研究部","news_type":1,"symbols_score_info":{".DJI":0.9,"ZNmain":0.9}},"isVote":1,"tweetType":1,"viewCount":1935,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":187470697210032,"gmtCreate":1686795206839,"gmtModify":1686795667688,"author":{"id":"3576457691067596","authorId":"3576457691067596","name":"李秀蓮","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3576457691067596","idStr":"3576457691067596"},"themes":[],"title":"","htmlText":"<a 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