美国国债期限溢价回归，金融市场或面临巨变

美港电讯2021-03-26

花旗称期限溢价上升可能引发资金从信贷产品和股市外流如果试图破译国债收益率走势动荡是源于通货膨胀上升，抑或是投资者预测疫情过后经济会强劲攀升，这种做法不免一叶障目而不见森林，因为这实际上是债券投资者在宣称，他们希望借钱给政府能够获得跟以往类似的回报。整个金融市场可能因此发生巨变。一些观察人士警告说，这种巨变可能使债券收益率的上限难以控制，甚至还会带来这样一个疑问：随着传统的替代资产多年来首次变得...

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JJJU
·2021-03-27
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rocat
·2021-03-27
發財！
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SK TER
·2021-03-26
不穩定情緒開始
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fai84
·2021-03-26
Buy more
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King说。“如果这种情况持续下去，并且发展迅速，那么将会出现资金从信贷产品甚至股票基金中外流，破坏市场稳定。那个时候，问题就将是经济是否会受到影响。\n期限溢价上升是一个警示信号。由于通胀加速以及拜登政府财政刺激用力过猛的风险上升，投资者也因而为持有美国国债要求更高的补偿。King说，过去十年来，低水平、甚至为负值的期限溢价一直是压低其他资产类别风险溢价的关键因素。\n一些背景有助于更好地了解市场所发生的变化。\n从历史上看，投资者要求某种形式的收益率奖励来长期锁定他们的资金，而不是每年都滚动投资新债券。2008年全球金融危机爆发，美联储开始购买债券，令这种情况发生了改变。自2016年年中以来的大部分时间里，期限溢价都低于零，但在今年2月转为正值。\n根据纽约联储银行的ACM模型，10年期的期限溢价本月达到约0.68个百分点。在大流行病的最严重时期，该期限溢价最低跌至负1.15%，而往回追溯至1960年的平均水平为1.56%。\n美国国债末日将届？华尔街针对后QE时代的债券交易指南\n10年期美国国债收益率上周达到1.75%，是2020年1月以来最高水平。剔除了物价压力影响、因而被视为更纯粹的增长预期指标的实际收益率也有所攀升。交易员对通胀的预期也有所走高，债券市场对未来十年年度通胀预期的一个替代指标约为2.33%。\n贝莱德公司的Bob Miller表示，一系列因素推高了期限溢价。首先，美联储去年开始允许价格压力在一段时间内过热，以便使较长时间内的通货膨胀率均值达到2%，这令一切都发生了改变。另外，在股票-债券60-40组合中，美国国债已经失去了对冲作用。并且，为了给大流行病纾困支出提供资金，美国国债的发行规模激增。\n“所有这三个因素都促使投资者不再愿意以负期限溢价持有美国国债，”Miller说。\n供应压力\n根据摩根大通的估计，今年美国国债的净发行量将约为3.06万亿美元。虽然低于去年创纪录的4.3万亿美元，但私人投资者必须消化的新的中长期债券将超过2020年，因为美联储的购买规模将会下降。\nMiller说，10年期期限溢价可能会再上升100至150个基点。高盛集团的Praveen Korapaty和Cornerstone Macro LLC的Roberto Perli也都预测期限溢价将会上升。\n“市场正在为更高的通胀风险定价，这是有道理的，因为财政和货币两方面的政策都支持通胀上升这种结果，”Korapaty说。“无论实际通货膨胀是否会变高，你必须承认风险的分布偏向于通货膨胀上升。”\n美联储每月购买800亿美元的美国国债和400亿美元的抵押贷款支持债券，并表示在2023年底之前都会将政策利率维持在接近零的水平。\n在财政方面，白宫在上个月签署了1.9万亿美元的刺激计划后，正在为进一步的财政刺激措施做准备。总统乔·拜登的团队将公布一份3万亿美元经济计划的细节，预计基础设施建设和气候变化将是该计划的重点。\n目前而言，期限溢价引导债券收益率上升并没有令财政部长珍妮特·耶伦感到恐惧。那是因为她对财政空间的衡量标准与偿债成本有关，而目前的偿债成本仍然低于以往的财政年度。\n但即便如此，如果收益率过高，偿债成本就将会带来痛楚，历史上，曾经有过决策者的计划因债券市场而遭受重创的案例。\n总统比尔·克林顿在1993年不得不压缩其雄心勃勃的财政刺激计划，因为他被告知，债券投资者将对由此产生的债务和赤字增加做出负面反应，从而导致整个经济的借贷成本上升。当时克林顿的民主党政治顾问James Carville曾经对债券市场拥有的强大力量做出过著名的讽刺。\n眼下，76岁的Carville正在思考债券市场会不会再度成为一个麻烦。\n“在过去的大约二十年里，债券市场一直没有让任何人感到恐惧，它只是作为一个休眠的庞然大物呆在那里，”他在电话中说： 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