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极彩登录网址-【双语深度】美债外资大撤离:原因、影响以及未来的走向(下)

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Part III – The Invisible Hand

第三部分:无形之手

Required moves of at least 100 bps are huge in both funding and fixed income markets – they would eclipse the size of the largest Libor-OIS moves we have seen since 2015, and they would also count as one of the largest moves in the 10-year yield seen since 2015.

关于融资商场和固定收益商场而言,100个基点的利差水平可不是闹着玩的——或许会让2015年Libor-OIS的利差动摇相形见绌,也或许是自2015年来十年期美债收益率的最大幅改变。

So we could be in for some big moves in fixed income markets in 2019…

因而,咱们或许可以在2019年的固定收益商场取得一些严重改变。

…and perhaps moves that are bigger than that. Hedging costs or the 10-year yield moving 100 bps does not leave much margin for error: foreign inflows would stage a “sudden stop” again for a few bps less. For foreign portfolio flows to structurally “stick”, hedging costs and the 10-year yield would have to adjust by more like 100 to 150 bps.

或许还有更大的变数。对冲本钱或10年美债收益率改变100个基点并没有留下多少犯过错的地步:利差少几个基点外资流入或许会忽然间断。要让外国出资组合活动结构性地留下来,对冲本钱和10年期美债收益率有必要调整约100至150个基点。

How can the curve re-steepen from here relative to hedging costs?

相关于对冲本钱,怎么才能使曲线在此处从头变陡?

Within the confines of U.S. funding and fixed income markets, the required steepening can come from two and only two sources: higher Treasury yields or lower hedging costs. In turn, these adjustments can happen either through marke玉势ts adjusting themselves – “the invisible hand” – or markets adjusting with some help from the U.S. government.

在美国融资和固定收益商场规模内,所要求的升幅或许会来自两个来历:更高的美国国债收益率或更低的外汇对冲本钱。这些调整转而可以经过商场自我调整来完成——经过看不见的手,或在美国政府的协助下调整商场。

In this part of our analysis, we consider the scenario where markets do the adjustment, and in the next part of our analysis, we consider the scenario where the government helps.

在本部分剖析中,咱们考虑了商场来促进调整的想象,并在下一部分剖析中,考虑了政府给予协助的景象。

Let’s first consider how the adjustment could come from higher 10-year yields.

让咱们首要考虑调整来自于10年期国债收益率进步的景象。

Figure 20 shows that the 10-year Treasury yield would have to be at least 3.50% for FX hedged buyers from Japan and Europe to consider 10-year Treasuries to be attractive relative to government bond yields available locally, given no change in FX hedging costs; the minimum yield target of large U.S. banks and funds to stay are also about the same.

图20显现,假定外汇对冲本钱没有改变,要让日本和欧洲的出资者在对冲外汇危险的基础上购买10年期的美国国债,且相关于他们本乡政府债券的收益率具有招引力的条件下,10年期美国国债的收益率有必要至少到达3.5%;美国大型银行和基金的最低收益率方针也大致相同。

As noted above, these are minimum yield targets w极彩登录网址-【双语深度】美债外资大撤离:原因、影响以及未来的走向(下)ith no room for error, and so for foreign investors and for U.S. banks and asset managers to steadily buy on the margin, the 10-year yield would have to be around 4.00% – a level it hasn’t reached since 2007.

如上文所述,这是没有过错地步的最低收益率方针,外国出资者、美国银行和财物办理公司要想在边沿上稳步买入,10年期的美债收益率有必要约为4%,这是2007年以来没有到达的高水平。

If the 10-year trades above 4.00% it probably won’t mean anything good for either equities, credit or the economic outlook. The technical reasons why yields could gradually grind toward 4.00% we have discussed in the previous sections: more supply due to growing deficits and the Fed’s balance sheet taper; foreign investors’ buyers strike; banks unwilling to buy Treasuries outright or an asset swap at current yields for HQLA; banks buying foreign bonds on an FX hedged basis to earn a spread over Treasuries; and asset managers’ current incentives to fund banks rather than the U.S. government and also to fund foreign governments on an FX hedged basis rather than the U.S. government.

假如10年期美债的收益率超越4%,这对股票、信贷和经济远景没有任何优点。收益率为什么可以逐渐上行至4%的技能理由咱们在前文现已提过了:赤字添加会导致国债供给上升,美联储缩表也会出售国债;海外出资者“停工”;银行不肯意直接购买国债,也不肯意在其时的收益率水平进行财物交换来取得HQLA;银行还可以经过外汇对冲的手法买入海外的国债以赚取比较于美债的利差;资管公司现在宁可把资金投入给银行负债或者是在外汇对冲的基础上买入外国国债也不肯意出资美国国债。

In addition, primary dealers trying to move Treasuries off their books will also pressure yields higher as they cut the price of Treasuries to make room for future auctions, where they’ll likely bid for paper at higher coupons to protect themselves from repo rates rising.7

此外,企图把美国国债从账面上挪走的一级买卖商还将对美债收益率施加更大压力,因为他们将下调美国国债的价格,以便为未来的美债拍卖留出空间,他们获取国债时会进步利率以维护本身不受回购利率上升的影响。

There are also some macro reasons why the 10-year yields can move higher from here: assuming that the current IP slump bottoms during the second quarter (see here), improved indicator flows and risk sentiment can prompt the market to expect hikes again, and the Fed can turn hawkish again with a turn in risk sentiment, as the year progresses.

10年期国债收益率或许走高也有一些微观原因:假定其时工业产出跌势在第二季度触底,经济指标和危险心情的改进或许会促进商场预期再次呈现加息,跟着危险偏好的上升,本年美联储或许会再次变得鹰派。

To be clear, we are not saying that the 10-year yield is going to 4.00%, only that forces both technical and macro could easily force it in that direction as the year progresses.

要清晰的是,咱们并不是说10年期美国国债收益率将到达4%,而仅仅技能和微观两方面的力气可以垂手可得地迫使它朝着这个方向开展。

Let’s now consider the case where markets still adjust alone, but the adjustment comes not from a higher 10-year Treasury yield, but rather, lower three-month hedging costs.

现在让咱们来考虑一下商场在单独进行调整的状况,但调整并非来自10年期美国国债收益率的上升,而是三个月对冲本钱的下降。

Figure 21 shows that three-month FX hedging costs can be at most 2.00% for FX hedged buyers from Japan and Europe to consider 10-year Treasuries to be attractive relative to government bond yields available locally, given no change in the 10-year yield; the minimum yield limit on the dollar-lending leg of U.S. banks and asset managers that lend dollars for euros and then invest in French government bonds is also the same.

图21显现,日本和欧洲的外汇对冲基础上的美债购买者以为,要让10年期美国国债相关于本国政府债券的收益率具有招引力,3个月期的外汇对冲本钱最多为2%,假定10年期美国国债收益率没有改变的前提下;美国银行和资管公司融出美元置换入欧元,然后出资于法国政府债券的最低收益率约束也是如此。

As noted above, these are maximum hedging costs with no room for error, and so for foreign investors to be back and for U.S. banks and asset managers to structurally stay, hedging costs would have to be below 2.00% – i.e., well below the Fed’s target range.

如上文所述,这是没有容错率的最高外汇对冲本钱,所以若要招引外国出资者回归,且美国银行和财物办理公司也在结构性地留下,外汇对冲本钱有必要低于2%;也便是说,远远低于美联储设定的利率方针区间。

If the Fed doesn’t cut rates, how could hedging costs fall below the Fed’s target range? Through the cross-currency basis going positive.

假如美联储不降息,外汇对冲本钱怎样低于美联储的利率方针区间?经过穿插钱银交换基点走正。

There are three distinct flows can push cross-currency bases to go positive this year.

本年有三种天壤之别的资金活动可以推进穿插钱银交换基点走正。

First, foreign portfolio investors’ demand for dollar assets on a hedged basis has peaked, and with less demand for dollars come less negative bases (see part one above). Reduced demand comes from both less foreign inflows into dollar assets on the margin, and foreign investors selling dollar assets and buying back dollar hedges on the margin.

首要,外国证券出资者在对冲外汇危险的基础上的美元财物需求现已见顶,美元需求削减会导致穿插钱银交换基点从负值上行(见上文榜首部分)。需求削减的原因是边沿上流入美元财物的外资削减,以及外国出资者出售美元财物并从对冲合约中免除。

Second, despite the diminished demand for dollars in the FX swap market on the margin, supply remains robust as lenders of dollars care about spreads over bills, which for some types accounts – namely global banks and foreign central banks – remain significant. This ongoing lending of U.S. dollars in the face of shrinking demand has pushed the core cross-currency bases all the way to zero – with some now trading positive (see Figure 22).

第二,虽然外汇交换商场在边沿上对美元的需求在缩水,但供给依然微弱,因为借款人关怀的是融出美元的利率比较于美国短期国债的利差,而某些类型的账户,即全球银行和外国中央银行,这部分利差依然很大。面临需求不断缩水,美元融出却很富余,已使得中心的穿插钱银交换基点一路被推升至零,一些钱银对乃至现已为正(见图22)。

Third, what can tip some bases to trade more positive from here is if the lending of dollars accelerates as U.S. banks and large asset managers lend more in the FX swap market as described above – i.e., if U.S. accounts, like Japanese banks and insurers in recent years, go from lending the local currency, in this case the dollar, on the margin to dumping it and start borrowing euros to buy steeper government curves in Europe and even Japan.

第三,美国银行和大型财物办理公司在外汇交换商场上发放更多的美元借款——如上所述——假如美国的出资账户,就像日本银行和保险公司近几年所做的那样,从融出辅币到推销辅币,在此刻推销美元,在边沿上兜售美元并借入欧元以触及更峻峭的政府债券曲线(欧洲和日本),也会使得穿插钱银交换基点变得更正。

Figure 23 shows how such flows would re-shape the dynamics in the FX swap market. Thus, in 2015-2016 the backdrop was an excess demand for U.S. dollars via FX swaps which banks arbitraged by borrowing U.S. dollars secured and unsecured on the margin.

图23展现了这种资金活动怎么重塑外汇交换商场的动态。因而,2015-2016年的大布景是经过外汇交换转化的对美元的超量需求,这部分需求经过银行在边沿上以担保和无担保方式融入美元被对冲掉了。

Then, in 2017-2018 the dominant theme was less demand and more lending, and so more balanced flows – a market that increasingly cleared through matched books, where banks did not have to arbitrage as much, which freed up balance sheet for repos.

然后,在2017-2018年,占主导地位的主题是需求削减和美元融出量的添加,以及更平衡的资金活动——这个商场日益经过匹配账户清算,银行不用进行过多的套利活动,然后释放了本身的财物负债表空间。

Next, 2019 could be the year where U.S. banks and asset managers dumping dollars in the FX swap market to get around the flat Treasury curve tip the market to the point where there is an excess supply of U.S. dollars – the opposite of flows in 2015-2016.

在这之后,2019年的状况则或许是美国银行和财物办理公司在外汇交换商场兜售美元,以绕开平整的美债收益率曲线,将商场推至美元供给过剩的水平——与2015-2016年的资金活动状况相反。

If cross-currency bases go positive, arbitrage trades will be very different.

假如穿插钱银交换基点为正,套利买卖就会大不相同。

Instead of borrowing dollars in the CD and CP markets to lend into the FX swap market on the margin, banks will be borrowing in euro, yen, sterling and Swiss francs and then lend these currencies and borrow the excess U.S. dollars floating in the FX swap market.

银行将在边沿上借入欧元、日元、英镑和瑞郎,然后在外汇交换商场中融出置入浮存的过量美元,而不是在CD和CP商场上融出美元然后在边沿上融出这些美元。

Positive cross-currency bases would thus gradually pressure Libor-OIS to trade tighter, and as the borrowers of excess dollars look for places to invest, stressed repo markets and an excess supply of Treasury bills trading above OIS will be natural places to invest.

因而,穿插钱银交换基点为正将逐渐迫使Libor-OIS利差收紧,而跟着过剩美元的借款人寻觅出资方针,压力巨大的回购商场和高于OIS利率的美国短期国债供给过剩将成为出资的天然场所。

30 bps from positive cross-currency bases, 30 bps from a tight Libor-OIS spread and 30 bps from bill yields below OIS as arbitrageurs buy bills to invest excess U.S. dollars – these are the forces that together can easily push hedging costs 100 bps lower this year.

套利者获取过剩美元今后开端买入短期美债——穿插钱银交换基点为+30bps,Libor-OIS利差收紧30bps,短期美债低于OIS利率30bps。这些要素相加将会使得对冲本钱在本年下降100个基点。

Part IV – Inversion and the Room to Taper

第四部分 - 倒挂与缩表空间

Clearly, markets are able to adjust on their own, and some of these "healing" flows are already in train: cross-currency bases are breaking through the zero line with some trading positive already; three-month U.S. dollar Libor-OIS spreads have come in on the margin; persistent flows from Japan and lately also from the U.S. have been pushing the yield on 10-year French government bonds lower; and large U.K. banks harvesting a positive sterling cross-currency basis have been lending into the stressed repo market in the U.S. as a part of a trade where they soak up excess U.S. dollars in the sterling swap market.

明显,商场可以自行调整,其间一些“复苏”的资金活动现已发动:穿插钱银交换基点正在打破零转正;三个月期美元Libor-OIS利差也现已迫临零;来自日本和近期美国的持续资金流入,促进法国10年期政府债券的收益率下降;大型英国银行正在收割正的英镑穿插钱银交换基点,作为在英镑交换商场吸纳超量美元资金的买卖的一部分,英镑一向在美国向压力巨大的回购商场放贷。

Figure 24 shows the constellation of curves when misalignments were at the peak. Figure 25 shows the constellation of curves today – the market is adjusting as we speak. So far so good, but which of the two scenarios will dominate the remainder of the year?

图24展现了曲线错位处于峰值水平常的曲线图景。图25则展现了其时的一系列曲线,正如咱们所说的,商场正在调整。到现在为止,状况还不错,但两种情形中的哪一种会主导本年余下的时刻呢?

Of the two macro scenarios discussed above, its better for risk assets and the outlook if hedging costs trade down to 2.0% than if the 10-year Treasury yield trades up to 4.0% – it is better if the curve bull steepens rather than bear steepens relative to hedging costs.

在上述两个微观情形中,假如对冲本钱降至2%的情形高于10年期美国国债收益率到达4%的情形,对危险财物和经济远景更为有利。与对冲本钱比较,国债收益率曲线最好是牛陡而非熊陡。

Why a macro investor should care about which of these scenarios will dominate is clear, but should the U.S. government – either the Treasury, or the Fed, or both – also care?

为什么微观出资者应该重视其间哪一种情形会占有主导地位是清楚明了的,但为什么美国政府——无论是财政部,仍是美联储,仍是他们两者都应该对此予以重视呢?

We think the answer is yes.

咱们以为答案是必定的。

First, Treasury should prefer funding strategies that lower the government’s funding costs, and in the current environment issuing fewer bills and more coupons would do just that: it would steepen the curve relative to hedging costs and raise the odds that the curve re-steepens the right way from the perspective of the Treasury – i.e., that the adjustment would come mostly from lower FX hedging costs, rather than higher long-term yields.

首要,财政部应该偏好下降政府融资本钱的融资战略,在其时环境下,下降短债发行量、添加长债发行量就能起到这样的效果:收益率曲线将相当于对冲本钱峻峭化,一起收益率曲线峻峭化的途径也是财政部愿意看到的——也便是说,调整首要来自较低的对冲本钱,而不是较高的长时刻收益率。

Historically, bill yields always traded about 30 bps below OIS, but recently they’ve been trading north of OIS. This is due to the massive supply of bills that was issued in 2018 under the assumption that we still suffer from a bill shortage. This assumption is wrong: the world now suffers from a glut of bills (see here), which contributes to hedging costs being much higher than necessary and the curve being inverted relative to hedging costs. Lower bill yields from less issuance would mean more lending in the FX swap market on the margin, which would help push cross-currency bases trade positive (see above).

从历史上看,短期国债的收益率总是比OIS低约30个基点,但最近它们一向在OIS以上的规模内买卖。这是因为2018年发行了很多的短期国债,其时咱们仍假定短债是稀缺的。而这一假定是过错的:国际现在面临着很多的短期国债(拜见此处),这使得对冲本钱远远高于必要水平,美债收益率曲线与对冲本钱曲线倒挂。短债收益率因发行量削减而下降,意味着外汇交换商场将在边沿上供给更多的美元借款,这将有助于推进穿插钱银交换基点走正(见上文)。

Why the sovereign should shift issuance away from bills toward coupons is thus obvious: if she doesn’t, the flatness of the curve will worsen and funding can get more expensive.

如此一来,为什么美国财政部应该把发行的债券从短债转向长债的原因清楚明了:假如她不这样做,收益率曲线的走平状况就会恶化,而融资本钱也会进步。

Second, the Fed should also care about the flatness of the Treasury curve for it affects how much room it has to taper and how soon it will have to launch an o/n repo facility.

其次,美联储还应该重视美国国债收益率曲线的平整程度,因为它影响到联储的缩表空间,以及联储发动隔夜正回购便当的时刻有多快。

As discussed in part one of our analysis, primary dealers’ inventories have increased by $200 billion since mid-2018, due to increased federal deficits and taper (see Figure 10).

正如咱们在榜首部分所评论的,一级买卖商的库存(国债)添加自2018年年中以来现已添加了2000亿美元的规划,因为联邦赤字添加和联储缩表(见图10)。

Most of this increase in dealer inventories was funded by large U.S. banks swapping reserves for o/n repos in HQLA portfolios on the margin, and at rates well north of IOR.

这部分库存的添加是经过美国的大型银行在边沿上置出准备金而转向隔夜回购(作为HQLA组合)导致的,理由是隔夜回购的利率要高于存款准备金利率。

According to their fourth quarter financials, J.P Morgan Chase Bank and Bank of America were the only two banks that lent into dealers’ increased funding needs on the margin, which shows that the repo market currently relies on two banks to clear (see Figure 26).

依据四季报的数据显现,摩根大通和美国银行是仅有的两家在边沿上融出给资金需求添加的买卖商的银行,买卖商融资需求添加的起伏标明回购商场现在依靠这两家银行进行清算(见图26)。

This is important to appreciate because it implies that there is a fine balance between the size of primary dealer’s inventories of Treasuries and these two banks reserve balances – once these two banks lose their flexibility to toggle between reserves and o/n repo freely, the repo market could lose its lenders of next-to-last resort, primary dealers would scramble to fund their inventories and o/n rates would drift outside the Fed’s target band.

这一点有必要了解,因为它意味着两者之间有一个绝妙的平衡——一级买卖商的国债库存规划和这两家银行的准备金余额;一旦这两家银行失掉在准备金与回购之间自在切换的灵活性,回购商场或许会失掉其旁侧终究借款人,一级买卖商将力争上游地为国债库存融资,而利率将违背美联储的方针区间。

The Fed would have no choice but to suddenly end taper and launch an o/n repo facility – which we believe it doesn’t want to.

美联储将别无选择,只能忽然中止缩表,并发动一项正回购方案。咱们以为联储并不想这么做。

The Fed should thus care about the slope of the curve as it impacts the room to taper.

因而,美联储应该重视国债收益率曲线的斜率,因为它影响着联储的缩表空间。

A flat curve means no interest in Treasuries, growing inventories, growing repo pressures, and large U.S. banks’ reserve balances being pushed to the limits of their flexibility.

平整的曲线意味着对美国国债兴趣不大、买卖商库存添加、回购压力添加以及美国大银行的准备金余额也被推到了灵活性的极限。

A steep curve means that auctions go well, dealer inventories clear and that pressures in o/n markets – the markets which ultimately determine the room to taper – disappear.

峻峭的曲线意味着国债拍卖极彩登录网址-【双语深度】美债外资大撤离:原因、影响以及未来的走向(下)会顺利进行,买卖商库存缩短,而隔夜商场的压力——终究决议联储缩表空间的商场——则消失不见。

What can the Fed do to maximize the scope of balance sheet taper and delay the launch of a fixed-price, full-allotment o/n repo facility? What a pilot does when a airplane stalls.

美联储能做些什么来最大极限地扩展财物负债表的减缩规模,并延迟固定价格、全额配隔夜给的正回购便当的发动?飞机失速时,飞翔员会做什么?

When an airplane stalls you push its nose down…

当一架飞机失速时,你会推下它的机头;

…so that the airplane goes faster and more air flows over the wings which helps create enough lift for the plane to start flying again. The same with the flow of Treasury collateral.

让飞机飞得更快,更多的空气流过机翼,这有助于为飞机从头飞翔发明满足的升力。国债作为抵押品的流转也是相同。

Like with an airplane in deep stall, the best course of action for the Fed is to push down the nose of the U.S. rates complex – three-month funding rates – and push it down hard.

就像飞机堕入深度失速相同,美联储最好的举动方针是压低美国钱银商场的利率——三个月的融资利率,并尽力下降利率。

The Fed can do one of three adjustments, in our view:

咱们以为,美联储可以采纳三项调整中的一项:

reverse twist the SOMA portfolio,

对SOMA出资组合进行逆向歪曲操作,

cap the foreign RRP facility, or

约束外国RRP东西的用量,或

cut interest rates.

降息。

First, a reverse twist would steepen the curve and enhance the flow of Treasury collateral similar to the way Treasury issuing fewer bills and more coupons would (see above). Lower bill yields from a reverse twist would mean more lending in the FX swap market on the margin, which would help push cross-currency bases trade positive (see above).

首要,逆向歪曲操作会使得曲线峻峭化,添加国债抵押品的活动性,就像财政部发行更少短债和更多长债那样(见上文)。逆向歪曲操作将导致短期国债收益率下降,这意味着外汇交换商场在边沿大将呈现更多的美元借款,这将有助于推进穿插钱银交换基点保持正数(见上文)。

Second, capping the foreign RRP facility would force $250 billion worth of FX reserves currently on deposit at the Fed to flood into the bill market and/or the FX swap market – flows that big would push cross-currency bases go very positive, very fast, which would accelerate the adjustm极彩登录网址-【双语深度】美债外资大撤离:原因、影响以及未来的走向(下)ent process we discussed in the previous section (see Figure 27).

其次,约束外国RRP便当东西将迫使现在存于美联储的2500亿美元外汇储备涌入短债商场和(或)外汇交换商场。如此大的资金活动将推进穿插钱银交换基点很快变得很正,这将加快咱们在前一节评论的调整进程(见图27)。

Why the Fed should seriously consider options number one and two if it does not want to cut rates is clear: implicit in our analysis is that whatever force keeps the yield curve flat, from a plumbing perspective, the Fed overdid the hiking cycle by about two or three hikes!

假如美联储不想降息,为什么要仔细考虑榜首和第二个选项的原因很清晰:咱们的剖析中隐含的意思是,无论什么力气唆使收益率曲线的平整,从引导的视点看,美联储的加息周期多加了两三次!

The nose of the plane got pulled too high. The plane stalled.

飞机的机头被拉得太高了。飞机失速了。

The plane stalled, because the importance effective funding rates like FX hedging costs and spreads to OIS were ignored – see From Exorbitant Privilege to Existential Trilemma – as was the shift from funding the U.S with price insensitive to price sensitive buyers.

因为像外汇对冲本钱和OIS利差这样的有用融资利率的重要性被忽视——看看咱们过往陈述所说的;美国的融资从对价格不灵敏的资金转向价格灵敏的买家。

To be clear, we are not saying that the amount of rate hikes to date was incorrect – they are wholly consistent with the performance of the economy and the dual mandate.

明显,咱们并不是说迄今为止的加息是不对的,而是完全符合经济体现和联储被颁发的两层使命。

What we’re saying is that from a plumbing perspective, hikes led to an aerodynamic stall: rate hikes pushed hedging costs too high and flattened the Treasury curve too much relative to other core curves. From a plumbing perspective the Fed hiked a little too much.

咱们所说的是,从方针引导的视点看,加息会导致飞机失速:加息推高了对冲本钱,并使美国国债收益率曲线相关于其他中心曲线走平了。美联储升息过度。

The system is constantly evolving and central banks must evolve too.

这一(钱银商场)系统在不断演化,中央银行也有必要不断演化。

Some of the new things the Fed should consider when setting rates are these very topics. Balancing rate hikes, politics and the dual mandate was never eas极彩登录网址-【双语深度】美债外资大撤离:原因、影响以及未来的走向(下)y, but it was necessary. Balancing taper versus global curve slopes won’t be easy either, but it will be necessary.

美联储在承认利率时应该考虑的一些新事物便是这些主题。平衡加息、政治和两层使命历来都不简单,但这是必要的。一起平衡缩表与全球收益率曲线斜率也不简单,但这是必要的。

Conclusions – The Path of Least Resistance

定论:最小阻力途径

What will be the most likely path of adjustment?

什么是最有或许的调整途径?

Despite the arguments in our analysis as for why Treasury should adjust its approach to debt management and why the Fed should reverse twist and cap the foreign repo facility, we do not expect either Treasury or the Fed to announce any changes on these fronts.

虽然咱们的剖析中有理由以为财政部应该调整其债款办理方式,以及为什么美联储应该扭转局面,约束外国RRP东西,但咱们并不盼望财政部和美联储宣告这些方面的任何改变。

The reason why we do not expect any change from either institution is because bill supply will be down during the first half of 2019, which should drive yields marginally lower, cross-currency bases marginally more positive, and Libor-OIS marginally tighter. Both the Treasury and the Fed are slow-moving institutions that like to wait and see, and they will wait and see how the marginal reduction in bill supply works its way through the system.

咱们估计两家组织不会呈现任何改变,原因就在于,2019年上半年,债券供给量将下降,这将使收益率稍微下降,穿插钱银交换基点小幅上升,Libor-OIS稍微收紧。财政部和美联储都是举动缓慢的组织,它们喜爱等候和调查,他们将拭目而待,看看债券供给的边沿削减是怎么经过金融系统发挥效果的。

This means that during the first half of the year, the bulk of the adjustments will have to come either from higher yields or cross-currency bases to U.S. dollar Libor going positive.

这意味着,本年上半年,大部分调整要么来自较高的收益率,要么来自穿插钱银交换基点和Libor的改变。

Higher yields are unlikely as the global IP cycle will trough during the second quarter, which means the market won’t discount rate hikes and the Fed won’t turn more hawkish before the second half of 2019, in our view (see our House View on interest rates here).

更高的收益率不太或许,因为全球工业生产周期在第二季度将堕入低谷,这意味着商场不会预期联储进步利率,美联储在2019年下半年之前不会变得更鹰派。

That leaves positive cross-currency bases as the path of least resistance…

这就留下了活泼穿插钱银交换基点作为阻力最小的途径。

The three-month €/$ cross-currency basis trading positive this year will be a key piece of the puzzle of how the U.S. Treasury curve will re-steepen relative to European curves.

本年三个月的欧元/美元穿插钱银交换基点为正数,将是环绕美国国债收益率曲线相关于欧洲收益率曲线将怎么再变陡的要害一环。

Just as a negative cross-currency basis served as the “equalizer” of global curve slopes when the Treasury curve was the steepest curve globally (see part one of our analysis), a positive basis will serve as the equalizer now that it is curve is the flattest globally.

当美债收益率曲线是全球最陡的曲线(拜见咱们剖析的榜首部分)时,负的穿插钱银交换基点是全球曲线斜率的均衡器。而正的穿插钱银交换基点也将在美债曲线全球最平常作为均衡器发挥效果。

Positive cross-currency bases are not unicorns…

正的穿插钱银交换基点不是独角兽;

…the /$ basis has been trading positive since 2018 and the Swiss franc/$ basis has recently turned positive too. More and more bases going positive means more issuance in sterling, Swiss franc and euro and less issuance in dollars, which means less pressure on U.S. dollar Libor-OIS spreads. If we are right, and the Treasury curve will re-steepen mostly through cross-currency bases going positive, then U.S. dollar Libor-OIS spreads can go as tight as 10 bps by June, which is 15 bps tighter than what the market expects.

自2018年以来,英镑/美元穿插钱银交换基点一向呈正数,而瑞郎/美元穿插钱银交换基点最近也转为正数。越来越多的正基点意味着英镑、瑞郎和欧元(由美元置换)的发行量添加,美元发行量(由其他币种置换的)削减,这意味着美元Libor-OIS的压力减小。假如咱们是对的,且美国国债收益率曲线将首要经过保持正的穿插钱银交换基点来从头峻峭化,那么美元Libor-OIS利差到6月份或许到达10个基点,比商场预期的要低15个基点。

Positive cross-currency bases and tighter Libor-OIS spreads come with lower bill yields as the borrowers of excess supply of dollars in the FX swap market look for a place to invest, much like the borrowers of excess yen and euro looked for places to invest two years ago.

因为外汇交换商场上美元供给过剩的借款人将寻觅出资方针,就像两年前的过剩日元和欧元的(美元)借款人两年前寻觅出资方针相同,正的穿插钱银交换基点和紧的Libor-OIS利差将导致着较低的短期美债收益率。

Whether these adjustments will lower hedging costs by the required 100 bps fast enough for primary dealer inventories to clear as Treasury supply gathers pace is the big question.

这些调整是否会以满足快的速度将对冲本钱下降必要的100个基点,使一级买卖商的国债存货可以在财政部国债供给加快步伐时得以结算,这是一个大问题。

If they don极彩登录网址-【双语深度】美债外资大撤离:原因、影响以及未来的走向(下)’t, o/n repo rates could continue to trade stressed and the Fed will be forced to end taper early and will soon have to launch a fixed-price, full allotment o/n repo facility.

假如它们不这么做,回购利率或许会持续受压力影响,美联储将被逼提前结束缩表,而且将很快发动固定价格、全额配给的隔夜正回购便当。

If the Fed doesn’t want that, it will have to accelerate these adjustments and push the “nose of the plane down” – eithe极彩登录网址-【双语深度】美债外资大撤离:原因、影响以及未来的走向(下)r via a reverse twist or by capping the foreign repo pool. Either would push bill yields much lower, cross-currency bases much more positive and Libor-OIS much tighter than before – under this scenario our Libor-OIS target is -5 bps.

假如美联储不想这么做,就有必要加快这些调整,并推进飞机机头向下移动——要么扭转局面,要么约束外国RRP的东西上限。这两种状况都会使短债收益率比曩昔低得多,穿插钱银交换基点变得更正,Libor-OIS的方针比之间紧凑得多。在这种状况下,咱们的Libor-OIS方针为-5bps。

Either of these outcomes suggests that after a decade of absence, this is the year when the Fed will become an active lender in o/n repo markets and/or an active buyer of bills.

以上任何一种成果都标明,在阅历了10年的缺位之后,本年美联储将成为回购商场中的活泼借款人和/或短债的活泼买家。

And what a difference a decade makes…

十年会带来什么改变?

…we went from a Fed that had to buy Treasuries on the long-end to support risk assets, to a Fed that now has to buy bills on the front-end to support Treasuries on the long end.

曩昔的联储美联储不得不购买长时刻国债以支撑危险财物,而美联储现在有必要购买短期债券,以便支撑美国财政部的长时刻国债。

(End.)


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