每日新闻更新 - 非农就业数据,人民币债券基金,货币覆盖 The Daily Update - NFP, Renminbi bond fund, currency overlay

时间飞快,转眼就到了六月美国非农就业数据(NFP)发布的日子。市场预期新增就业18.2万,失业率稳定在4.4%,平均工资同比增长0.2%至2.6%。然而,由于无从解释的原因,五月份数据历来偏离预期。

因此,在等待数据发布的同时,我们来回顾我们本周在外汇市场(特别是人民币)的一些活动。我们采用根西岛离岸PCC模式管理着运营时间最长的人民币债券基金。我们也采用同样的策略管理卢森堡UCITS模式基金,尽管该基金存在近4年,而前述离岸基金到11月就已经存在10年。(我们对英国退欧有很好的准备,所有的资金均采用根西岛的PCC结构或者卢森堡的UCITS模式)。

这两支基金的战略用来购买主要以美元、英镑和欧元发行的债券,所有这些货币均对美元建立对冲,之后我们在外汇市场用人民币——中国在岸货币(CNY)或离岸货币(CNH)——覆盖了整个(100%)投资组合。如果符合我们的视角,两种货币会同时被采用。目前我们100%采用离岸人民币CNH。

本周离岸人民币市场遇到了惊人的融资压力,周四香港银行同业拆息短期利率达到42.815%。这些利率比我们所获的美国利息高,随着利率的变动,数额也在波动。这并不是说当月获得42%的利息率,而是说会影响整个收益曲线。我们一直在积极管理人民币覆盖率;我们的人民币覆盖率为75%,根据曲线售出我们的短期仓,买入长期仓,卖出45天,锁住这股融资压力。从广义上说,我们通过三步来买卖资金,锁定4.6%-5.1%的年化率。

这种积极的管理反映在投资组合总回报中。我们预期一年可能有四段这样的融资压力时期,本周是今年发生的第二段,第一段是在三月份类似的情况下激活了覆盖管理,每年资源会增加约1%,这是我们人民币债券基金战略的另一个独特元素。

今年到目前为止,离岸人民币兑美元已升值2.10%,利差增长2.76%,买入人民币回报率为4.86%。在该战略下,今年我们的债券回报率超过9.5%。

我们计划将货币覆盖保持在一个月或两个月的短期,因为长期沿曲线覆盖会更加不稳定,我们希望这种管理模式能提高我们的债券表现,同时不会增加覆盖战略的不稳定性。

非农就业人数超过13.8万,刷新过去两个月的负值-6.6万,失业率为4.3%,由于参加率从62.9%降到62.7%,平均时薪同比增长0.2%至2.5%,低于预期。

正如前文所述,五月是很难解释的月份之一。10年期UST一发布,其债券收益就下降了3.5bps,但我们认为在周末可能会出现微幅抛售,因为收益率接近6个月以来的最低水平,毫无疑问,会出现其他因素为这一数据带来不同的观察视角,例如旧金山的就业气候模型以及由特朗普提高的政府雇用冻结暗示,但这可能已经影响了报告。

我们认为六月份美联储会继续收紧政策,这并不足以让他们脱轨,但的确对未来前景提出了质疑,因为美联储跟资金利率和资产负债表都有关联,对其中一个或两个采取过于积极的措施都会引起经济衰退。

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