每日新闻更新 — 腹部很活跃,但两翼却纹丝不动 The Daily Update – Belly outperformance, wings motionless

昨天是美国国债市场有趣的一天,随着长期债券的继续反弹,交易风险上升。事实上,今天早上我们看到了从两年期到五年到期的收益率曲线发生倒置,其差价自2007年以来首次穿越零。事实上,两年期和十年期的利差也达到近十一年来从未见过的水平,交易价格低于14个基点。

那么是什么因素在驱使曲线变平?唐纳德·特朗普和他90天的关税休战前边已经提到,毋庸置疑,这会对经济增长产生积极的影响。既然达成了协议,信贷市场就应该振作才对,但国债市场对此却视而不见。

一条线索可能在2018年12月/2019年12月欧元美元期货合约的价差中,目前的交易价格约为22个基点,在明年整个12个月内定价当在接下来的25个基点紧缩的区间内进行。当然,这是在2018年12月19日加息之后,已经纳入定价之内,目前加息的可能性大约为80%。

然而,美国国债的曲线在过去两个月中的表现一直很有意思。在10月初,我们的2年期收益率为2.82%,30年期的长期债券收益率为3.22%,它们两种债券的利息与今天上午的相同。但是当时5年期是2.96%,10年期是3.07%,而今天的5年期是2.81%,因此下降了15个基点,10年期是2.95%,因此下降了12个基点,这给人的印象是,曲线的腹部很活跃,但是两翼却基本上纹丝不动。

这条曲线是不是在告诉我们,当这个周期只剩下两次紧缩机会的情况下,美联储的紧缩政策基本上已经完成。所以当曲线的腹部有望在接下来的两年多的时间里由于适度通胀而得到宽松时,2年期的定价基本上是合理的。而长期债券正在提醒我们,由于供应仍旧是持续的风险,美国的预算状况仍然是一个问题。 

这些只是些一些想法而已,但是值得人们进一步深思。

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