每日新闻更新 —投资负债国家?不了,谢谢 The Daily Update – Indebted nations? No thanks

今年到目前为止,兑美元表现最好的一些货币中有离岸和在岸的中国的人民币和日元。在撰写本文时,离岸人民币兑美元上涨了约2.5%,日元兑美元上涨了1.45%。在另一端,阿根廷比索、土耳其里拉和巴西雷亚尔是今年以来表现最差的货币中的几种:他们分别下降了23.5%、16.5%和10%。

定期阅读的读者一般都会了解到外国净资产评分系统 — 它常用于识别货币和债券的排位情况。该模型考虑了国家的负债情况以及偿还债务的能力,从而使用户能够从这些较富裕的国家中选择投资对象。例如,阿布扎比和中国就被认为是“富有”的国家,它们的海外净资产分别超过其国内生产总值的100%和25%;而巴西、土耳其和阿根廷则有大量的对外净负债。

尽管有些投资商大力支持阿根廷、巴西和土耳其发行的债券,但是我们从来就没有看好过这些国家的主权债券、准主权债券或公司债券,原因就是它们的负债情况、目前的不良状态和点差缓冲的不足。我们可以使用来自阿布扎比和巴西的30年期主权美元基准债券的预期调整后风险的相对价值来证明这一点。就拿被评定为 Aa2 级别的阿布扎比政府的2047年到期的4.125%债券来说,跟相似的有评级的大约16年期限的债券相比,其交易要多出差不多90个基点,因此可以提供14.5%的预期回报率、4.75%的收益率以及大约4.5个节点的信用缓冲。与此同时,巴西发行的2047年期的5.625%的债券可能有更高的收益率 — 6.3%,但与其他的 Ba2 债券相比,在交易中其价差跟类似的债券相比就要小 — 大约为315个基点,而类似的债券价位都在大约345个基点。因此,我们的计算结果是,该债券要“贵”出来0.46个节点,预期回报率为大约 -3.7%。

更有甚的是,拼命追求收益率的投资者一直在购买评级为 B2/B 的阿根廷的债券,尽管这个国家的经济困境一直在加深。就拿2048期的6.875%美元债券来说,其收益率超过8%,但仅提供1%的预期回报,几乎没有下行保护,只有0.10个信用节点。因此,我们很清楚地知道,在货币和债券两个方面,我们更愿意避免持有什么。  

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