每日新闻更新 — 为波动付出代价 The Daily Update – Paying the price for volatility

(直到两周前)意大利2年期债务的持有者其实以负收益率提前为享有接触意大利的市场风险的优点偿付了代价。从这个意义上讲,给那种“为波动付出代价”的理念带来了新的含义。仅在5月份,意大利的短期(债券)收益率从-0.15%上涨至昨天收盘时的2.70%;而这285个基点中的185个基点的变化就发生在昨天。这种情况是前所未有的;这相当于超过过去十年单日波动的18个标准差(这项指标在2011/12年欧元区危机期间本身就相当高了)。

谢天谢地的是,今天意大利的曲线收复了昨天的一部分跌幅。即使是5/7/10年期的债务的定期拍卖也没有削弱这一点;它吸引了1.48倍的可观回报 — 这也许展示了一些欧洲主要银行和机构对“越来越密切的联盟”的希望,以及对欧盟的进一步支持最终会被提供(并被接受)的期待。许多人仍然认为意大利的违约是不太可能的,因为主要债权持有者,包括来自如此之多的关键的当事方 — 从法国和德国的银行到意大利本国众多的银行 — 使得此事成了对政府来讲一件极度不受欢迎的事情,无论他们(该政府)看上去是多么地自以为是。

但是昨天的波动,无论是从违约的角度来看,还是从(经济)衰退带来的风险的角度来看,对于被经常低估的短期债务的风险来讲都具有教育意义。在价格行为方面,30年期下跌了-4.45%,而2年期下跌了-3.65%。相对于长期债券的18年期超过2年期的9倍来讲,这种1.2倍的相对损失似乎被低估了太多。它表明我们并不生活在一个“平行债券空间”,假设收益率曲线能够平行移动,根据修正后的持续时间来衡量债券风险是不够的(相当于30年期的价值昨天在一次平行移动中已经损失了三分之一的价值)。

当我们绘制出整个生命周期时,就会看到随着时间的发展收益率发生的变化:从正常的正斜率收益率曲线到严重倒转的收益率曲线。危机不会经常发生,而那些没有目睹过危机的人总是会对短期债券的受损程度感到惊讶。意大利最近的经验清楚地表明,债券的持续期间并不是最重要的,比这个更重要的因素是市场是否觉得一个国家具有良好的信誉。如果你想持有短期债券,你需要确保它们是由最有信誉的国家发行的。

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