每日新闻更新 — “我们陷入了困境,走不出去了” The Daily Update – ‘We’re Caught in a trap, I can’t walk out’

“我们陷入了困境,走不出去了”

由于我们的怀疑心态,我们大多数人喜欢阴谋论,而且在我们看来,欧洲央行目前正在为欧洲投资者设置一个陷阱。在欧元区,尤其是德国,人们一直在讨论关于把美元汇率风险对冲回欧元的成本相对较高的问题。在撰写本文时,三个月的套期保值成本按年计算为2.8%,而10年期美国国债的收益率仅为2.9%,很明显,欧洲投资者应该以0.375%的价格收购德国公债。

但是,这忽略了两个市场的实际回报率。虽然短期内实际利率可以忽略不计,但随着时间的推移,这个因素还是需要考虑的。美国国债的实际利率约为+0.80%,而德国公债则为-1.32%。已经出现的陷阱是,通过将短期利率保持在负值区域的做法,欧洲央行不仅在创造已经在国内产生的对国内债券的大量需求的过程中利用对冲成本来降低欧洲利率,而且也为各国政府的融资需求提供资金,从而帮助刺激欧洲经济。

那么当市场认识到欧洲央行可能比原来看到的那样更接近紧缩时会发生什么呢?原来在5月份的时候,在最近的意大利事件之前,10年期德国公债的收益率为0.65%,返回到该水平相当于价格下跌了2.5点,而且如果您希望在欧元通胀率为1.7%+0.8%的情况下获得相当于10年期美国国债的实际收益率,这意味着要将德国公债的收益率推高至2.5%;比今天的价格下降18点。现在这也许有点极端,德国公债上只有1.25%的变化,仅为那个变化的一半,而表现在价格上就是下跌8个点。

美国国债市场相当于8点的变化将把10年期的收益率上推至3.85%;如果我们看到这一水平,世界经济就在震荡了;在这种情况下,我们可能会看到德国公债要遭遇18点的损失。

因此,虽然套期保值成本确实是欧洲投资者的负担,但风险调整后的交易将支付套期保值的成本,并避免迟早必须出现的有可能发生的欧洲汇率的逐级提升。

如何避免陷阱,以美国国债收益率加上190个基本点的价格买入优质欧洲美元债券组合,从而将套期保值成本降至合理水平,同时避免适用于欧洲利率曲线的风险。

“陷入了困境”,把门打开就是了。  

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