每日新闻更新 — 从多个角度看倒置的曲线 The Daily Update – The inverted curve from multiple perspectives

自5月23日以来,习惯性发生的3月期到10年期的美国国债的利差一直倒置,这种情况已经持续了一个多月;据可靠资料记载,当这个数字变成负数时可能预示着美国经济衰退到来的可能性比以往更大,但实际事件的发生通常要到至少12-24个月之后。当然,3月份也出现过负面下滑,但随着美联储利率轨迹的变化,在整个5月份和6月份期间,当美国国债收益率大幅下跌之时,标准普尔500指数一路飙升至历史最高点,使得股市受到鼓舞,对通货紧缩和经济衰退的担忧暂时(至少短期内)被搁置。

但如果从3个月和10年融资中一些主要参与者的实际成本差异的角度来看这个问题,就不难理解我们在美国国债收益率曲线演变中(以及也许在商业和工业生产周期中)所处的位置(更确切地说所处的时期)。对于回购协议,围绕3月期国债为了给期限更长的国债购买提供资金的依靠伦敦银行同业拆息的银行和利用对冲货币(特别是欧元和日元)的外国投资者都必须想办法应对远高于3个月短期的美国国债的收益率。这是在过去一年中美国国债的外国购买者越来越少的原因之一,这对一级交易商构成了压力,从而也限制了美联储提高利率的能力(因为吸收美国国债对“高质量流动资产”(HQLA)的回购市场造成压力,当结算日出现潜在的大规模透支的时候就会导致“有效联邦基金利率”(EFFR)令市场感到动荡的波动)。 

若从另外一个角度来看,对于这些美国国债市场的参与者,3个月国债的回购、伦敦银行同业拆息、欧元和日元对冲的实际成本期限差价分别从3月19日、12月18日、10月18日和9月18日以来都变成了负数。由于巴塞尔协议III的限制(银行已经不再拥有近乎无限的资本去货币市场套利),这似乎是当今时代一个具有同等效力的更好的措施来应对倒置曲线的局面,并表明自今年年初以来我们就一直处于这样的环境中。同样,这仍然置我们于经济衰退信号之前好几个月的时间,但也说明我们可能离这个事件的发生又接近了最少5个月的时间。

最近市场的另一个转折点是,日本投资者的套期保值成本大幅下降,这可能诱使投资者又回到美国国债市场上来,扭转了自2015年以来日本减持美国国债约20%(从约1.25万亿美元到约1万亿美元)的长期下跌的局面 。然而,尽管这可能有助于减轻上述的“有效联邦基金利率”的压力,但如果这是由于一直在增加的人们对日元对美元走强的预期所致的话,这肯定不是什么令人乐观的原因(我们的净外国资产分析和历史记录表明,它与避险趋势和对经济衰退的预期相关)。

Please read this important information before proceeding. It contains legal and regulatory notices relevant to the information on this site.

This website provides information about Stratton Street Capital LLP ("Stratton Street"). Stratton Street is authorised and regulated by the UK's Financial Conduct Authority. The content of this website has been prepared by Stratton Street from its records and is believed to be accurate but we do not accept any liability or responsibility in respect of the information of any views expressed herein. The information, material and content provided in the pages of this website may be changed at any time by us. Information on this website may be out of date and may not be updated or removed.

The website is provided for the main purpose of providing generic information on Stratton Street and on our investment philosophy for the use of financial professionals in the United Kingdom that qualify as Professional Clients or Eligible Counterparties under the rules of the United Kingdom Financial Conduct Authority (the "FCA"). The information in this website is not intended for the use of and should not be relied on by any person who would qualify as a Retail Client. Products and services referred to on this website are offered only at times when, and in jurisdictions where, they may be lawfully offered. The information on this website is not directed to any person in the United States. The provision of the information on this website does not constitute an offer to purchase securities to any person in the United States (other than a professional fiduciary acting for the account of a non-U.S person) or to any U.S. person as such term is defined under the Securities Act of 1933, as amended.

The website is not intended to offer investors the opportunity to invest in any Alternative Investment Fund ("AIF") product. The AIFs managed by Stratton Street are not being marketed in the European Economic Area ("EEA") and any eligible potential investor from the EEA who wishes to obtain information on the AIFs will only be provided with materials upon receipt by Stratton Street of an appropriate reverse solicitation request in accordance with the requirements of the EU Alternative Investment Fund Managers Directive ("AIFMD") and national law in their home jurisdiction. By proceeding you confirm that you are not accessing this website in the context of a potential investment by an EEA investor in the AIFs managed by Stratton Street and that you have read, understood and agree to these terms.

No information contained in this website should be deemed to constitute the provision of financial, investment or other professional advice in any way. The website should not be relied upon as including sufficient information to support any investment decision. If you are in doubt as to the appropriate course of action we recommend that you consult your own independent financial adviser, stockbroker, solicitor, accountant or other professional adviser. Past performance is not necessarily a guide to the future. The value of investments and the income from them may go down as well as up. An application for any investment or service referred to on this site may only be made on the basis of the offer document, key features, prospectus or other applicable terms relating to the specific investment or service.

Where we provide hypertext links to other locations on the Internet, we do so for information purposes only. We are not responsible for the content of any other websites or pages linked to or linking to this website. We have not verified the content of any such websites. Such websites may contain products and services that are not authorised in your jurisdiction. Following links to any other websites or pages shall be at your own risk and we shall not be responsible or liable for any damages or in other way in connection with linking.

By using this site, you should be aware that we may disclose any information that we hold about you to any regulatory authority to which we are subject, or to any person legally empowered to require such information.

This website uses cookies to improve user experience, by clicking the "I Accept" button below means you consent to the use of cookies on our website.