每日新闻更新 — 谈一谈“画笔”国家中债券价格 The Daily Update – Paintbrush, What's Already in the Bond Price

早在2014年2月,我们就有一个发现,有那么几个脆弱的国家,它们的净外国债务超过了其GDP的50%,被归类到我们斯特拉顿大街划分的一星级和二星级国家中,我们把这些国家统称为“画笔”国家。这些国家是波兰、澳大利亚、印度尼西亚、新西兰、土耳其、巴西、罗马尼亚、乌克兰、南非和匈牙利。

我们的投资方式偏爱债权国和那些净外债少于GDP的50%的国家;国际货币基金组织(IMF)的研究表明,超过该阈值的净外国债务将被视为其外部危机的风险在增加。与拥有外国净债务的国家相比,拥有外国净资产的国家对外国资金的流入的依赖要小一些,而且长期债权国的货币倾向于升值,而负债累累的国家的货币则倾向于贬值。

作为一个规则,自2014年2月以来,这些国家的货币(即期汇率)均未显示对美元的正收益,其中表现最好的货币新西兰元也下跌了23.2%,土耳其里拉下跌了79.4%。

从债券的角度来看,根据我们的相对价值矩阵(由于澳大利亚和新西兰没有国际债务,我们不得不将这两个国家排除在外),这些国家的政府债务都不“便宜”,在我们的美元世界中,(我们的系统)观察大约10万以美元计价的债券,然后根据给定的评级和期限计算出平均值。

例如,期限为5年的A2等级债券的当前“公允价值”点差比美国国债高出68个基点。在这个例子中,当我们说债券交易价格便宜3个刻度(+3)时,它的交易就好像它被评为Baa2(即评级刻度低了3个单位),点差接近146个基点;若价格为两个刻度那么昂贵(-2),则表示Aa3的评级,点差接近41个基点。

现在让我们回到“画笔”国家。新兴市场重量级国家巴西和菲律宾的以美元计价的长期债券是该名单上最昂贵的债券,分别在以-3.2刻度和-4.6的信用刻度进行交易。在这种情况下,巴西(评级为Ba2)的债券交易就像它被评为Baa3一样,而菲律宾(评级为Baa2)的债券交易就像它被评为Aa3一样(看上去非常光鲜)。

退一步说,如果由于某种原因,某一外部冲击导致这两国的债券的点差恢复到“公允价值”,我们计算的预期收益(1年期以上,且包括债券收益率在内)将分别为-41.6%和-20.4%。谢天谢地,我们想象不出有什么任何外部冲击,这就是我们的观点。

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