找回密码
 立即注册
首页 全球财经资讯 查看内容
  • QQ空间

10年期美债回购利率暴跌至-4%,这意味着什么?

2021-3-6 18:21

 

近期,10年期美债收益率短期快速上涨所引发的美股回调行情一直是市场关注的焦点之一。

隔夜,国债市场又出现了一个值得投资者担忧的情况——10年期美债回购利率暴跌历史最低位的-4%,而其通常的区间为-3%~0%。与市场对债市抛售潮的态度类似,投资者也在观望美联储是否会出面干预。

市场流动性枯竭

对于回购利率的暴跌,Curvature的回购专家斯凯姆(Scott Skyrm)解释称,只有当国债市场出现大规模空头,导致流动性枯竭时,才会出现回购利率低于-4%这种史无前例的情况。

“在美国国债市场,如果投资者未能将债券按时交割给对手,就会被收取相当于低于联邦基金目标区间下限300个基点的高额违约金,回购利率跌至-4%表明,市场上可能存在大量国债空头头寸,空头平仓导致债券需求远超供应水平,从而使回购利率暴跌。”他指出,如此大规模的空头交易在过去10年的美债市场中都从未曾出现过。

Capital Group的投资组合经理图阿松(Ritchie Tuazon)称,上周四的7年期国债拍卖导致的骚乱促使华尔街大型交易部门纷纷撤出国债市场。这意味着,试图出售美国国债的基金经理们的卖出报价与买家的报价之间会出现巨大缺口。而这种大幅波动的国债市场交易环境又反映到国债期货上,使国债期货价格也大幅下滑,交易对手方减少。

“在国债市场的这种情况快速发酵时,交易商开始大幅撤回资金。”他称。

一些市场分析人士指出,大量国债空头头寸的积累还可能意味着,美债市场近期的走势不仅是因为投资者的通胀预期,国债市场的结构本身也存在巨大的问题,如果不加以制止,可能导致灾难性的后果。

“投资者永远不希望看到流动性如此枯竭,尤其是美国国债这个本应是最大且流动性最强的市场上。”Loomis Sayles的美国利率交易主管Mike Gladchun称,“这将加大投资者对美国国债市场运作机制的关注,并加大改革呼声。”

范德比尔特法学院(Vanderbilt Law School)专注于美国国债市场改革的教授亚达夫(Yesha Yadav)也表示,“对于美债这种所谓的无风险资产,其本应是在每一次(市场动荡中)保护我们的资产,而如今发生这样的情况令人害怕。这意味着监管部门在这方面有很多工作要做。”

除了收益率攀升及回购利率创历史最高,衡量美国国债市场预期波动性的一个关键指标——ICE美国银行移动指数(ICE Bank of America Move index)目前也大幅攀升。

关注美联储是否将采取行动

作为重要监管者的美联储的应对再次令市场挂心。

美联储主席鲍威尔当地时间周四在接受媒体采访时表示,美债市场近期波动引起他注意,但也指出美联储关注重点不是债券收益率,而是更广泛的金融状况。

“金融状况高度宽松,考虑到经济需要达到的复苏程度,这种状况是适宜的。”鲍威尔说道,“如果金融状况确实发生重大变化,委员会就将准备好动用促进目标实现所必需的工具。”但他并未具体阐述会使用何种工具,此前市场普遍猜测美联储或将史上第三次采取卖出短端国债、买入长端国债的“扭曲操作”来压低长期债券收益率。

而在国债回购利率于隔夜跌至历史低位后,市场还预计,美联储最终可能也不得不延长对补充杠杆率(supplementary leverage ratio)的松绑规则。

瑞信策略师Zoltan Pozsar此前曾在研报中表示,为使长期美债收益率稳定,要么令美元贬值吸引外国央行购买,要么美联储出面采取扭曲操作或对3月31日到期的补充杠杆率松绑给出明确表态。

“如果美联储选择的是补充杠杆率豁免,则需要澄清是仅含准备金,还是准备金和国债均包括,因为如果仅豁免准备金,也会对国债造成压力。如果将补充杠杆率的松绑规则永久化,银行可以购买更多国债,也可以恢复回购自己的股票。”他称。

补充杠杆率是2008年金融危机后美国重新修改的资本规定的一部分,旨在阻止华尔街大型银行过度冒险。而新冠肺炎病毒疫情暴发后,在美联储的货币宽松下,银行准备金大幅上升。如此一来,银行只能减少对信贷、债券等资产的持有,也不再提供回购融资服务,而这不利于金融体系的运作。于是,美联储松绑了对大型银行的补充杠杆率的资本规定,将准备金及国债排除在补充杠杆率指标之外。

眼下,这一松绑措施即将在3月31日到期,而若松绑不再延续,银行必须为美债仓位及存放在美联储的准备金持有更多资本金,并可能会导致银行减少对国债的持仓,同时减少放贷。据外媒报道,有业内消息人士称债券和短期融资市场对此感到焦虑。

加拿大蒙特利尔银行的资本市场固定收益策略主管克瑞特(Dan Krieter表示),上周鲍威尔对这个问题显得不置可否后,利率互换市场对SLR松绑规定获得延长的预期开始消退。

Recently, the 10-year Treasury yield caused by the short-term rapid rise in the United States stock market correction has been one of the focus of the market.


Overnight, there was another worrying development in the Treasury market as the 10-year Treasury repo rate plunged to a record low of -4%, compared with its usual range of -3% to 0%. Similar to the market's reaction to the bond sell-off, investors are waiting to see if the Fed will intervene.

 

Market liquidity dried up


Scott Skyrm, a repo expert at Syracuse, explains the collapse in the repo rate that is unprecedented: "It takes a large volume of short positions in the Treasury market to dry up liquidity to get the repo rate below minus 4%."


"In the Treasury market, if investors failed to bond to rivals, on time delivery will be equal to is lower than the target range for the federal funds of 300 basis points higher penalty due to breach of contract, the repo rate fell to 4% shows that there may be a large number of bonds on the market positions, short positions in bond demand far exceeds supply level, so that the slump in the repo rate." 'We haven't seen short trades of this magnitude in the U.S. bond market in the last 10 years,' he said.


Ritchie Tuazon, a portfolio manager at Capital Group, said the turmoil at Thursday's seven-year auction prompted big Wall Street trading desks to pull back from the Treasury market. That means there will be a big gap between the selling prices of fund managers trying to sell Treasurys and the prices offered by buyers. This highly volatile bond market trading environment is reflected in the bond futures, so that the bond futures prices also fell sharply, the number of counterparties reduced.


"When this situation was rapidly developing in the Treasury market, traders started pulling money out in a big way." He said.


Some market analysts say the accumulation of large short positions could also suggest that the recent moves in the Treasury market are driven not just by investors' inflation expectations, but by huge problems in the market's structure that, if left unchecked, could have catastrophic consequences.


"Investors never want to see liquidity dry up like this, especially in what is supposed to be the largest and most liquid market, US Treasuries." "This is going to increase investor attention to how the Treasury market works and increase calls for reform," said Mike Gladchun, head of U.S. interest rate trading at Loomis Sayles.


Yesha Yadav, a professor at Vanderbilt Law School who focuses on reform of the Treasury market, added: 'For the so-called risk-free asset, which is supposed to protect our assets in every [market turmoil], it's scary that this is happening. That means regulators have a lot of work to do in this area."


In addition to rising yields and record repo rates, a key gauge of expected volatility in the Treasury market, the ICE Bank of America Move index, is also sharply higher.


Keep an eye on whether the Fed will act


The response of the Fed, a key regulator, is again worrying markets.


Fed Chairman Colin Powell said in an interview Thursday that recent volatility in the U.S. bond market has caught his attention, but noted the central bank is focused not on bond yields, but on broader financial conditions.


"Financial conditions are highly accommodative and appropriate given the extent to which the economy needs to recover." "If financial conditions do change significantly, the committee will be prepared to use the tools necessary to facilitate the achievement of its objectives," Powell said. But he did not specify what tools he would use, following widespread speculation that the Fed might resort to Operation Twist -- selling short-end Treasuries and buying long-end ones for the third time in its history -- to push down long-term bond yields.


There are also expectations that the Fed may eventually have to extend the relaxation of its rules on the supplementary leverage ratio after Treasury repo rates fell to historic lows overnight.


Zoltan Pozsar, strategist at Credit Suisse, previously said in a research note that in order to stabilize long-term Treasury yields, either a weaker dollar would attract foreign central bank purchases, or the Fed would twist or make clear that the replenished leverage ratio expires on March 31.


"If the Fed opts for a supplementary leverage exemption, it needs to clarify whether it includes reserves only or reserves as well as Treasury bonds, because that would put pressure on Treasury bonds as well. If the loosening of the leverage ratio is made permanent, banks can buy more government bonds or resume buying back their own shares." He said.


Replenishing the leverage ratio is part of a rewriting of US capital rules in the wake of the 2008 financial crisis, designed to discourage excessive risk-taking by big Wall Street banks. In the wake of the COVID-19 outbreak, bank reserves soared under the Federal Reserve's monetary easing. As a result, banks have to reduce their holdings of credit, bonds and other assets, and no longer provide repo financing services, which is bad for the functioning of the financial system. As a result, the Fed loosened its capital rules on supplementary leverage for large banks, excluding reserves and Treasury bonds from the supplementary leverage measure.


That easing, which now expires on March 31, would require banks to hold more capital against their Treasury holdings and reserves held at the Fed, and could lead them to hold fewer Treasury holdings and lend less. According to foreign media reports, industry sources said the bond and short-term financing markets are anxious about this.


Expectations in the interest-rate swap market for an extension of SLR deregulation began to fade after Powell appeared noncommittal on the issue last week, said Dan Krieter, head of capital markets fixed-income strategy at Bank of Montreal.

 

来自: 第一财经