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数据分析进化论
2022-09-17
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数据分析进化论
2022-10-25
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CICC: US Debt 2022= Oil 2020?
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Never buy until the trend has changed 2 buy set stop loss position, wrong direction, serious stop loss 3. The chips that are locked up can only rebound out, and they are determined not to increase positions at different levels. It's important to do right and wrong. What's more important is that you can make more money when you do right and lose less money when you do wrong.","text":"1 Never buy until the trend has changed 2 buy set stop loss position, wrong direction, serious stop loss 3. The chips that are locked up can only rebound out, and they are determined not to increase positions at different levels. It's important to do right and wrong. What's more important is that you can make more money when you do right and lose less money when you do wrong.","html":"1 Never buy until the trend has changed 2 buy set stop loss position, wrong direction, serious stop loss 3. The chips that are locked up can only rebound out, and they are determined not to increase positions at different levels. It's important to do right and wrong. What's more important is that you can make more money when you do right and lose less money when you do wrong."}],"imageCount":0,"langContent":"EN","totalScore":0},{"id":662422231,"gmtCreate":1666709591126,"gmtModify":1676537793962,"author":{"id":"3557256659968687","authorId":"3557256659968687","name":"数据分析进化论","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":4,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3557256659968687","idStr":"3557256659968687"},"themes":[],"title":"","htmlText":"。。","listText":"。。","text":"。。","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/662422231","repostId":"1130690374","repostType":2,"repost":{"id":"1130690374","kind":"news","pubTimestamp":1666672819,"share":"https://ttm.financial/m/news/1130690374?lang=en_US&edition=fundamental","pubTime":"2022-10-25 12:40","market":"us","language":"zh","title":"CICC: US Debt 2022= Oil 2020?","url":"https://stock-news.laohu8.com/highlight/detail?id=1130690374","media":"中金点睛","summary":"美债利率大幅下行是大概率事件。","content":"<p><html><head></head><body><b>CICC believes that the current US debt market may be close to the verge of pricing \"failure\", which is similar to the oil situation in April 2020. The market has already put the pricing of the current macro environment to the extreme, and the possibility of reversal of the future situation is high. The sharp decline of the US Treasury yields is a high probability event.</b>Text/CICC Major Assets Research: Li Zhao Qi Wei Yang Xiaoqing Wang Hanfeng</p><p><b>Liquidity in the U.S. bond market is close to where it was when the market \"failed\" in March 2020</b></p><p>Recently, the 10-year US Treasury yields once crossed 4.3% in intraday session, which attracted market attention. We believe that interest rate pricing has clearly deviated from equilibrium price, which is affected by the following factors:</p><p><b>1) The bond market is too illiquid.</b>At present, there are still $2 trillion in overnight reverse repurchases in the Fed's account, and the market generally does not lack US dollar liquidity. However, this year's macro policies and market volatility are too great. At the same time, the increase of U.S. debt stock has made it difficult for market makers to trade, and there are serious liquidity problems in the U.S. debt market.</p><p>Liquidity can be measured by bond pricing error: the pricing error of the duration pricing model of all U.S. bonds in the market is summarized. The larger the error, the more serious the pricing distortion in the market and the worse the market liquidity.</p><p>The pricing error data shows that the current liquidity of the U.S. debt market is close to the level when the market \"failed\" under the influence of the epidemic in March 2020. At that time, the Federal Reserve was forced to intervene to start \"unlimited QE\" and resume the normal operation of the bond market.</p><p>At present, the U.S. debt market may be close to the verge of pricing \"failure\". Even if investors think that the interest rate obviously deviates from the reasonable price, they dare not trade against the market.</p><p>Chart: U.S. bond market liquidity is close to where it was when the market \"failed\" in March 2020</p><p><img src=\"https://static.tigerbbs.com/01e1bbae6ca2f1267f2a9d51f869a9b8\" tg-width=\"816\" tg-height=\"493\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: $2 trillion in scale overnight reverse buybacks still on Fed accounts<img src=\"https://static.tigerbbs.com/17fc7ab848330686a233a34f627c3fba\" tg-width=\"841\" tg-height=\"491\" referrerpolicy=\"no-referrer\"/>Source: Haver Analytics, CICC Research</p><p>Chart: Recent volatility in the U.S. bond market is too high</p><p><img src=\"https://static.tigerbbs.com/3fe1703f36e6de9e8c690ecbc1be3fc2\" tg-width=\"829\" tg-height=\"498\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: Futures markets expect rate hike to end near 5%<img src=\"https://static.tigerbbs.com/8fd72d6c195ffadcf706bac9f98da2e6\" tg-width=\"772\" tg-height=\"527\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p><b>2) The UK policy black swan event became the last straw to crush global bond markets</b>The British bond market collapsed directly, the pension repayment crisis occurred, and the global market linkage spread to the US debt. Constrained by low liquidity, although the risk in the UK has been greatly alleviated at present, US Treasury yields has not obviously reflected the fundamental changes.</p><p><b>3) U.S. CPI inflation exceeded expectations in August-September</b>The Federal Reserve maintained a hawkish stance, and the market expected that the end of the rate hike would once be close to 5%, forming an \"inflation panic\".</p><p><b>The U.S. debt market in 2022 has similarities to the oil market in 2020</b></p><p>Among the broad global asset classes, the last asset to significantly depart from fundamental prices may be oil. At the beginning of 2020, due to the impact of the epidemic, oil demand was significantly reduced, and oil prices fell from a cliff. As oil is a resource commodity with certain industrial value, and the negative impact of the epidemic will eventually pass, as long as the decline is large enough, it should provide a certain upward opportunity.</p><p>In March, 2020, the market pricing has interpreted the dilemma at that time to the extreme, and there is no suspense in the reversal of the future situation. Therefore, investors choose to \"bargain-hunting\" at the low oil price. However, an accident occurred, and there was a temporary shortage of oil storage capacity. The delivery mechanism caused the oil price to completely deviate from fundamentals. The price of WTI oil futures fell to-37 USD per barrel in April, causing losses to investors.</p><p>In hindsight, investors who chose to bargain for oil in March-April 2020 were completely correct in their judgment of fundamentals. In the next two years, the oil price rose rapidly from negative to $130, which was the brightest performing asset among major assets in the world. If you abandon fundamental analysis after taking losses in April, you will miss this once-in-a-decade oil supercycle.</p><p>Chart: WTI crude oil price fell to-37 USD/barrel at one point in 2020<img src=\"https://static.tigerbbs.com/daba71b7434bf85b738a81b3dc6446a8\" tg-width=\"795\" tg-height=\"499\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: Over the past two years, oil has been the brightest performing asset among the global asset classes (dollar denominated, full income return)<img src=\"https://static.tigerbbs.com/8a1dee1eb7c5dfd6961744e8398da207\" tg-width=\"1080\" tg-height=\"405\" referrerpolicy=\"no-referrer\"/>Source: Wind, Bloomberg, CICC Research</p><p>The U.S. debt situation in October 2022 is similar to the oil situation in April 2020. The market has priced the current macro environment to the extreme, and the possibility of reversal in the future is high.</p><p>At present, inflation remains high, and the Federal Reserve is aggressively tightening, which should push up interest rates. But even assuming the Fed rate hike to 4.8% stops, the ten-year US Treasury yields equilibrium price is just 3.2%, and the market is already pricing nearly 100bp above the equilibrium price.</p><p>Looking ahead, it is a foregone conclusion that the US economy will enter a recession, and the economic slowdown will bring a significant improvement in inflation. We believe that the sharp decline in US Treasury yields is also a high probability event. However, if you bargain-hunting U.S. debt in October, you will also suffer more losses.</p><p>In the past two months, our forecast of the trend of the U.S. debt market has been greatly biased, but with reference to the experience of 2020,<b>We believe it is not advisable to follow the trend too much and ignore the signals of fundamental analysis.</b></p><p>Chart: Assuming the end of the Fed rate hike at 4.8%, the equilibrium price of the ten-year US Treasury yields at the end of 2022 is around 3.2%<img src=\"https://static.tigerbbs.com/833929fa8e4b3e0f1b1737570137f9a5\" tg-width=\"842\" tg-height=\"526\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p><b>What we see right, what we see wrong, what we learn, US Treasury yields predicts</b></p><p>In December 2021, we predicted that the interest rate of U.S. bonds would rise sharply in 2022, in April 2022, we predicted that the interest rate would fluctuate in both directions, and in June, we predicted that the interest rate would fall sharply, and then turn neutral. So far, our forecast of the market situation has basically fulfilled.</p><p>However, since September, we have not predicted that the US Treasury yields will soar from 3% to 4.3%, mainly because we have not fully considered the impact of \"nonlinear\" and \"small probability\" events:</p><p>Chart: We accurately judged the upward trend in US Treasury yields starting in late 2021 and the downward trend after June 2022, but did not predict that US Treasury yields would rise above 4%<img src=\"https://static.tigerbbs.com/3e6c25f6fe73d99757f5ed5f75b075a7\" tg-width=\"833\" tg-height=\"540\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>First of all, the sharp upward trend in US Treasury yields is ultimately the result of the faster-than-expected growth of CPI inflation. Our forecast model for CPI is based on the statistical laws of economic data. The implicit assumption is that the leading-lag relationship of data can be extrapolated linearly according to historical laws, but the recent inflation increase exceeds the model prediction.</p><p>Secondly, we did not predict the UK policy surprise and the pension crisis. We assumed in advance that the British government's decision-making would be rational and common sense, but this assumption was challenged, and the black swan event of British policy finally washed out the US, Europe and Treasury Bond markets.</p><p>Drawing on the experience of the past two months, we believe that the \"nonlinearity\" of the post-epidemic world needs more attention. Our fundamental analysis can only draw the average path and end price of asset prices, but nonlinear events may increase the volatility of asset prices, which can completely deviate from the equilibrium price, and it takes longer to converge to the equilibrium price.</p><p><b>Therefore, while we leave our 10-year US Treasury yields downward forecast to 3% unchanged, we extend the timeline for view delivery to 2022Q4-2023Q1.</b></p><p><b>Predicting asset price needs to pay attention to new nonlinear events- -financial market risk</b></p><p>Before October, most nonlinear events pushed up the interest rate of U.S. bonds. Now there may be a kind of nonlinear event-financial market risk-that has become a force to depress the US Treasury yields. The Fed may choose to control inflation at the expense of economic growth, but it may not accept financial market disorder and financial crisis.</p><p>This rate hike cycle is faster than most rate hike cycles in history, but the current financial market is far more complex than decades ago, and some institutions and markets may have difficulty adapting to the sudden high interest rate environment.</p><p>Take the British crisis as an example. After the collapse of British debt, the leverage ratio of pension LDI investment was exposed, and the Bank of England was forced to stabilize the market with \"temporary QE\". We think markets in other countries may hide similar problems, and the policy response after financial market shocks may also be close to the BoE's choice.</p><p>At present, in addition to the problems exposed in the operation of the US debt market, we believe that the risk accumulation of high-yield corporate bonds in developed markets and sovereign bonds in emerging markets cannot be ignored. In fact, the Wall Street Journal recently reported that Fed officials have begun to pay attention to the risk of \"excessive tightening\" and may slow down rate hike at the December Fed meeting.</p><p>Although it is not a benchmark scenario, we think we need to consider the possibility of the Fed's early adjustment of rate hike and shrinking balance sheet policies in 2023. US Treasury yields may continue to fluctuate broadly in 2023, but ultimately the downside may be greater than expected.</p><p>Chart: This rate hike cycle is faster than most rate hike cycles in history<img src=\"https://static.tigerbbs.com/069d60f2e3758a0a52d29b94446fa19e\" tg-width=\"834\" tg-height=\"598\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: UK long-end interest rates plummet after UK announces bond purchase plan<img src=\"https://static.tigerbbs.com/5e93df97be61997498ed3e69b299ae65\" tg-width=\"836\" tg-height=\"551\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p></body></html></p>","source":"zjdj","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>CICC: US Debt 2022= Oil 2020?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nCICC: US Debt 2022= Oil 2020?\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">中金点睛</strong><span class=\"h-time small\">2022-10-25 12:40</span>\n</p>\n</h4>\n</header>\n<article>\n<p><html><head></head><body><b>CICC believes that the current US debt market may be close to the verge of pricing \"failure\", which is similar to the oil situation in April 2020. The market has already put the pricing of the current macro environment to the extreme, and the possibility of reversal of the future situation is high. The sharp decline of the US Treasury yields is a high probability event.</b>Text/CICC Major Assets Research: Li Zhao Qi Wei Yang Xiaoqing Wang Hanfeng</p><p><b>Liquidity in the U.S. bond market is close to where it was when the market \"failed\" in March 2020</b></p><p>Recently, the 10-year US Treasury yields once crossed 4.3% in intraday session, which attracted market attention. We believe that interest rate pricing has clearly deviated from equilibrium price, which is affected by the following factors:</p><p><b>1) The bond market is too illiquid.</b>At present, there are still $2 trillion in overnight reverse repurchases in the Fed's account, and the market generally does not lack US dollar liquidity. However, this year's macro policies and market volatility are too great. At the same time, the increase of U.S. debt stock has made it difficult for market makers to trade, and there are serious liquidity problems in the U.S. debt market.</p><p>Liquidity can be measured by bond pricing error: the pricing error of the duration pricing model of all U.S. bonds in the market is summarized. The larger the error, the more serious the pricing distortion in the market and the worse the market liquidity.</p><p>The pricing error data shows that the current liquidity of the U.S. debt market is close to the level when the market \"failed\" under the influence of the epidemic in March 2020. At that time, the Federal Reserve was forced to intervene to start \"unlimited QE\" and resume the normal operation of the bond market.</p><p>At present, the U.S. debt market may be close to the verge of pricing \"failure\". Even if investors think that the interest rate obviously deviates from the reasonable price, they dare not trade against the market.</p><p>Chart: U.S. bond market liquidity is close to where it was when the market \"failed\" in March 2020</p><p><img src=\"https://static.tigerbbs.com/01e1bbae6ca2f1267f2a9d51f869a9b8\" tg-width=\"816\" tg-height=\"493\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: $2 trillion in scale overnight reverse buybacks still on Fed accounts<img src=\"https://static.tigerbbs.com/17fc7ab848330686a233a34f627c3fba\" tg-width=\"841\" tg-height=\"491\" referrerpolicy=\"no-referrer\"/>Source: Haver Analytics, CICC Research</p><p>Chart: Recent volatility in the U.S. bond market is too high</p><p><img src=\"https://static.tigerbbs.com/3fe1703f36e6de9e8c690ecbc1be3fc2\" tg-width=\"829\" tg-height=\"498\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: Futures markets expect rate hike to end near 5%<img src=\"https://static.tigerbbs.com/8fd72d6c195ffadcf706bac9f98da2e6\" tg-width=\"772\" tg-height=\"527\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p><b>2) The UK policy black swan event became the last straw to crush global bond markets</b>The British bond market collapsed directly, the pension repayment crisis occurred, and the global market linkage spread to the US debt. Constrained by low liquidity, although the risk in the UK has been greatly alleviated at present, US Treasury yields has not obviously reflected the fundamental changes.</p><p><b>3) U.S. CPI inflation exceeded expectations in August-September</b>The Federal Reserve maintained a hawkish stance, and the market expected that the end of the rate hike would once be close to 5%, forming an \"inflation panic\".</p><p><b>The U.S. debt market in 2022 has similarities to the oil market in 2020</b></p><p>Among the broad global asset classes, the last asset to significantly depart from fundamental prices may be oil. At the beginning of 2020, due to the impact of the epidemic, oil demand was significantly reduced, and oil prices fell from a cliff. As oil is a resource commodity with certain industrial value, and the negative impact of the epidemic will eventually pass, as long as the decline is large enough, it should provide a certain upward opportunity.</p><p>In March, 2020, the market pricing has interpreted the dilemma at that time to the extreme, and there is no suspense in the reversal of the future situation. Therefore, investors choose to \"bargain-hunting\" at the low oil price. However, an accident occurred, and there was a temporary shortage of oil storage capacity. The delivery mechanism caused the oil price to completely deviate from fundamentals. The price of WTI oil futures fell to-37 USD per barrel in April, causing losses to investors.</p><p>In hindsight, investors who chose to bargain for oil in March-April 2020 were completely correct in their judgment of fundamentals. In the next two years, the oil price rose rapidly from negative to $130, which was the brightest performing asset among major assets in the world. If you abandon fundamental analysis after taking losses in April, you will miss this once-in-a-decade oil supercycle.</p><p>Chart: WTI crude oil price fell to-37 USD/barrel at one point in 2020<img src=\"https://static.tigerbbs.com/daba71b7434bf85b738a81b3dc6446a8\" tg-width=\"795\" tg-height=\"499\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: Over the past two years, oil has been the brightest performing asset among the global asset classes (dollar denominated, full income return)<img src=\"https://static.tigerbbs.com/8a1dee1eb7c5dfd6961744e8398da207\" tg-width=\"1080\" tg-height=\"405\" referrerpolicy=\"no-referrer\"/>Source: Wind, Bloomberg, CICC Research</p><p>The U.S. debt situation in October 2022 is similar to the oil situation in April 2020. The market has priced the current macro environment to the extreme, and the possibility of reversal in the future is high.</p><p>At present, inflation remains high, and the Federal Reserve is aggressively tightening, which should push up interest rates. But even assuming the Fed rate hike to 4.8% stops, the ten-year US Treasury yields equilibrium price is just 3.2%, and the market is already pricing nearly 100bp above the equilibrium price.</p><p>Looking ahead, it is a foregone conclusion that the US economy will enter a recession, and the economic slowdown will bring a significant improvement in inflation. We believe that the sharp decline in US Treasury yields is also a high probability event. However, if you bargain-hunting U.S. debt in October, you will also suffer more losses.</p><p>In the past two months, our forecast of the trend of the U.S. debt market has been greatly biased, but with reference to the experience of 2020,<b>We believe it is not advisable to follow the trend too much and ignore the signals of fundamental analysis.</b></p><p>Chart: Assuming the end of the Fed rate hike at 4.8%, the equilibrium price of the ten-year US Treasury yields at the end of 2022 is around 3.2%<img src=\"https://static.tigerbbs.com/833929fa8e4b3e0f1b1737570137f9a5\" tg-width=\"842\" tg-height=\"526\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p><b>What we see right, what we see wrong, what we learn, US Treasury yields predicts</b></p><p>In December 2021, we predicted that the interest rate of U.S. bonds would rise sharply in 2022, in April 2022, we predicted that the interest rate would fluctuate in both directions, and in June, we predicted that the interest rate would fall sharply, and then turn neutral. So far, our forecast of the market situation has basically fulfilled.</p><p>However, since September, we have not predicted that the US Treasury yields will soar from 3% to 4.3%, mainly because we have not fully considered the impact of \"nonlinear\" and \"small probability\" events:</p><p>Chart: We accurately judged the upward trend in US Treasury yields starting in late 2021 and the downward trend after June 2022, but did not predict that US Treasury yields would rise above 4%<img src=\"https://static.tigerbbs.com/3e6c25f6fe73d99757f5ed5f75b075a7\" tg-width=\"833\" tg-height=\"540\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>First of all, the sharp upward trend in US Treasury yields is ultimately the result of the faster-than-expected growth of CPI inflation. Our forecast model for CPI is based on the statistical laws of economic data. The implicit assumption is that the leading-lag relationship of data can be extrapolated linearly according to historical laws, but the recent inflation increase exceeds the model prediction.</p><p>Secondly, we did not predict the UK policy surprise and the pension crisis. We assumed in advance that the British government's decision-making would be rational and common sense, but this assumption was challenged, and the black swan event of British policy finally washed out the US, Europe and Treasury Bond markets.</p><p>Drawing on the experience of the past two months, we believe that the \"nonlinearity\" of the post-epidemic world needs more attention. Our fundamental analysis can only draw the average path and end price of asset prices, but nonlinear events may increase the volatility of asset prices, which can completely deviate from the equilibrium price, and it takes longer to converge to the equilibrium price.</p><p><b>Therefore, while we leave our 10-year US Treasury yields downward forecast to 3% unchanged, we extend the timeline for view delivery to 2022Q4-2023Q1.</b></p><p><b>Predicting asset price needs to pay attention to new nonlinear events- -financial market risk</b></p><p>Before October, most nonlinear events pushed up the interest rate of U.S. bonds. Now there may be a kind of nonlinear event-financial market risk-that has become a force to depress the US Treasury yields. The Fed may choose to control inflation at the expense of economic growth, but it may not accept financial market disorder and financial crisis.</p><p>This rate hike cycle is faster than most rate hike cycles in history, but the current financial market is far more complex than decades ago, and some institutions and markets may have difficulty adapting to the sudden high interest rate environment.</p><p>Take the British crisis as an example. After the collapse of British debt, the leverage ratio of pension LDI investment was exposed, and the Bank of England was forced to stabilize the market with \"temporary QE\". We think markets in other countries may hide similar problems, and the policy response after financial market shocks may also be close to the BoE's choice.</p><p>At present, in addition to the problems exposed in the operation of the US debt market, we believe that the risk accumulation of high-yield corporate bonds in developed markets and sovereign bonds in emerging markets cannot be ignored. In fact, the Wall Street Journal recently reported that Fed officials have begun to pay attention to the risk of \"excessive tightening\" and may slow down rate hike at the December Fed meeting.</p><p>Although it is not a benchmark scenario, we think we need to consider the possibility of the Fed's early adjustment of rate hike and shrinking balance sheet policies in 2023. US Treasury yields may continue to fluctuate broadly in 2023, but ultimately the downside may be greater than expected.</p><p>Chart: This rate hike cycle is faster than most rate hike cycles in history<img src=\"https://static.tigerbbs.com/069d60f2e3758a0a52d29b94446fa19e\" tg-width=\"834\" tg-height=\"598\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p>Chart: UK long-end interest rates plummet after UK announces bond purchase plan<img src=\"https://static.tigerbbs.com/5e93df97be61997498ed3e69b299ae65\" tg-width=\"836\" tg-height=\"551\" referrerpolicy=\"no-referrer\"/>Source: Bloomberg, CICC Research</p><p></body></html></p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s?__biz=MzI3MDMzMjg0MA==&mid=2247601045&idx=3&sn=b8dfe84c5f8f0719e88737f5eb960664&chksm=ead1ad52dda62444336398ae14e05f0caed6de36bdc41968a79a4939945a6c3ac160344636d8&mpshare=1&scene=23&srcid=102559g8boEyr8XpemFd7AB4&sharer_sharetime=1666657418894&sharer_shareid=00a55b671777cf0e253d4693000ead51#rd\">中金点睛</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/5eb1600a275cdb440167b676a1a207e1","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://mp.weixin.qq.com/s?__biz=MzI3MDMzMjg0MA==&mid=2247601045&idx=3&sn=b8dfe84c5f8f0719e88737f5eb960664&chksm=ead1ad52dda62444336398ae14e05f0caed6de36bdc41968a79a4939945a6c3ac160344636d8&mpshare=1&scene=23&srcid=102559g8boEyr8XpemFd7AB4&sharer_sharetime=1666657418894&sharer_shareid=00a55b671777cf0e253d4693000ead51#rd","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1130690374","content_text":"中金认为，目前美债市场可能已经接近定价“失灵”的边缘，这与2020年4月的石油形势类似，市场已经把当前宏观环境的定价打到极致，而未来形势逆转的可能性较高，美债利率大幅下行是大概率事件。文/中金大类资产研究：李昭 齐伟 杨晓卿 王汉锋美债市场流动性已接近2020年3月市场“失灵”时的水平近日十年期美债利率盘中一度越过4.3%，引发市场关注。我们认为利率定价已经明显脱离均衡价格，受到以下几个因素影响：1）债券市场流动性过差。目前美联储账户上仍有2万亿美元隔夜逆回购，市场总体不缺美元流动性。但是今年宏观政策与市场波动性太大，同时美债存量增加导致做市商交易困难，美债市场存在严重流动性问题。可以用债券定价误差来衡量流动性：把市场上所有美债的久期定价模型的定价误差汇总，这个误差越大，说明市场上的定价扭曲越严重，市场流动性越差。定价误差数据显示目前美债市场流动性已经接近2020年3月在疫情影响下市场“失灵”时的水平，当时美联储被迫介入开始“无限量QE”，恢复债券市场正常运行。目前美债市场可能已经接近定价“失灵”的边缘，即使投资者认为利率明显偏离合理价格，也不敢逆市加仓交易。图表：美债市场流动性已接近2020年3月市场“失灵”时的水平资料来源：Bloomberg，中金公司研究部图表：美联储账户上仍有2万亿美元规模隔夜逆回购资料来源：Haver Analytics，中金公司研究部图表：近期美债市场波动性过高资料来源：Bloomberg，中金公司研究部图表：期货市场预期加息终点接近5%资料来源：Bloomberg，中金公司研究部2）英国政策黑天鹅事件成为压垮全球债券市场的最后一根稻草，英国债市直接崩盘，养老金出现偿付危机，全球市场联动波及美债。受流动性偏低制约，虽然目前英国风险已经大幅缓解，美债利率并没有对基本面变化有明显反映。3）美国8-9月份CPI通胀超出预期，美联储维持鹰派表态，市场预期加息的终点一度接近5%，形成“通胀恐慌”。2022年的美债行情与2020年的石油行情有相似之处在全球大类资产中，上一个明显脱离基本面价格的资产可能是石油。2020年初受疫情冲击，石油需求大幅削减，油价断崖式下跌。由于石油是具有确定工业价值的资源品，并且疫情的负面冲击终将过去，只要下跌幅度足够大，理应提供确定性上涨机会。2020年3月，市场定价已把当时的困境演绎到极致，而未来形势反转又无悬念，因此投资者选择在油价低位“抄底”。但意外发生，储油能力出现暂时性短缺，交割机制导致油价彻底脱离基本面，WTI石油期货价格4月份跌至-37美元每桶，给投资者造成损失。事后来看，选择在2020年3-4月抄底石油的投资者对基本面的判断完全正确，未来2年油价从负数快速上涨到130美元，是全球大类资产中表现最亮眼的资产。如果在4月份承受损失后放弃基本面分析，会错过这波十年一遇的石油超级周期。图表：WTI原油价格2020年一度跌至-37美元/桶资料来源：Bloomberg，中金公司研究部图表：过去两年内，石油是全球大类资产中表现最亮眼的资产（美元计价，全收益回报率）资料来源：Wind，Bloomberg，中金公司研究部2022年10月的美债形势与2020年4月的石油形势类似，市场已经把当前宏观环境的定价打到极致，而未来形势逆转的可能性较高。当前看，通胀居高不下，联储激进紧缩，理应推高利率。但即使假设联储加息至4.8%停止，十年期美债利率均衡价格也仅为3.2%，市场定价已经高于均衡价格接近100bp。往前看，美国经济进入衰退已成定局，经济放缓将带来通胀明显改善，我们认为美债利率大幅下行也是大概率事件。但是若10月份抄底美债，也会承受较多损失。过去2个月我们对美债市场走势的预测出现较大偏差，但参考2020年的经验，我们认为不宜过度追随趋势而忽视基本面分析的信号。图表：假设联储加息终点在4.8%，十年期美债利率2022年底的均衡价格在3.2%左右资料来源：Bloomberg，中金公司研究部美债利率预测，我们看对了什么，看错了什么，学到了什么我们于2021年12月预测2022年美债利率大幅上行，2022年4月预测利率双向波动，6月预测利率大幅回落，随后转为中性，至此我们对于市场形势的预测基本兑现。但9月份以来，我们没有预测到美债利率从3%骤升至4.3%，主要由于没有充分考虑“非线性”与“小概率”事件的影响：图表：我们准确判断出美债利率2021年底开始的上行趋势以及2022年6月后的回落趋势，但没有预测到美债利率冲高到4%以上资料来源：Bloomberg，中金公司研究部首先，美债利率大幅上行归根结底是CPI通胀增速超预期的结果。我们对CPI的预测模型建立在经济数据的统计规律之上，隐含假设是数据的领先滞后关系可以根据历史规律线性外推，但近期通胀上涨幅度超出模型预测。其次，我们没有预测到英国政策意外与养老金危机。我们事前假设英国政府决策会符合理性与常识，但这一假设受到挑战，英国政策黑天鹅事件最终冲垮了美欧国债市场。吸取过去两个月的经验，我们认为疫情后世界的“非线性”需要更多关注，我们的基本面分析只能得出资产价格的平均路径与终点价格，但非线性事件可能使资产价格波动增大，完全可以大幅脱离均衡价格，并且需要更长的时间收敛至均衡价格。因此，虽然我们维持十年期美债利率下行至3%的预测不变，但将观点兑现的时间延长至2022Q4-2023Q1。预测资产价格需要关注新的非线性事件——金融市场风险10月份以前，大部分的非线性事件都推高美债利率，现在可能有一类非线性事件——金融市场风险——成为压低美债利率的力量。美联储可以选择牺牲经济增长控制通胀，但是可能无法接受金融市场紊乱与金融危机。本次加息周期速度快于历史上大部分加息周期，但当前金融市场的复杂程度远远超过几十年以前，一些机构与市场可能难以适应突如其来的高利率环境。以英国危机为例，在英债崩盘后，暴露了养老金LDI投资的杠杆率问题，英国央行也被迫选择以“暂时性QE”的形势稳定市场。我们认为其他国家的市场可能隐藏类似的问题，金融市场震荡后政策应对也可能接近英国央行的选择。目前除美债市场运行已经暴露问题以外，我们认为发达市场高收益公司债与新兴市场主权债的风险积累也不容忽视。事实上，近期华尔街日报报道联储官员已经开始关注“紧缩过度”风险，并有可能在12月美联储会议上放慢加息速度。尽管并非基准情景，但我们认为需要考虑美联储2023年提前调整加息与缩表政策的可能性。美债利率2023年可能继续宽幅震荡，但最终下行幅度可能超出预期。图表：本次加息周期速度快于历史上大部分加息周期资料来源：Bloomberg，中金公司研究部图表：英国宣布购债计划后英国长端利率急跌资料来源：Bloomberg，中金公司研究部","news_type":1,"symbols_score_info":{"ZNmain":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":1187,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"lives":[]}
