At the 2014 European Investment Conference,Steven Major,CFA,global head of fixed-income research at HSBC,explained that a year ago,his team was criticised for predicting long-term government yields 1%lower than market consensus.He wished he had been wrong,but today,the term premium on long-end US bonds is negative.

 

　　在2014年欧洲投资会议上，汇丰银行全球固定收益研究主管Steven Major解释说，一年前，他的团队因预测长期政府收益率低于市场共识1%而受到批评。他希望自己错了，但今天，长期美国债券的期限溢价是负的。

　　To provide further analysis,Major evaluated four papers his team published in the past 12 months.He explained that“Just Another Sell-Off,”published in 2013,focused on term premiums and US bonds versus nominal GDP and highlighted that in the United States,secular factors are overriding cyclical factors and leading to negative term premiums,especially as half of the bonds were taken out of the market by the Federal Reserve Board.

 

　　为了提供进一步的分析，Major评估了他的团队在过去12个月内发表的四篇论文。他解释说，2013年出版的《只是另一次抛售》重点关注期限溢价和美国债券与名义GDP的比较，并强调在美国，长期因素压倒周期性因素并导致负期限溢价，特别是当一半的债券被美国联邦储备委员会撤出市场时。

 

　　The second paper,“Peak Rates,”published in February 2014,discussed the strong decline of the US five-year rate on five-year forwards while the five-year spot rate remains constant.He stated that as the market chose not to taper,the Fed was forced to adjust its policy—a typical case of the“tail wagging the dog.”

 

　　2014年2月发表的第二篇论文“峰值利率”讨论了美国五年期远期利率的强劲下降，而五年期即期利率保持不变。他表示，由于市场选择不缩减，美联储被迫调整政策——这是“摇尾巴”的典型案例。

 

　　“Managing the Exit,”published in June 2014,and“US Curve Conundrum,”published in October 2014,reviewed the large-scale asset purchases(LSAPs)by the Fed,which led to the counterintuitive effect of a steepening yield curve.Major emphasised that the Fed created$2.7 trillion in excess reserves to finance these purchases.The only logical explanations as to why the Fed purchases led to a steeper yield curve,he added,are that the“flattening effects of the asset purchases were more than outweighed by the excess reserves—funding the‘mother of all carry trades’—and the forward guidance of not increasing interest rates in the near future.”

 

　　《Managing the Exit》于2014年6月发布，《US Curve Conundrum》于2014年10月发布，两篇文章都回顾了美联储进行大规模资产购买（LSAPs）所带来的反直觉效果，即陡峭的收益率曲线。梅杰强调，美联储创造了2.7万亿美元的多余准备金来支持这些购买。他补充说，唯一合乎逻辑的解释是，美联储购买资产所带来的“平坦化效应”被多余的准备金所压倒——这支持了“所有套息交易之母”的资金，并且美联储未来不会近期加息的前瞻指引也是造成这种陡峭收益率曲线的原因之一。

 

　　Following the findings of his research,Major concluded that yields will stay low for longer because:

 

　　1．Secular drivers continue to overwhelm cyclical drivers.

 

　　2．The Japanification of the eurozone is occurring.

 

　　3．There is more Bank of Japan easing(clarification to be given in April 2015).

 

　　4．There is an impact on US and UK expectations(e.g.,the Fed is now having to point out international factors in its minutes).

 

　　5．Investors are desperately searching for returns.

 

　　6．Bearish consensus prevails.

 

　　根据他的研究结果，梅杰得出结论：市场收益率将在更长时间内保持低位，因为：

 

　　1.长期驱动因素继续压倒周期驱动因素。

 

　　2.欧元区的日本化正在发生。

 

　　3.日本央行有更多宽松政策（将于2015年4月做出澄清）。

 

　　4.这对美国和英国的预期产生了影响（例如，美联储现在必须在会议记录中指出国际因素）。

 

　　5.投资者正在拼命寻找回报。

 

　　6.看跌共识占上风。

 

　　What Can the Central Banks Do?

 

　　Major stated that“the global economy is weak,is sick,”because how else would you explain oil price decreases in times of geopolitical tensions,such as those in Ukraine and Syria?“Markets are twitchy because the Fed is planning a liftoff but does not know how to do it,”he added.

 

　　梅杰表示，“全球经济疲软，病态”，因为否则你如何解释在地缘政治紧张局势时期油价下跌，例如乌克兰和叙利亚？”市场抽搐，因为美联储正计划升空，但不知道如何去做，“他补充说。

 

　　LSAPs contribute to a reduction of long-term volatility but at the same time increase volatility on the short end,Major remarked.The current forward rates imply a big front-end yield curve increase as the Fed is now giving up its efforts to contain the rates on the short end.According to Major,the“yield curve will flatten even further but at a much lower level...around the five-year yield.”He believes that the huge volume of carry trades is just an“accident waiting to happen.”

 

　　LSAP有助于降低长期波动性，但同时增加短期波动性，Major指出。目前的远期利率意味着前端收益率曲线大幅上升，因为美联储现在放弃了控制短期利率的努力。根据梅杰的说法，“收益率曲线将进一步趋于平缓，但水平要低得多......五年期国债收益率左右。他认为，巨大的套利交易量只是一场“等待发生的事故”。

 

　　Major argued that the plans of the central banks to reduce their balance sheets are highly questionable and will inevitably lead to short rates going up.The last time the Fed and the Bank of England decided to reduce their balance sheets was in the 1950s,and it took them 30 years.Major believes that all the Fed is presently planning is shifting amounts on its liability side:reducing the excess reserves by$300 billion but at the same time increasing the reverse repos by$300 billion.However,this will not reduce the Fed’s asset base or balance sheet by a single cent.

 

　　梅杰认为，央行缩减资产负债表的计划非常值得怀疑，将不可避免地导致短期利率上升。美联储和英格兰银行上一次决定缩减资产负债表是在1950年代，花了30年时间。梅杰认为，美联储目前计划的所有计划都是在负债方面转移金额：将超额准备金减少3000亿美元，但同时将逆回购增加3000亿美元。然而，这不会使美联储的资产基础或资产负债表减少一分钱。

 

　　At the same time,Major contended,the Fed cannot hike interest rates until it has reduced the excess reserves.He believes the Fed will try a gentle liftoff:“It was easy to get into QE[quantitative easing],but let’s see what happens when they try to get out of it,”he said.

 

　　与此同时，梅杰认为，美联储在减少超额准备金之前不能加息。他认为美联储将尝试温和的提息：“进入量化宽松很容易，但让我们看看当他们试图摆脱它时会发生什么，”他说。

 

　　Moving onto the eurozone,Major asked whether there is anything left for the European Central Bank(ECB)to do?He believes that the ECB was the most successful central bank regarding guidance and delivered in 9 out of 10 cases and that it was also successful in decoupling the euro money market from the US money market.Major stated that its“àla carte”easing was successful,but the ECB is now running out of options.He was particularly concerned about what is happening in the euro periphery(i.e.,valuations do not fit the fundamentals)and the fiscal positions and fiscal sustainability.

 

　　谈到欧元区，梅杰问欧洲央行（ECB）是否还有什么要做的？他认为，欧洲央行是指导方面最成功的央行，在10个案例中有9个案例提供了指导，并且它也成功地将欧元货币市场与美国货币市场脱钩。梅杰表示，其“点菜”宽松政策是成功的，但欧洲央行现在已经没有选择余地了。他特别关注欧元外围国家正在发生的事情（即估值不符合基本面）以及财政状况和财政可持续性。

 

　　To conclude,Major shared his forecast for fixed income:

 

　　1．Front-end interest volatility risk approaches liftoff;the key for central banks is to get out of excess reserves.

 

　　1.前端利率波动风险接近升空;央行的关键是走出超额准备金。

 

　　2．Eurozone yields will move even lower.

 

　　2.欧元区收益率将进一步走低。

 

　　3．The desperate search for return will contain spreads;because a lot of fund managers cannot invest in Japan,they will start buying Italian and Spanish bonds again.

 

　　3.拼命寻求回报将包含利差;由于许多基金经理无法在日本投资，他们将再次开始购买意大利和西班牙债券。

 

　　4．US and UK 10-year yield forecasts will stay below consensus.

 

　　4.US和英国10年期国债收益率预测将保持在市场预期之下。
 

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