债券交易员屈服于美联储更高、更长期的现实
叶谢和迈克尔·麦肯齐
更新时间：2024 年 3 月 17 日星期日下午 3:07（太平洋夏令时间）6 分钟阅读时间

4
（彭博社）——曾经确信美联储将于本周开始降息的债券投资者正在痛苦地屈服于长期较高的现实和市场的黑暗前景。

大多数阅读来自彭博社

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最近几天，美国国债收益率飙升，并即将创下年内新高，因为数据继续表明通胀持续存在，这导致交易员推迟了美国货币宽松的时间表。

CBOE 10 年期 T 利率 (^TNX)查看报价详情
ICE 期货 - 未定义（美元）
4.3040+0.0060(0.14%)
截至美国东部时间下午 2:59。市场开放。

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利率掉期目前反映了市场预期，今年降息幅度不会超过四分之一个百分点。 这低于美联储 12 月份的预测中值，也低于 2023 年底预计的六次降息。那么第一次降息呢？ 投资者甚至不再相信这种情况会在今年上半年发生。

这一转变凸显出人们越来越担心，以美联储主席鲍威尔为首的美国央行行长可能会在周二开始的为期两天的会议上暗示宽松周期更窄。 野村控股公司(Nomura Holdings Inc.)的经济学家已经将美联储今年降息的预期从三次下调至两次。 期权市场近期的交易流量表明，投资者正在寻求保护，以应对长期收益率上升和降息次数减少的风险——即使他们的长期观点是利率最终会下降。


BMO 全球资产管理公司固定收益和货币市场主管 Earl Davis 表示：“美联储希望放松货币政策，但数据不允许。” “他们希望保持夏季宽松的选择性。 但如果劳动力市场吃紧且通胀居高不下，它们就会开始改变。”

美国10年期国债收益率上周上涨24个基点，为10月以来最大涨幅，至4.31%，接近今年迄今的高点4.35%。 戴维斯预计 10 年期国债收益率将升至 4.5%，此举最终将为他提供购买债券的切入点。 去年该基准指数自 2007 年以来首次上涨超过 5%。

美国两年期和五年期国债收益率均飙升逾20个基点，创5月以来最大涨幅。 这次抛售使美国国债今年的损失扩大至 1.84%。


就在去年 12 月，债券交易员几乎确信美联储将在本周的会议上开始放松货币政策。 但在一系列令人惊讶的强劲增长和通胀数据之后，他们认为本周采取行动的可能性为零，5 月份采取行动的可能性很小，6 月份降息的可能性只有 60%。 交易员预计今年将总共降息 71 个基点，这意味着不再有保证降息 3 个基点。

野村证券目前预计美联储将在 7 月和 12 月实施宽松政策，而不是 6 月、9 月和 12 月。 雨宫爱知（Aichi Amemiya）等经济学家在一份报告中写道：“由于没有什么紧迫的放松政策，我们预计美联储将等待通胀是否放缓，然后再开始降息周期。”

美联储在其所谓的点图上调整利率中值预测的余地很小。 今年只需两名政策制定者从三次降息改为两次，央行的预测中值就会上调。

阅读更多：债券交易员准备点阵图，三点削减有问题

Columbia Threadneedle Investment 利率策略师 Ed Al-Hussainy 表示，“不需要太长时间”，中位数就会走高。 “我担心的是曲线的前端。 它对近期政策路径超级敏感。”

即使 2024 年利率中值预测保持不变，2025 年和 2026 年的点以及长期“中性”利率（既不被视为刺激增长也不阻碍增长的水平）可能会走高，这种情况将促使交易者定价 SGH Macro Advisors LLC 首席美国经济学家蒂姆·杜伊 (Tim Duy) 表示，降息幅度较小。

杜伊写道，“我们认为市场参与者不需要等待美联储的许可”来消化削减幅度。 如果本周两次降息的情况没有实现，它可能会在 6 月的会议上出现，“或者至少市场参与者会在 6 月之前定价，”他补充道。 “目前的风险显然是不对称的。”

彭博资讯的说法...
“变化可能是渐进式的，尽管如果 2025 年点基本没有变化，对 2024 年点上涨的下意识反应可能会很快被打折扣。 ...市场对明年年底点很敏感，这意味着利率市场可能会关注 20
彭博资讯的说法...
“变化可能是渐进式的，尽管如果 2025 年点基本没有变化，对 2024 年点上涨的下意识反应可能会很快被打折扣。 ...市场对明年年底的点很敏感，这意味着利率市场可能会关注 2025 年。”
——美国首席利率策略师 Ira Jersey
Amerant Investments Inc.首席投资官贝勒·兰开斯特-塞缪尔(Baylor Lancaster-Samuel)表示，投资者不应为两到三次降息而苦恼，而不应忽视美联储下一步行动是降息而不是加息的大局。这意味着现在是买入的时候了 债券并承担利率风险，或者用华尔街的话说，“久期”风险。
兰卡斯特-塞缪尔表示：“你可以讨论具体时间，但我们认为，美联储仍有可能在今年某个时候降息。” “在这种环境下，我们认为利率水平不会有太大的上升风险。 因此，我们认为不采取期限的机会成本高于采取期限的风险。”
期权交易员则不那么乐观。 上周生产者价格数据强于预期后，交易员纷纷买入今年和明年鹰派保护的与担保隔夜融资利率相关的期权，该指标密切跟踪央行政策利率。
AmeriVet 证券美国利率交易和策略主管 Gregory Faranello 表示：“通胀数据上升，加上巨额赤字，美联储有可能更长时间地按兵不动，这有助于收益率再次迈向 2023 年高点。”
看什么
经济数据：
3月18日：纽约联储服务业商业活动； NFIB 房地产市场指数
3 月 19 日：建筑许可证； 房屋开工； TIC 流量
3月20日：MBA抵押贷款申请； 联邦公开市场委员会会议
3月21日：经常账户余额
3月21日：费城联储商业前景； 首次申请失业救济； 标普全球美国制造业 PMI； 领先指数； 成屋销售
美联储日历：
3 月 21 日：监督副主席 Michael Barr
3 月 22 日：主席杰罗姆·鲍威尔、副主席菲利普·杰斐逊和州长米歇尔·鲍曼出席美联储聆听活动； 巴尔； 亚特兰大联储主席拉斐尔·博斯蒂克
拍卖日历：
3 月 18 日：13 周、26 周账单
3月19日：52周账单； 42天现金管理账单； 20年期票据重新开放
3 月 20 日：17 周账单
3 月 21 日：4 周、8 周账单； 10年TIPS重新开放
——在爱德华·博林布鲁克的帮助下。
大多数阅读来自《彭博商业周刊》
Bond Traders Surrender to Higher-for-Longer Reality From the Fed
Ye Xie and Michael Mackenzie
Updated Sun, Mar 17, 2024, 3:07 PM PDT6 min read

4
(Bloomberg) — Bond investors who were once convinced that the Federal Reserve would start cutting interest rates this week are painfully surrendering to a higher-for-longer reality and a murky path forward for the market.

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Treasury yields spiked in recent days and are on the cusp of setting new highs for the year as data continues to point to persistent inflation, which is causing traders to push back their timetable for US monetary easing.

CBOE Interest Rate 10 Year T No (^TNX)View quote details
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4.3040+0.0060(0.14%)
As of 2:59PM EDT.Market open.

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Interest-rate swaps now reflect market expectations for fewer than three quarter-point rate cuts this year. That’s less than the Fed’s median projection in December and a shade of the six reductions that were priced in at the end of 2023. And the first move lower? Investors are no longer confident that it’ll even happen in the first half of the year.

The shift underscores mounting worries that US central bankers led by Fed Chair Jerome Powell may signal an even shallower easing cycle at this week’s two-day gathering, which begins on Tuesday. Already, economists at Nomura Holdings Inc. scaled back their estimate for Fed rate reductions this year to two cuts from three. And recent trading flows in options markets show investors are seeking protection against the risk of higher long-term yields and fewer rate cuts — even if their longer-term view is for rates to eventually come down.


“The Fed wants to ease but the data isn’t allowing them,” said Earl Davis, head of fixed income and money markets at BMO Global Asset Management. “They want to maintain optionality to ease in summer. But they will start to change, if the labor market is tight and inflation remains high.”

US 10-year yields jumped 24 basis points last week, the most since October, to 4.31% — nearing their year-to-date high of 4.35%. Davis sees 10-year yields rising toward 4.5% a move that would eventually offer an entry point for him to buy bonds. The benchmark rose above 5% last year for the first time since 2007.

Both two- and five-year US yields surged more than 20 basis points, for their biggest rise since May. The selloff extended Treasuries’ losses for the year to 1.84%.


As recently as December, bond traders were all but certain the Fed would start to ease at this week’s meeting. But after a raft of surprisingly strong data on growth and inflation, they see zero chance of action this week, slim odds of a move in May and only a 60% possibility of a cut in June. For the year, traders have penciled in expectations for a total reduction of 71 basis points, meaning a three full-quarter-point cut is no longer seen as guaranteed.

For its part, Nomura now sees the Fed easing in July and December, instead of in June, September and December. “With little urgency to ease, we expect the Fed will wait to see whether inflation is slowing before beginning a rate-cut cycle,” economists including Aichi Amemiya wrote in a note.

The margin to shift the Fed’s median rate projections on its so-called dot-plot is thin. It would take only two policymakers switching to two cuts this year from three for the central bank’s median forecast to move higher.

Read more: Bond Traders Prep for Dot Plot, With Three Cuts in Question

“It’s not going to take a lot” for the median dots to move higher, said Ed Al-Hussainy, a rates strategist at Columbia Threadneedle Investment. “What I am nervous about is the front end of the curve. It’s super-sensitive to the near-term policy path.”

Even if 2024 median rate projections remain intact, the dots in 2025 and 2026 as well as the long-term “neutral” rate — the level seen as neither stoking growth or holding it back — may move higher, a scenario will prompt traders to price in less rate reductions, according to Tim Duy, chief US economist at SGH Macro Advisors LLC.

“We don’t think market participants need to wait for the Fed’s permission” to price in less cuts, wrote Duy. If the two-cut scenario doesn’t materialize this week, it may come by the June meeting, “or at least that market participants will price it as coming by June,” he added. “The risks at this moment are decidedly asymmetric.”

What Bloomberg Intelligence Says ...
“Changes are likely to be incremental, though the knee-jerk reaction to a move higher in the 2024 dot may be quickly discounted if the 2025 dots are largely unchanged. ...the market is sensitive to the end of next year dots, meaning rate markets may focus on 2025.”

— Ira Jersey, chief US interest-rate strategist

Instead of sweating over two or three reductions, investors shouldn’t lose the big picture that the Fed’s next move is a cut, not a hike, said Baylor Lancaster-Samuel, chief investment officer at Amerant Investments Inc. That means it’s time to buy bonds and take the interest-rate, or “duration” risk, in Wall Street parlance.

“You can debate the timing, but in our opinion, the Fed is still likely to cut sometime this year,” said Lancaster-Samuel. “In that environment, we think the level of rates does not have too much risk of ratcheting higher from here. So we believe the opportunity cost of not taking duration is higher than the risk of taking it.”

Options traders are less sanguine. On the heels of last week’s stronger-than-expected data on producer prices, traders rushed to buy hawkish protection for this year and next in options linked to the Secured Overnight Financing Rate, a measure which closely tracks the central bank policy rate.

“Higher inflation readings, coupled with outsize deficits, the potential for the Fed to remain on hold longer, lends itself to another move toward the 2023 yield highs,” said Gregory Faranello, head of US rates trading and strategy for AmeriVet Securities.

What to Watch
Economic data:

March 18: New York Fed services business activity; NFIB housing market index

March 19: Building permits; housing starts; TIC flows

March 20: MBA mortgage applications; FOMC meeting

March 21: Current account balance

March 21: Philadelphia Fed business outlook; initial jobless claims; S&P Global US manufacturing PMI; leading index; existing home sales

Fed calendar:

March 21: Vice Chair for Supervision Michael Barr

March 22: Chair Jerome Powell, Vice Chair Philip Jefferson and Governor Michelle Bowman at Fed Listens event; Barr; Atlanta Fed President Raphael Bostic

Auction calendar:

March 18: 13-, 26-week bills

March 19: 52-week bills; 42-day cash management bills; 20-year note re-opening

March 20: 17-week bills

March 21: 4-, 8-week bills; 10-year TIPS re-opening