每周全球金融观察 | 第 154 篇：无风险收益率为 5%，世界已然改变

世界不是围绕美元利率市场转的，但所有以美元计价的资产都是如此，随着资本的自由流动，全球资产都与美元利率相关。

10 年期美国国债收益率在周中短暂达到 5.00% 的里程碑，本周结束时为 4.91%，创下 16 年来（自 2007 年以来）的历史新高。美联储主席鲍威尔周四在纽约经济俱乐部发表讲话时，基本上不再考虑进一步加息，但明确将经济走强与 "更高更长期 "的利率挂钩。鲍威尔承认，8 月以来债券收益率急剧上升（10 年期美国国债收益率从 8 月初的 4.00% 升至目前的 5%，3 月初是3.30%），从 5 年期到 30 年期的借贷成本上升在一定程度上推动了美联储的反通胀行动。市场正在适应 "更高更久 "的新现实，美联储更倾向于谨慎和货币克制，然后再宣布对通胀的胜利，避免唤醒了通胀九头蛇。

2 年期美国国债收益率、10 年期美国国债收益率：2006-2023 年 10 月 20 日：

在周三举行的特斯拉第三季度业绩电话会议上，利率问题占据了主导地位，埃隆-马斯克（Elon Musk）在 11 个场合提到了利率问题。最令人难忘的一句话是："如果宏观经济形势风雨飘摇，即使是最好的船也会遇到艰难时期。可以理解的是，特斯拉 3 季度业绩不及华尔街预期，利润同比下降 44%，毛利率也低于华尔街预期。

固定收益资产类别在本周的抛售潮中首当其冲，所有固定收益指数在本周都出现了负收益。自7 月底以来，"越久越高 "对固定收益资产类别造成了严重破坏，抹去了前 7 个月的收益，年收益率出现了决定性的负值：彭博全球综合指数（-3.52%）、美国综合指数（-3.13%）、美国国债指数（-2.92%）、美国投资级债券指数（-2.25%）、新兴市场债券指数（-1.11%）。

本周，全球股票市场的所有指数都出现了负收益。资本密集型行业（航空业和银行业）和新兴市场股票在重新定价中首当其冲。

请参阅下表，了解本周及 2023 年全年表现与往年对比情况：

所有数据截至 10 月 20 日， *1 截至 10 月 19 日

2022 年和 2023 年的债券市场大屠杀？

彭博美国国债指数始于 1973 年 1 月 1 日（当时为雷曼兄弟美国国债指数）。在其最初 47 年的辉煌历史中（从 1973 年到 2020 年），该指数仅有 4 年出现负收益（1994 年：-3.38%，1999 年：-2.56%，2009 年：-3.57%，2013 年：-2.75%）。在 2021-2022 年之前，该指数从未连续两年出现负回报，2021 年为 -2.32%，2022 年高达 -12.46%。2023 年年初至今回报率为 -2.92%。2023 年会创下连续三年的记录吗？

彭博美国国债指数：1971 年至 2023 年 10 月：

2023 年，太多只做多头的投资者和杠杆投资者下错了赌注，认为利率已经足够高，无风险/高质量的债券是很好的对冲工具，结果却痛苦地发现它们并非如此。

美国银行 (Bank of America) 周二公布了第三季度财报。该行的 HTM（持有至到期）债券投资出现了 1,316 亿美元的未实现亏损。截至第三季度末，该行拥有 6000 亿美元的 HTM 债券投资组合，收益率为 2.47%。 

联邦存款保险公司尚未公布美国银行业第三季度未实现损失。截至第二季度末，未实现 HTM + AFS 损失为 5,580 亿美元。随着近期债券市场的崩溃，估计 HTM 和 AFS 未实现损失的总和将在超过 2022 年第三季度的峰值 6,750 亿美元。 

顺便提一下，美联储第三季度末的 QE 投资组合为 8 万亿美元（低于高峰期的 9 万亿美元）。据估计，美联储在 2023 年前 9 个月的损失为 1000 亿美元。

在 2008 年之后的十五年间，"现金是垃圾"、"ZIRP、NIRP"（零利率政策、负利率政策）新常态等字眼被无休止地引用。世界已经改变，现金不再是垃圾。对于那些拥有大量现金的人来说，这是最好的时代。对于那些缺乏现金（负债累累）的人来说，这是最坏的时代。

对于我们中许多拥有 15 年期限的人来说，我们已经习惯了低利率和廉价融资带来的超额回报。游戏规则已经改变，高杠杆将需要经历一段痛苦的解毒期。

我深信，随着 2020 年的非理性繁荣，美国（以及英国和欧元区）长达 39 年的利率牛市已经结束。剩下的问题是利率有多高、时间有多长以及我们如何适应。

10 年期美国国债收益率，美元隔夜利率：39 年牛市 (1981 - 2020)已经过去了

根据国际金融研究所（IIF）的数据，截至 2023 年第二季度末，全球债务总额为 307 万亿美元（等值），占全球 GDP 的 336%。假设年利率为 5%，则每年的利息支出为 15 万亿美元。 

期限溢价 (term premium) 是指投资者因持有长期债券而非持续滚动持有短期票据而获得的额外补偿，作为承担期限风险的回报。在疯狂的 2020 年，定期溢价被注销。从 2022 年 3 月到 2023 年 7 月（加息 11 次），定期溢价被认为是负值。

从 7 月底至今，曲线前端保持不变，而 5 年期、10 年期和 30 年期收益率分别上升了 70 个基点、94 个基点和 107 个基点。欢迎回来，期限溢价。

美国国债收益率曲线：7 月 31 日至 10 月 20 日：

事实上，自 8 月以来，所有以美元计价的资产以及全球资产都进行了重新校准和定价。

作者：蔡清福

Alvin C. Chua

2023 年 10 月 21日, 星期六

东亚和中国股票市场的表现与全球同行的比较：

The world does not revolve around the US dollar interest rate markets, but all US dollar denominated assets do, and with free capital flows, global assets are correlated to the US dollar interest rates.

The 10-yr UST yield briefly reached 5.00% milestone mid-week and ended the week at 4.91%, reaching new all-time highs in 16 years (since 2007). Speaking at the Economic Club of New York on Thursday, Fed Chairman Powell basically took further rate hikes off the table, but explicitly linked a stronger economy to “higher for longer” interest rates. Powell acknowledged the sharp run-up in bond yields since August (the 10-yr UST yield has gone from 4.00% in early March to 5% presently, and from 3.30% in early March), with the higher borrowing costs from 5yr to 30-yr thatare doing some of the Fed's campaign against inflation. The market is adjusting to the new reality of “higher for longer” with the Fed preferring to err on the side of caution and monetary restraint, before declaring victory on inflation and inadvertently waking up the inflation hydra.

Interest rates dominated Tesla’s Q3 result call on Wednesday, with Elon Musk mentioning them on 11 occasions. The most memorable comment was “If the macroeconomic conditions are stormy, even the best ship is still going to have tough times”. Understandably, Tesla 3rd quarter results missed Wall Street estimates, with profit fell 44% from last year, and gross margins were below Wall Street’s expectations

Fixed income asset classes took the brunt of the sell-offsthis week, with every fixed income index delivering a negative return for the week. “Higher for longer” has devastated fixed income asset classes since the end of July, erasing gains for the first seven months to decisively negative YTD returns: Bloomberg Global Aggregate Index (-3.52%), US Aggregate Index (-3.13%), US Treasury Index (-2.92%), US IG bond index (-2.25%), EM bond index (-1.11%).

Every global equity market index suffered a sizable negative return this week. The capital￾intensive sectors (airlines and banking) and EM equities took the brunt of the re-pricing. 

Please refer to the following table for this week and YTD 2023 performance vs prior years:

All data as of Oct 20， *1 as of Oct 19

The Bloomberg US Treasury Index started on Jan 1, 1973 (back then it was the Lehman Brothers US Treasury Index). The index delivered negative returns in just 4 years (1994: -3.38%, 1999: -2.56%, 2009: -3.57%, 2013: -2.75%) out of its first 47 years of illustrious history (from 1973 thru 2020). Never before had the index delivered two consecutive years of negative returns until 2021-2022 with -2.32% in 2021 and a whopping -12.46% in 2022. YTD 2023 return is -2.92%. Would 2023 set a three consecutive year?

Bloomberg US Treasury Bond Index: 1971- Oct 2023:

Too many long-only investors and leveraged players took the wrong bet in 2023 that interest rates are sufficiently high, and risk-free/high quality bonds are great hedges, only to be painfully reminded they are not. 

Bank of America reported Q3 results on Tuesday. The bank had US$131.6 billion of unrealized losses in its HTM (Held-to-Maturity) bond investments. At the end of Q3, the bank had US$ 600 billion of HTM bond portfolio at 2.47% yield. 

During the one and a half decade after 2008, the words “cash is trash”, “ZIRP, NIRP” (zero interest rate policy, negative interest rate policy) new normal have been invoked endlessly. The world has changed, and cash is no longer trash. For those with a lot of cash, it is the best of times. For those who lack cash (with a lot of liabilities), it is the worst of times. 

For many of us with a 15-year time horizon, we are accustomed to LOW interest rates, and excess returns on cheap financing. The game has changed, and high-leverage will need to go through a period of painful detox. 

I am convinced that the 39-years of interest rate bull market in the US (as well as UK and Eurozone) has ended, with the spectacular irrational exuberance of 2020. The remaining question is how high, how long, and how we adapt. 

10-year UST yield, US Fed Funds rate: the 39 bull market (1981 – 2020) is over:

According to data from IIF (Institute of International Finance), the world is burdened with US$307trillion (equivalent) of debt at the end of Q2 2023, which represents 336% of global GDP. Assuming a 5% annual interest rate would work out to US$15 trillion of annual interest expense. 

Term premium refers to the extra compensation investors receive for holding long-dated bonds instead of continuously rolling over short-term bills, in return for taking on duration risk. In the madness of 2020, term premium was written off. From March 2022 through July 2023 (with 11 rate hikes) term premium was thought to be negative.

US Treasury yield curve: July 31 – Oct 20:

Since August, every US dollar denominated assets as well as global assets have been recalibrated and repriced.