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李秀蓮
2023-06-15
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李秀蓮
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</a>","text":"$中國石油化工股份(00386)$","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/650485058","isVote":1,"tweetType":1,"viewCount":1863,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":662448812,"gmtCreate":1666733197641,"gmtModify":1676537795428,"author":{"id":"3576457691067596","authorId":"3576457691067596","name":"李秀蓮","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3576457691067596","idStr":"3576457691067596"},"themes":[],"htmlText":"／","listText":"／","text":"／","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/662448812","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: U.S. 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 U.S. bond market may be close to the edge of pricing \"failure\", which is similar to the oil situation in April 2020. The market has priced the current macro environment to the extreme, and the possibility of future situation reversal is high., a sharp decline in US Treasury yields is a high probability event.</b>Text/CICC Asset Research: Li Zhao, Qi Wei, Yang Xiaoqing, Wang Hanfeng</p><p><b>U.S. bond market liquidity is close to levels seen in March 2020 when the market \"failed\"</b></p><p>Recently, the ten-year US Treasury yields once exceeded 4.3% in intraday trading, attracting market attention. We believe that interest rate pricing has obviously deviated from the equilibrium price, which is affected by the following factors:</p><p><b>1) The liquidity of the bond market is too poor.</b>At present, there are still US $2 trillion in overnight reverse repurchases in the Federal Reserve account, and the market is generally not short of US dollar liquidity. However, this year's macro policies and market volatility are too great. At the same time, the increase in U.S. bond stocks has made it difficult for market makers to trade, and there are serious liquidity problems in the U.S. bond market.</p><p>Bond pricing errors can be used to measure liquidity: summarize the pricing errors of the duration pricing models of all U.S. bonds in the market. The greater the error, the more serious the pricing distortion in the market and the worse the market liquidity.</p><p>Pricing error data shows that the current liquidity of the U.S. bond 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 and start \"unlimited QE\" to restore the normal operation of the bond market.</p><p>At present, the U.S. bond market may be close to the edge of pricing \"failure\". Even if investors believe that interest rates have significantly deviated from reasonable prices, they dare not increase their positions against the market trend.</p><p>Chart: U.S. bond market liquidity is close to the level 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: There are still $2 trillion in overnight reverse repurchases on the Fed's account<img src=\"https://static.tigerbbs.com/17fc7ab848330686a233a34f627c3fba\" tg-width=\"841\" tg-height=\"491\" referrerpolicy=\"no-referrer\"/>Source: Haver Analytics, CICC Research</p><p>Chart: The 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: The futures market expects the end of the rate hike to be close to 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 black swan event of UK policy became the last straw that crushed global bond markets</b>, the UK bond market collapsed directly, the pension fund experienced a repayment crisis, and the global market linkage spread to U.S. debt. Restricted by low liquidity, although the risks in the UK have been greatly alleviated at present, the US Treasury yields has not clearly reflected the changes in fundamentals.</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 the end of the rate hike to be close to 5% at one point, forming an \"inflation panic\".</p><p><b>The U.S. bond market in 2022 is similar to the oil market in 2020</b></p><p>Among the major global asset classes, the last asset to clearly deviate from the fundamental price may be oil. Affected by the epidemic at the beginning of 2020, oil demand was greatly reduced, and oil prices fell off a cliff. Since oil is a resource product 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 definite rise opportunity.</p><p>In March 2020, market pricing has interpreted the predicament at that time to the extreme, and there is no suspense that the future situation will reverse, so investors choose to \"buy the bottom\" at low oil prices. However, unexpected, there was a temporary shortage of oil storage capacity, and the delivery mechanism caused oil prices to completely deviate from fundamentals. WTI oil futures prices fell to-$37 per barrel in April, causing losses to investors.</p><p>In hindsight, investors who chose to buy oil at the bottom in March-April 2020 were completely correct about the fundamentals. In the next two years, the oil price will rise rapidly from negative to US $130, making it the most eye-catching asset among the world's major asset classes. If you abandon fundamental analysis after suffering losses in April, you will miss this once-in-a-decade oil supercycle.</p><p>Chart: WTI crude oil prices once fell to-US $37/barrel 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: In the past two years, oil has been the most eye-catching asset among the world's major assets (denominated in US dollars, full return rate)<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 a future situation reversal 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 that the Fed's rate hike stops at 4.8%, the 10-year US Treasury yields equilibrium price is only 3.2%, and the market pricing is already close to 100bp higher than the equilibrium price.</p><p>Looking forward, it is a foregone conclusion that the U.S. economy will enter a recession, and the economic slowdown will bring about a significant improvement in inflation. We believe that a sharp decline in US Treasury yields is also a high probability event. However, if you buy U.S. debt at the bottom in October, you will also suffer more losses.</p><p>In the past two months, our forecasts for the trend of the U.S. bond market have been quite deviated, but referring to the experience of 2020,<b>We believe that it is not appropriate to follow the trend too much and ignore the signals of fundamental analysis.</b></p><p>Chart: Assuming that the Fed's rate hike endpoint is 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>US Treasury yields predicts, what we see right, what we see wrong, and what we learn</b></p><p>In December 2021, we predicted that the US Treasury yields will rise sharply in 2022, in April 2022, we predicted that the interest rate will fluctuate in both directions, and in June, we predicted that the interest rate will 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 rise sharply 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 of US Treasury yields starting at the end of 2021 and the downward trend after June 2022, but did not predict that US Treasury yields would surge 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 rise in US Treasury yields is ultimately the result of CPI inflation growth that exceeds expectations. Our CPI forecast model is based on the statistical laws of economic data. The implicit assumption is that the leading and lagging relationship of the data can be linearly extrapolated according to historical laws, but the recent inflation increase has exceeded the model forecast.</p><p>Secondly, we didn't predict the UK policy surprise and pension crisis. We assumed beforehand that the British government's decision-making would conform to rationality and common sense, but this assumption was challenged, and the black swan incident of British policy finally washed away the US, European 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 derive the average path and end price of asset prices, but nonlinear events may cause asset prices to fluctuate. With the increase, it can completely deviate from the equilibrium price significantly, and it will take longer to converge to the equilibrium price.</p><p><b>Therefore, while we maintain our forecast of a 10-year US Treasury yields downward to 3% unchanged, we extend the time for our view to be fulfilled to 2022Q4-2023Q1.</b></p><p><b>Predicting asset prices requires attention to a new nonlinear event-financial market risk</b></p><p>Before October, most nonlinear events pushed up US Treasury yields, but now there may be a kind of nonlinear event-financial market risk-that has become a force to depress US Treasury yields. The Fed can choose to sacrifice economic growth to control inflation, but it may not be able to accept financial market disorder and financial crisis.</p><p>This rate hike cycle is faster than most rate hike cycles in history, but the complexity of the current financial market is far greater than that of 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 the British debt, the leverage ratio of pension LDI investment was exposed, and the Bank of England was forced to choose a \"temporary QE\" situation to stabilize the market. We believe that the markets of other countries may hide similar problems, and the policy response after the financial market shock may also be close to the choice of the Bank of England.</p><p>At present, in addition to the problems exposed in the operation of the U.S. bond 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 the baseline scenario, we believe that the possibility of the Fed's early adjustment of rate hike and shrinking balance sheet policies in 2023 needs to be considered. US Treasury yields may continue to fluctuate widely in 2023, but the final decline may exceed expectations.</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-term interest rates plummet after UK announced 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: U.S. 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: U.S. 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 U.S. bond market may be close to the edge of pricing \"failure\", which is similar to the oil situation in April 2020. The market has priced the current macro environment to the extreme, and the possibility of future situation reversal is high., a sharp decline in US Treasury yields is a high probability event.</b>Text/CICC Asset Research: Li Zhao, Qi Wei, Yang Xiaoqing, Wang Hanfeng</p><p><b>U.S. bond market liquidity is close to levels seen in March 2020 when the market \"failed\"</b></p><p>Recently, the ten-year US Treasury yields once exceeded 4.3% in intraday trading, attracting market attention. We believe that interest rate pricing has obviously deviated from the equilibrium price, which is affected by the following factors:</p><p><b>1) The liquidity of the bond market is too poor.</b>At present, there are still US $2 trillion in overnight reverse repurchases in the Federal Reserve account, and the market is generally not short of US dollar liquidity. However, this year's macro policies and market volatility are too great. At the same time, the increase in U.S. bond stocks has made it difficult for market makers to trade, and there are serious liquidity problems in the U.S. bond market.</p><p>Bond pricing errors can be used to measure liquidity: summarize the pricing errors of the duration pricing models of all U.S. bonds in the market. The greater the error, the more serious the pricing distortion in the market and the worse the market liquidity.</p><p>Pricing error data shows that the current liquidity of the U.S. bond 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 and start \"unlimited QE\" to restore the normal operation of the bond market.</p><p>At present, the U.S. bond market may be close to the edge of pricing \"failure\". Even if investors believe that interest rates have significantly deviated from reasonable prices, they dare not increase their positions against the market trend.</p><p>Chart: U.S. bond market liquidity is close to the level 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: There are still $2 trillion in overnight reverse repurchases on the Fed's account<img src=\"https://static.tigerbbs.com/17fc7ab848330686a233a34f627c3fba\" tg-width=\"841\" tg-height=\"491\" referrerpolicy=\"no-referrer\"/>Source: Haver Analytics, CICC Research</p><p>Chart: The 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: The futures market expects the end of the rate hike to be close to 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 black swan event of UK policy became the last straw that crushed global bond markets</b>, the UK bond market collapsed directly, the pension fund experienced a repayment crisis, and the global market linkage spread to U.S. debt. Restricted by low liquidity, although the risks in the UK have been greatly alleviated at present, the US Treasury yields has not clearly reflected the changes in fundamentals.</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 the end of the rate hike to be close to 5% at one point, forming an \"inflation panic\".</p><p><b>The U.S. bond market in 2022 is similar to the oil market in 2020</b></p><p>Among the major global asset classes, the last asset to clearly deviate from the fundamental price may be oil. Affected by the epidemic at the beginning of 2020, oil demand was greatly reduced, and oil prices fell off a cliff. Since oil is a resource product 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 definite rise opportunity.</p><p>In March 2020, market pricing has interpreted the predicament at that time to the extreme, and there is no suspense that the future situation will reverse, so investors choose to \"buy the bottom\" at low oil prices. However, unexpected, there was a temporary shortage of oil storage capacity, and the delivery mechanism caused oil prices to completely deviate from fundamentals. WTI oil futures prices fell to-$37 per barrel in April, causing losses to investors.</p><p>In hindsight, investors who chose to buy oil at the bottom in March-April 2020 were completely correct about the fundamentals. In the next two years, the oil price will rise rapidly from negative to US $130, making it the most eye-catching asset among the world's major asset classes. If you abandon fundamental analysis after suffering losses in April, you will miss this once-in-a-decade oil supercycle.</p><p>Chart: WTI crude oil prices once fell to-US $37/barrel 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: In the past two years, oil has been the most eye-catching asset among the world's major assets (denominated in US dollars, full return rate)<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 a future situation reversal 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 that the Fed's rate hike stops at 4.8%, the 10-year US Treasury yields equilibrium price is only 3.2%, and the market pricing is already close to 100bp higher than the equilibrium price.</p><p>Looking forward, it is a foregone conclusion that the U.S. economy will enter a recession, and the economic slowdown will bring about a significant improvement in inflation. We believe that a sharp decline in US Treasury yields is also a high probability event. However, if you buy U.S. debt at the bottom in October, you will also suffer more losses.</p><p>In the past two months, our forecasts for the trend of the U.S. bond market have been quite deviated, but referring to the experience of 2020,<b>We believe that it is not appropriate to follow the trend too much and ignore the signals of fundamental analysis.</b></p><p>Chart: Assuming that the Fed's rate hike endpoint is 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>US Treasury yields predicts, what we see right, what we see wrong, and what we learn</b></p><p>In December 2021, we predicted that the US Treasury yields will rise sharply in 2022, in April 2022, we predicted that the interest rate will fluctuate in both directions, and in June, we predicted that the interest rate will 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 rise sharply 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 of US Treasury yields starting at the end of 2021 and the downward trend after June 2022, but did not predict that US Treasury yields would surge 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 rise in US Treasury yields is ultimately the result of CPI inflation growth that exceeds expectations. Our CPI forecast model is based on the statistical laws of economic data. The implicit assumption is that the leading and lagging relationship of the data can be linearly extrapolated according to historical laws, but the recent inflation increase has exceeded the model forecast.</p><p>Secondly, we didn't predict the UK policy surprise and pension crisis. We assumed beforehand that the British government's decision-making would conform to rationality and common sense, but this assumption was challenged, and the black swan incident of British policy finally washed away the US, European 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 derive the average path and end price of asset prices, but nonlinear events may cause asset prices to fluctuate. With the increase, it can completely deviate from the equilibrium price significantly, and it will take longer to converge to the equilibrium price.</p><p><b>Therefore, while we maintain our forecast of a 10-year US Treasury yields downward to 3% unchanged, we extend the time for our view to be fulfilled to 2022Q4-2023Q1.</b></p><p><b>Predicting asset prices requires attention to a new nonlinear event-financial market risk</b></p><p>Before October, most nonlinear events pushed up US Treasury yields, but now there may be a kind of nonlinear event-financial market risk-that has become a force to depress US Treasury yields. The Fed can choose to sacrifice economic growth to control inflation, but it may not be able to accept financial market disorder and financial crisis.</p><p>This rate hike cycle is faster than most rate hike cycles in history, but the complexity of the current financial market is far greater than that of 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 the British debt, the leverage ratio of pension LDI investment was exposed, and the Bank of England was forced to choose a \"temporary QE\" situation to stabilize the market. We believe that the markets of other countries may hide similar problems, and the policy response after the financial market shock may also be close to the choice of the Bank of England.</p><p>At present, in addition to the problems exposed in the operation of the U.S. bond 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 the baseline scenario, we believe that the possibility of the Fed's early adjustment of rate hike and shrinking balance sheet policies in 2023 needs to be considered. US Treasury yields may continue to fluctuate widely in 2023, but the final decline may exceed expectations.</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-term interest rates plummet after UK announced 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":{".DJI":0.9,"ZNmain":0.9}},"isVote":1,"tweetType":1,"viewCount":732,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":187470697210032,"gmtCreate":1686795206839,"gmtModify":1686795667688,"author":{"id":"3576457691067596","authorId":"3576457691067596","name":"李秀蓮","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3576457691067596","idStr":"3576457691067596"},"themes":[],"htmlText":"<a 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