美债反常走高：利多数据下的内生上行惯性
在美国金融市场步入盛夏的静谧期之际，标普500指数（S&P 500 Index）虽勉强创下历史新高，且期权买权（Call Options）的投机热潮暗示部分投资者仍期待市场出现末日狂欢式的冲顶（Blow-off top），但当下最值得关注的资产类别是表现异常低迷的长期美债（Long bond: 通常指期限在20至30年期的超长期国债）。30年期美债收益率在过去几个月内 relentless 地一路攀升，目前已达到约5.25%的水平。令人担忧的是，这种收益率的走高并非宏观数据的反映，反而是逆宏观数据利多而行。
在过去的一周里，美国公布了多项宏观经济数据。其中，消费者物价指数（Consumer Price Index: 衡量消费终端物价变化的宏观经济指标）和生产者物价指数（Producer Price Index）均较为温和，基于此预测的个人消费支出平减指数（Personal Consumption Expenditures Price Index: 美联储首要通胀目标锚定指标）预计同比增幅在3.5%左右，虽然仍高于政策目标，但并未恶化。此外，零售销售数据大幅不及预期、非农就业人数骤降，皆指向经济基本面的疲软。在常态逻辑下，这些“坏消息”理应推动收益率下行；然而，每次数据公布后，收益率仅出现短暂的膝跳式下跌（Knee-jerk lower），随后便迅速收复失地并反弹。这种在利多频现下收益率仍坚决走高的反常表现，揭示出美债收益率内部强烈的内生上行惯性。
- 长期美债（Long bond: 通常指期限在20至30年期的美国国债）
- 个人消费支出平减指数（Personal Consumption Expenditures Price Index: 简称 PCE，美联储衡量通货膨胀的核心指标）
- 消费者物价指数（Consumer Price Index: 简称 CPI，衡量居民购买的商品和服务价格变化的指标）
Original English Source
Hello my friends. Today is August 15th and this is Marcus weekly. All right, so this past week was a pretty quiet week in markets. We are in the dead of summer. Although the S&P 500 did eke out a new all-time high. Seems like there are still people bidding up calls hoping that we could have a blow-off top, which we may, but it does seem like we're going to be stuck for a few days as we get through options expiry. Now today let's just talk about one topic and it's one topic I've been thinking about and that is the long bond, which continues to behave very poorly even though I personally like it above 5%. Now if you look at a chart of the long bond yield, you can see that over the past few months it's basically been marching up higher relentlessly and now it's about 5.25%. Now it's becoming more concerning to me because it's been behaving poorly despite the data. So for example, last week we had a lot of inflation data. We had CPI and we had PPI. CPI was as the market expected and honestly it's the second month where we've had pretty benign CPI data. Last month remember on a month-over-month basis it was 0%. This month it's a little bit higher, but overall of course CPI on a month-over-month basis is pretty tame. PPI again producer price index I came in lower than expectations and when you have these two indexes, we can have a pretty good estimate as to what PCE will be, which is the Fed's target. Now looking at the Cleveland Fed, PCE is expected to be about 3.5% year-over-year. That is definitely above the Fed's target, but it's not really worsening. It's about where it's been for the past I don't know, a few months I guess. And of course the Fed has been inflation has been above target for a few years. So if inflation overall was a little bit better than the market expected, you would have expected yields to behave better. And you did see that, right? Right after the data came out, you had the yields go lower as the market priced in a lower uh probability of Fed hikes, but then that immediately retraced higher. Now, in addition last week, we also had retail sales, which came in much lower than expectations, and some people will talk about how you had idiosyncrasies as in Amazon moving uh Prime Day last month instead of this month, and maybe FIFA stuff like that, but at the end of the day, retail sales came in much lower than expected, suggesting economic weakness. And so, yields immediately came in a bit lower after that, but again, immediately retraced that as well. Now, think back also to nonfarm payrolls last month, you had a shocking loss of jobs, and that of course would have suggested to some people at least that, "Hey, maybe the labor market is not as good as we thought." And you did get a knee-jerk lower on yields, but then of course that immediately retraced as well. So, overall, even though inflation is lower than the market expects, even though the economy is probably a bit weaker than the market expects, you see knee-jerk reactions lower to yields that immediately retrace. So, that that tells you something, right? That that is That tells you that yields uh basically want to go higher, and that's kind of concerning.全球债市联动与能源危机的外溢效应
在探究美债上行冲力的过程中，我们不能忽视全球债市的共振效应。上周五美债收益率发生的显著跳升，实际上是由海外债市的剧烈波动所主导的。对于跨国对冲基金（Hedge Fund）和大型资产管理机构而言，它们能够在全球债市之间无缝切换，并可通过套期保值轻松锁定汇率风险。上周五，欧洲等海外主要经济体的长端收益率涨幅远超美国，直接将美债收益率“拉高”，体现了全球化资产配置下的溢出效应。
这种全球性卖压的底层动因，在于地缘政治冲突和能源供需结构的改变。虽然原油（Crude Oil）的表观价格维持在温和区间，但真正计入各通胀指数的终端提炼燃料（如柴油、汽油、航空煤油）价格，却由于全球炼油产能的受限而持续飙升。以汽油期货为例，其走势呈现出与原油脱节的持续单边上扬。这种持续的能源冲击（Energy Shock）对高度依赖能源进口的欧洲和亚洲经济体冲击更甚。加之海外央行普遍奉行极为严苛的通胀目标制，债市投资者因担忧高通胀引发加息而抛售债券，其恐慌性情绪最终波及并抬升了美国债市。金融市场的价格本质上是心理预期的映射，任何试图用历史数据建立的统计模型在面对地缘政治和供应链的“范式转变”时都会失效。
- 对冲基金（Hedge Fund: 采用多种交易策略以获取绝对收益的投资信托基金）
- 能源冲击（Energy Shock: 能源供应突然受限或价格暴涨对宏观经济造成的系统性负面影响）
Original English Source
Now, one thing to note though, that on Friday, when you had a pretty notable jump in yields in the US, you can also see that it was led by what happened abroad. So, global yields are a global market. Uh basically, if you are a large hedge fund manager, large asset manager, you can move pretty seamlessly throughout the global bond market and just hedge your currency risk. Now, what struck me is that on Friday, um the yield the increases in long end yields was much higher abroad than in the US, and you could say that uh what happened abroad basically pulled up the US whereas you had increases of several basis points in the long end in say Euro land for example. So there is a global factor here that seems to be driving up yields and my guess is that this is probably due to the war in Iran whereas when we see what happens in um crude oil pretty well behaved but again we don't consume crude oil. What goes into the indexes is things like uh like diesel like gasoline like jet fuel and we have reduced uh refinery capacity and that's actually driving up these uh distillate prices. Looking at for example gasoline futures you can see that you don't see the same pattern that you see in crude oil whereas gasoline futures continue to march steadily higher. So it seems what happens what's happening is that part of the story is that uh you have this energy shock that is persisting. It's having a bigger impact on say Europe and Asia than it does in the US. In Europe and Asia of course it's also a different jurisdiction whereas you have strictly inflation targeting central banks and so I think that is concern causing some concern for their bond investors which is spilling over to what's happening in the US. Now I think that's one thing that that could be happening and remember ultimately in financial markets prices are psychological. Everyone buys and sells for different reasons. This is not physics. This is not something you can build a statistical model for uh because again you have all these regime changes. If you are building a statistical model you misunderstand fundamentally how this works. So let's talk about a few other lenses we can uh to look at the rise in the long bond.真实利率与期限溢价：三维透镜下的美债定价
为了清晰定位这股拉动名义国债收益率的底层驱动力，我们可以将长端收益率置于三个金融透镜下进行拆解。
第一个透镜是名义利率向真实利率与通胀预期的分解。通过通胀掉期或30年期通胀保值国债（TIPS: Treasury Inflation-Protected Securities）可以发现，当前30年期远期通胀预期依然非常稳定，这表明市场并非在定价恶性通胀的失控，而是30年期TIPS的真实收益率已攀升至3%左右。这反映出投资者在扣除通胀因子后，对长期资金占用的“真实补偿”提出了极高要求。
第二个透镜是期限溢价（Term Premium）。美联储（Federal Reserve）在政策路径沟通上的刻意模糊，甚至有关调高通胀目标的讨论，加剧了投资者对未来30年政策走向的不确定性，促使投资者要求更高的期限溢价来对冲长期持有美债的利率风险。
第三个透镜则是市场热议的“超额供给导致市场消化不良”。这一假设可通过掉期点差（Swap Spreads）来予以证伪。若供需失衡是主要矛盾，一级交易商的库存挤压应导致掉期点差显著走负，但近几个月该点差保持相对稳定。虽然财政部对未来发债规模的辞令微调，暗示了效仿日本当局削减长端发债量以干预市场的可能性，但目前供需失衡显然并非收益率暴跌的主因。
- 通胀保值国债（Treasury Inflation-Protected Securities: 简称TIPS，本金与通胀指数挂钩的债券）
- 期限溢价（Term Premium: 投资者对长期国债相比短期国债所要求的风险补偿）
- 掉期点差（Swap Spreads: 相同期限的利率掉期利率与国债收益率之间的差值）
Original English Source
Again a popular lens to look through is is to decompose it between uh real and nominal based on things like for example, inflation swaps or 30-year TIPS. So, from this lens, people would say that the market is actually not afraid of inflation because 30-year inflation remains pretty stable. What it is is an increase in real yields, and that is long bond investors demanding higher real compensation to invest in bonds. Okay, well, maybe. So, that's one way to look at it, and 30-year TIPS at a I think the real yield is about 3%. It is, of course, very, very juicy. That is an inflation-protected yield. And maybe that's what it investors require to um uh to clear the market. Another way to look at this, of course, is through the lens of term premium, which is uncertainty in the expected path of policy. So, from this lens, um investors are becoming more uncertain as to how the Fed would react over the next coming 30 years. And so, to protect them- -selves, they want to have a higher return. That is term premium. And that actually makes a lot of sense as well. Kevin, of course, is very open in telling you that he doesn't want to tell you um how the Fed would react. And so, investors are in the dark, and so, it looks like they're going to want to have more compensation for for that added degree of uncertainty. And in addition, of course, Kevin also said very concerning things such as changing the inflation target, which the Fed has not met for many years, right? So, that that, of course, understandably, is going to increase term premia, and it's going to push up long bond yields. Now, the last story that people talk about is that you just have a tremendous supply of bonds, and so, the market is having trouble digesting that. Now, that story, I think, is is not uh can be refuted in the market pricing. The way that you would look at that is through swap spreads. So, what happens is that if you have an excess of supply, then the dealer holds it in its inventory and hedges its risk and it gets compensated the swap spread. Now, if you look at swap spreads again, they've been pretty stable over the past few months. You would expect it to become increasingly negative it if if it is a indigestion issue, but it it's not. So, I don't think that is correct. Also note, of course, that the Treasury has actually come out saying that and so usually they say that they're going to increase um coupon sizes in the coming quarters. Now, they change that to just change coupon sizes. So, that is kind of opening the door a bit for some potential in cutting uh the coupon the issuance sizes of the long bond to make it behave better. And that's something the Japanese authorities did, I believe, a couple years ago as well when their 40-year traded very poorly. So, again, it doesn't seem to be a supply and demand issue, although that always matters. And if you were to cut the supply, uh you you would, of course, put down pressure on yields, although that that doesn't seem to be the biggest concern to the market at the moment.股市虹吸与泡沫裂痕：债市重聚避险资金的契机
随着国债收益率的持续上行，市场可能会形成单边抛售美债的自我实现螺旋，而由此带来的高利率环境终将对风险资产特别是股票市场造成严重拖累。高企的长期美债收益率正推升房贷利率，进而抑制实体经济。
与此同时，在美债与美股之间，存在着显著的资金虹吸效应。当股票市场的AI概念股（AI Stocks）能在短短几个月内实现资产翻倍甚至翻三倍的超常回报时，即便30年期美债提供5%以上的无风险锁定期回报，其吸引力也显得微乎其微。只要股票市场的吸金效应和高弹性回报持续存在，债市的买盘就会受到压制。因此，美债迎来系统性反弹的真正契机，在于股票市场出现裂痕。例如，一旦高估值的AI泡沫破裂，或者地缘政治冲突升级、选举尘埃落定以及高杠杆资金发生平仓踩踏，市场便会迅速触发避险买盘（Flight to Safety）。届时，由于股票下跌带来的负财富效应将导致经济增长预期恶化，市场将开始对降息空间进行重新定价，资金将重新涌入债券避险，从而在底部为美债提供强力的买盘支撑。
- AI概念股（AI Stocks: 与人工智能技术研发、应用和产业链相关的企业股票）
- 避险买盘（Flight to Safety: 在金融市场动荡时，投资者将资金转移到国债等低风险资产的行为）
Original English Source
So, the problem with this is that as it continues to trend higher, you know, you have the possibility of more and more people just changing perception, momentum, people coming in, and everyone just kind of wanting to sell it. And as it goes higher, that will ultimately, of course, impact uh the stock market. Uh yeah. Whereas higher yields, of course, we all know is bad for the stock market and that could not just be bad for real uh real economy, for for example, housing, where mortgage rates again are climbing up, uh but it will ultimately spill out into the stock market, as well. And the good news is that ultimately, when the stock market, again, gets impacted either some for some reason the AI bubble bursts or something like that, uh you will, in my personal view, ultimately have a flight to safety as the market prices in, say more Fed cuts, maybe a um weaker economic growth from the negative wealth effect and that would ultimately give a bid to bonds. Another way you can think about this is that why would you want to why would 5% for 30 years be attractive when you can double or triple your money in AI stocks in a few months, right? So, as long as that stock market thing is competing uh and offering very very attractive um returns, it the bonds are not going to be very attractive. So, I think in order for us to get respite in the bond market, we probably have to wait for some cracks in the equity market, uh which again, nothing goes up forever and uh you do have some major catalysts coming in the coming months. Again, ongoing conflict in the Middle East, uh midterms, and of course, just leverage and momentum, just like what happened with the Cosby. All right, so that's what I prepared for today and I think it's uh I continue to think that uh of course, we can have a blow-off top in the equity markets, but I do continue to be very cautious here. All right, talk to you guys next week.📌 文中提及的人物和组织
公司/组织: Federal Reserve, US Treasury