2023 年 10 月 3 日星期二将被载入史册，华盛顿政治功能失调的新时代正式开始。美国众议院议长凯文-麦卡锡（Kevin McCarthy）被赶下台。这是美国历史上第一次有议长被赶下台。凯文麦卡锡是共和党人。一名共和党议员提出动议，8 名共和党议员与 208 名民主党议员联手罢免了议长。
2022 年 11 月中期选举后，共和党控制了 222 个席位，民主党控制了 213 个席位。凯文-麦卡锡（Kevin McCarthy）在向极端保守的共和党同僚做出重大让步后，经过 5 天艰苦卓绝的第 15 轮投票，赢得了众议院议长一职。
2023 年 9 月 30 日（周六），众议院议长麦卡锡跨越党派界限，向民主党让步，避免了美国政府停摆，这让他的共和党支持者大为恼火，也结束了他短暂的议长生涯。凯文-麦卡锡为国家做了正确的事情，但最终在他赢得众议院议长一职的九个月后被开除出众议院长职位（在美国行政部门中排名第三，仅次于总统和副总统）。
周二的戏剧性事件可能导致美国政府陷入长期僵局和瘫痪的风险，美国政府临时预算上限将于11 月 15 日到期。周二道指、标普 500 指数和纳斯达克指数分别下跌 1.29%、1.37% 和 1.87%。10 年期美国国债收益率升至 4.80%（2007 年以来的最高水平）。
周五，美国公布 9 月份非农就业人数增加 33.6 万人，创 1 月份以来最大增幅，失业率稳定在3.8%。道指、标普 500 指数和纳斯达克指数扭转重挫局面，分别以 0.87%、1.18% 和 1.60% 的涨幅收盘。在华盛顿政治功能失调、"居高不下 "成为不可避免的命运的情况下，市场选择相信私营部企业美国经济的创业精神。
道指、标普 500 指数、纳斯达克指数：10 月 6 日周五的抛售和回升：
非农就业报告公布后不久，10 年期 UST 收益率飙升 10 个基点至 4.88%，但最终收于 4.80%。 本周初收益率的大幅走高带走了周五的雷声。
美国长期利率的急剧飙升（又称熊平）是过去一个月中最大的进展。
美国国债收益率曲线：8 月 31 日至 10 月 6 日：
对于全球固定收益市场来说，这是痛苦的一周。彭博全球综合指数、美国综合指数、美国国债指数、美国投资级债券指数、美国高收益债券指数分别下跌 1.03%、1.17%、1.04%、1.44%、1.21%。以美元计价的新兴市场债券指数下跌 1.66%。
然而，尽管经历了混乱的一周，道琼斯指数下跌了 0.30%，但标准普尔 500 指数、纳斯达克综合指数和纳斯达克 100 指数分别上涨了 0.48%、1.60%和 1.75%。
请参阅下表，了解本周和 2023 年全年表现与往年的对比情况：
所有数据截至 10 月 6 日，*1 截至 10 月 5 日全球股票市场：
9 月份比预期的要艰难得多，所有股票指数都出现了负收益（富时 100 指数除外）。这是继 7 月份全球主要股票指数均以高位收盘之后，连续第二个月出现负收益。
在经历了充满挑战的 8 月份之后，9 月份的全球固定收益市场同样困难重重，债券义勇军主导了市场。
市场对美联储不再加息的定价。然而，由于降息可能还需要 9-12 个月（如果不是更长的话），固定收益市场将不得不应对数月的逆风，以及延迟降息带来的意外收获。
利率长期居高不下 (higher for longer) 可能不利于新兴市场货币。事实上，自 2008 年新兴市场的繁荣达到顶峰以来，摩根大通新兴市场货币指数已贬值近 60%。
摩根大通新兴市场货币指数：2000 - 2023 年 10 月 6 日
没有比阿根廷比索更能体现货币贬值风险的货币了，在 2001 年 12 月 23 日之前，阿根廷比索兑美元的汇率为 1:1。最近，比索兑美元的汇率为 350:1。
阿根廷比索对美元：2000 - 2003 年 10 月
我对 1994-1998 年在纽约雷曼公司新兴市场债券部门工作的经历记忆犹新（还学会了几个西班牙语单词，当时的新兴市场主要是指拉丁美洲）。但比索贬值让我很难过......阿根廷别为我哭泣 (Don’t Cry For Me Argentina)。
强于预期的 9 月份就业报告强化了利率不可避免的 "长期走高 "新常态。尽管加息 11 次（从 0%-0.25% 到 5.25%-5.50%），尽管通胀高企、劳工动荡、政治僵局和功能失调，雇主仍在招聘，工人仍在工作，经济似乎仍在正常运行。这凸显了美国经济的韧性和活力。
随着美国国债曲线的重新定价，市场已经接受了 "长期走高 "的主题。地球并非围绕美元利率旋转，但所有以美元计价的资产（债券、股票、贷款、另类资产）都是如此。随着美国无风险利率的大幅提高，所有以美元计价的资产都必须重新调整和定价。非美元资产也将被重新基准化和重新定价。更高更长期的美国利率将对全球资本流动和汇率产生重大影响。
日经 225 指数本周下跌 2.71%，MSCI 新兴市场指数下跌 1.62%，MSCI 拉美指数下跌 5.94%。在货币方面，日元周二触及 150。尽管日本央行干预汇市，但日元本周仍然收于 149.32 点。摩根大通新兴市场货币指数 (JP Morgan EM Currency Index) 本周创下历史新低 46.274 (2008 年为112.58)。
我 36 年的职业经历，从 AAA 级美国国债和抵押贷款支持证券，到拉美新兴市场、到俄罗斯新兴市场(不幸的是，这结束了我在雷曼的职业生涯)、亚洲金融危机，参与了利率，汇率，固收和股票资产类别，我已经见过很多次: “美元的高利率总是会在某些地方造成痛苦”, 恐怕我很可能会再次看到这种情况。
作者：蔡清福
Alvin C. Chua
2023 年 10 月 7 日, 星期六
东亚和中国股票市场的表现与全球同行的比较：
附录: 凸性对冲 (convexity hedging) 和利率锁定 (rate-locks)：美联储很可能已完成（或几乎完成）加息。然而，自 8 月 31 日以来，10 年期 UST 收益率从 4.11% 暴涨至 10 月 6 日的 16 年高点 4.80%，而曲线前端几乎没有变动。4 月初，10 年期收益率为 3.31%（高出 150 个基点）。换句话说，自 4 月初以来，10 年期收益率已经上涨了 45%。就在两三个月前，许多杰出的策略师和著名的基金经理还在吹捧 4% 的长期美国国债是本世纪最值得购买的债券。到底发生了什么？是什么导致了 10 年期无风险利率的大幅抛售，尤其是在过去 5 周？
近期收益率的突然飙升引发了大范围的利率对冲。其中最主要的两种对冲方法是凸性对冲(convexity hedging) 和利率锁定 (rate-locks)，即出售基准美国国债和/或相关期货工具，以及在利率掉期中支付固定利息。
除华尔街利率交易员和资深固定收益专业人士外，很少有投资者有凸性对冲和利率锁定的经验。债券凸性 (bond convexity) 是衡量债券价格与利率变化非线性关系的指标，定义为债券价格相对于利率的二阶导数。
所有固定收益证券都具有正凸性 (positive convexity)，但住房贷款抵押支持证券（MBS）除外，它具有负凸性 negative convexity（即：利率下降时，MBS 债券价格上涨速度较慢；利率上升时，MBS 债券价格下跌速度较快）。随着利率上升，抵押贷款支持证券的期限会延长（预期到期时间延长）。
最近利率的急剧上升促使银行和 MBS 投资组合争相对冲令人讨厌的负凸性，这引发了国债收益率的自我强化式抛售，而我们这几天正经历着这种抛售。
注 1：未偿付的住宅抵押贷款超过 12 万亿美元。
注 2：硅谷银行 3 月份倒闭的部分原因是过多（几乎占该银行投资组合的 80%）投资于 MBS（负凸性且无法对冲）和 CMBS（流动性差）。
利率锁定通常由公司财务主管 (Treasurer) 采用。所有投资级公司债券都以 T + 信用利差 定价进行交易。T 是相应期限的基准 UST 收益率。信用利差通常会在同类和信用评级范围内的预期范围内进行交易, 除非出现信用事件或市场混乱。
这是公司财务人员无法控制的 T（贝塔值）。因此，如果一家公司计划在资本市场上发行债券，并面临利率波动，那么免疫利率风险（利率不确定性）的常用策略就是利率锁定（即：做空等效期限的美国国债）。
Article #152: Interest Rates to “Remain Higher for Longer”Tuesday Oct 3, 2023 will be remembered in history that a new era of political dysfunction in Washington has officially begun. The US Speaker of the House Kevin McCarthy was ousted. It was the first time in US history that a speaker had been ousted. Kevin McCarthy is a Republican. It took one Republican Congressman to submit the motion, and 8 Republicans joined forces with 208 Democrats to defenestrate the speaker. After the mid-term election in November 2022, Republicans controlled 222 seats vs 213 for the Democrats. Kevin McCarthy won the House speakership after a grueling 5-day, 15th-ballot fight, after giving major concessions to fellow ultraconservative Republican colleagues. On Sat Sept 30, 2023, Speaker McCarthy crossed the party lines, gave concessions to Democrats, and averted the US Government shut-down, which irked his Republican supporters, and ended his short speakership career. Kevin McCarthy did the right thing for the country, but ended up getting expelled from the speaker’s office nine months to the day he won the job as the Speaker of the House (rank #3 in the US Executive Branch, after the President and Vice President).The dramatic event on Tuesday risks an extended period of US Government impasse and paralysis, with the interim US Government budget ceiling expiring on November 15. The Dow, S&P500, and Nasdaq fell 1.29%, 1.37% and 1.87% respectively on Tuesday. The 10-yr US Treasury yield rose to 4.80% (the highest level since 2007). On Friday, US month of September non-farm payroll rose by 336,000, the biggest gain since January, while the unemployment rate held steady at 3.8%. The Dow, S&P500 and Nasdaq reversed heavy losses earlier in the morning to close the day with 0.87%, 1.18% and 1.60% gains.With political dysfunction in Washington and “higher for longer” an unavoidable destiny, the market chose to believe in the private sector and the entrepreneurship of the American Economy.Dow, S&P500, Nasdaq: Friday Oct 6 sell-off and recovery:
The 10-yr UST yield shot up 10bp to 4.88% shortly after the non-farm payroll report, but ended the day at 4.80%. The dramatic higher yield earlier in the week took away the Friday thunder.The single biggest development this past month has been the dramatic spike in the US long-term interest rate (aka bear market flattening).US Treasury yield curve: Aug 31 – Oct 6:
It was a painful week for the global fixed income markets. The Bloomberg Global Aggregate Index, US Aggregate Index, US Treasury Index, US IG bond index and US HY bond index lost 1.03%, 1.17%, 1.04%, 1.44%, and 1.21% respectively. The USD denominated EM bond index declined 1.66%. However, despite a discombobulating week, the Dow lost 0.30%, but the S&P500, Nasdaq Composite, Nasdaq 100 indices gained 0.48%,1.60% and 1.75% respectively. Please refer to the following table for this week and YTD 2023 performance vs prior years:All data as of Oct 6， *1 as of Oct 5Where do we go from here?The month of September turned out to be a much more difficult month than expected, with every equity index decisively having negative returns(except the FTSE100). It was a second consecutivemonth of negative returns, after a blow-out July where every major global equity index closed out the month on a high note.Global Fixed Income Markets:The month of September turned out to be equally difficult for the global fixed income markets, after a challenging August, with bond vigilantes dominating the market. Market is pricing in no more Fed rate hikes. However, with rate cuts likely to be 9-12 months away (if not longer), the fixed income markets will have to contend with months of headwind, and the delayed rate cut windfall. “Higher for longer” would likely be detrimental to EM currencies. In fact, since the EM euphoria peaked in 2008, the JP Morgan EM currency index has lost almost 60% of its value.JP Morgan EM currency index: 2000 – 2023 Oct 6:
No currency epitomized devaluation risk more than the Argentina Peso, which until Dec 23, 2001 was 1: 1 to USD. Recently, it was 350:1.Argentina Peso vs USD: 2000 – 2003 Oct:
I have fond memories of working along-side the EM bond department at Lehman in New York from 1994-1998 (and learned a few Spanish words, EM back then was primarily Latin America). But the Peso devaluation was SAD … Don’t Cry for Me Argentina.Interest rates to remain “Higher for Longer”:The stronger than expected September job report reinforced the inevitable “higher for longer” new normal. Despite 11 rate hikes (0%-0.25% to 5.25%-5.50%), despite elevated inflation, labor unrest, political impasses and dysfunction, employers are hiring, workers are working and the economy appears to be powering through just fine. It underscores the resilience and dynamism of the US economy.Market has accepted the “higher for longer” theme, with the repricing of the US Treasury curve. The globe does not revolve around US dollar interest rates, but all US dollar denominated assets (bonds, stocks, loans, alternative assets) do. With the dramatically higher US risk-free rates, all US dollar denominated assets will have to be recalibrated and repriced. Non-USD assets too will be re-benchmarked and repriced. The higher for longer US interest rates will have significant implications for global capital flows, and currency exchange rates.The Nikkei-225 index declined 2.71% this week, the MSCI EM index decline 1.62%, while the MSCI Latam index dropped a whopping 5.94%. On the currency front, the Yen touched 150 on Tuesday. Despite BOJ intervention, ended the week at 149.32. The JP Morgan EM Currency index hit a new all-time low of 46.274 (it was 112.58 in 2008). My 36-year career experience, from AAA US Treasury bonds and MBS, to Latam EM, Russia EM (which unfortunately ended my career at Lehman), Asian Financial Crisis, across interest rates, currencies, fixed income, and equity asset classes, I have seen many episodes of: “high US dollar interest rates always inflict pains somewhere”, and I am afraid I am likely to see it again.
East Asia and China equity markets performance vs the global peers:Data as of 2023 Oetober 6Appendix: Convexity hedging and Rate locks:
The Fed is likely done (or almost done) with rate hikes. However, since August 31, the 10-yr UST yield has shot up from 4.11% to a 16-year high of 4.80% on Oct 6, while the front end of the curve barely moved. The 10-yr yield was 3.31% in early April (150bp higher). To put it differently, the 10-yr yield has gone up by 45% since early April. Just 2-3 months ago, many illustrious strategists and venerable fund managers were touting the long-term US Treasury bond at 4% as the buy of the century. What happened? What caused the dramatic sell-off in the 10-yr risk free rate, particularly in the past 5 weeks? The recent sudden pop in yield triggered wide spread interest rate hedging. Among the two dominant hedging methods are convexity hedging and rate locks, which involve selling benchmark US Treasury securities and/or related futures instruments, as well as paying fixed in interest rate swaps. Very few investors outside of Wall Street interest rate traders and veteran fixed income professionals have experience with convexity hedging and rate locks.Bond convexity is a measure of the non-linear relationship of bond prices to changes in interest rates, and is defined as the second derivative of the price of the bond with respect to interest rates. All fixed income securities have positive convexity, except for mortgage-backed securities (MBS), which have negative convexity (ie: MBS bond price increase at slower pace with falling interest rates, and fall at a faster pace with rising interest rates). MBS duration extends (expected maturity lengthens) as interest rate increases. The recent sharp increase in interest rate prompted massive scrambling by banks and MBS portfolios to hedge the nasty negative convexity, which triggered a self-reinforcing sell-off in Treasury yields which we are experiencing these few days. Note 1: There are over US$12 trillion of residential MBS outstanding. Note 2: The demise of Silicon Valley Bank in March was in part due to a disproportionate (almost 80% of the bank’s portfolio) investment in MBS (with negative convexity and failure to hedge) and CMBS (with illiquidity).Rate locks are commonly deployed by corporate treasurers. All investment grade corporate bonds are traded on a T + credit spread. T being the corresponding maturity benchmark UST yield. Credit spreadstypically trade in an expected range within the peer group and credit rating bucket, unless there are credit events or market disruptions. It is the T that corporate treasurers do not have control over (the beta). Therefore, if a company plans to issue bonds in the capital markets and faces interest rate volatility, a common strategyto immunize the interest rate risk (interest rate uncertainty) is rate locks (ie: shorting the equivalent maturity of US Treasury securities).
