美银：债券抛售主要是美联储故事，利率不确定性驱动
Bond Selloff Is Mostly a Fed Story, Says BofA’s Cabana
You really entertained us last time you were on the program. You talked about Fed chair Kevin Walsh not falling the bond. I wanna pick out on the the Fed piece of this. The influence they have over what we're seeing on the screen right now, how much of this is or isn't a Fed story? We think it's mostly a Fed story. Do you really? Just explain that. So when we have asked ourselves what is going on at the long end, we first start with the observation that the long end move has really been driven by The US.
上次您上节目时，我们确实被您逗乐了。您谈到了美联储主席凯文·沃尔什没有让债券下跌。我想重点谈谈美联储这部分。他们对我们现在屏幕上看到的情况有多大的影响，这有多少是美联储的故事，或者不是？我们认为这主要是美联储的故事。您真的这么认为吗？请解释一下。当我们问自己长期端发生了什么时，我们首先观察到，长期端的变动确实是由美国驱动的。
US long end rates, we were just using since towards the end of June, have increased the most in The US versus the rest of the world. We then ask ourselves, is it a real story, or is it inflation breakevens? And it's almost all real. So then what is it that is driving real rates higher? Is it better growth expectations? Probably not because growth has softened a little bit, and you actually see Bloomberg consensus forecast come down in '27 and '28.
美国长期利率，我们刚才提到，自六月底以来，美国的涨幅在全球范围内是最高的。然后我们问自己，这是真实的故事，还是通胀盈亏平衡？几乎全是真实的。那么是什么推动了实际利率上升？是更好的增长预期吗？可能不是，因为增长略有放缓，而且您确实看到彭博共识预测在2027年和2028年下调了。
Is it a issuance story? There's a lot of supply both on the government side and on the IG side. Perhaps. But that issuance story, really over the last six weeks, we don't think it's changed that much. We've known that there would be a lot of treasury and IG supply for a while, and IGOAS is only about five or six basis points wider over that period. So it doesn't really seem like a supply shock story. So then what is it?
是发行故事吗？政府和投资级方面都有大量供应。也许吧。但那个发行故事，在过去六周里，我们认为并没有太大变化。我们早就知道会有大量国债和投资级供应，而IGOAS在那段时间只扩大了大约五到六个基点。所以这似乎不是一个供应冲击的故事。那是什么呢？
We just chalk it up to elevated interest rate uncertainty, and that is consistent if you look at the shape of the implied vol surface from swaption prices. You do see a notable steepening of the implied vol surface. So if you look at one year one year versus ten year ten year, let's say, you see ten year ten year rising much more than one year one year. It's actually coming down because it one year one year here's a dovish Fed.
我们只是将其归因于利率不确定性升高，这与您从互换期权价格看到的隐含波动率曲面形状是一致的。您确实看到隐含波动率曲面显著陡峭化。所以，如果您看一年对一年和十年对十年，比如说，您会看到十年对十年上升的幅度远大于一年对一年。实际上，一年对一年在下降，因为这里有一个鸽派的美联储。
And to us, it's that steepening of the implied vol surface. It's greater uncertainty that is driving the move. And then if you look at when this steepening really got going, it was the July FOMC. It was that press conference from Fed Chair, and it was a market that has still not heard a credible plan. How will inflation get back to target? Will it just naturally fall and the Fed needs to do nothing? Or if it doesn't, what's the Fed going to do about it?
对我们来说，正是隐含波动率曲面的陡峭化，是更大的不确定性推动了这一变动。然后，如果您看这种陡峭化真正开始的时候，那是七月的FOMC会议。是美联储主席的新闻发布会，而市场仍然没有听到一个可信的计划。通胀如何回到目标？它会自然下降，美联储无需采取任何行动吗？或者如果不会，美联储打算怎么做？
That is still what the market, I think, is searching for.
我认为，市场仍在寻找这个答案。
更进一步：量化金融体系
看懂新闻只是起点——沿量化金融路径，把它变成能交付的工程能力