Fiscal Cliff: 市场刚刚开始觉醒(from Barron's)

Diffusion

BofA: Treasuries Already Pricing In Fiscal Cliff Risks
By Michael Aneiro

Bank of America Merrill Lynch rates strategists Priya Misra, Ruslan Bikbov and Shyam Rajan look at the Treasuries market over the past couple of weeks and see a significant decline in rates without an obvious trigger in the form of economic data or event risk. That hints that Treasuries are starting to price in risk from the looming year-end “fiscal cliff,” with investors hunkering down into government bonds to guard against the risk of a fiscal slowdown should tax increases and spending cuts be triggered.

“We believe that the market may be beginning to price in fiscal cliff risks,” BAML writes. “We estimate that the 10y has priced $40-80bn of the cliff in 2013. We believe that risks are skewed towards the lower end of the estimates given concerns about a further global growth slowdown and the asset shortage theme in the bond market.”

Given the uncertain nature of the cliff resolution, BAML says risks to rates are binary, with its economists’ base-case scenario of $300bn of the cliff arguing for lower rates and a flatter yield curve. BAML recommends positioning for “higher volatility around a complicated and contentious process in the lame duck session via owning forward [volatility].”

BAML says risk assets such as equities may have not priced in as much tightening as Treasuries so far, and that a fall in risky assets in response to even a small fiscal tightening can translate into safe haven inflows into Treasuries. BAML adds that the higher the cliff, lower the deficit and lower the Treasury supply for 2013, which could also bode well for government bonds. Beyond that, a larger cliff will translate to lower growth and likely increased Treasury buying by the Fed after the end of Operation Twist. More from BAML:

Hence, net supply of Treasuries to the private market is likely to be substantially lower, both due to lower deficit and higher Fed buying. Given the above, there is reason to believe that Treasury rates could decline further despite weaker growth being priced in from a supply-demand perspective. However, much will depend on the reaction in risky assets. As seen last year, the large uncertainties around the debt ceiling, a close election race and dysfunctional Congress add downside risks to economic sentiment and thereby risk assets.

NZX

ctcld

市场根本就没睡觉，就是不想它罢了。

Diffusion

ctcld 发表于 2012-10-2 02:24 PM
市场根本就没睡觉，就是不想它罢了。

JNK已经跌了一段时间了，应该用不了多久了。

silicon_beaver

--- 市场刚刚开始觉醒
If so, then takes time to see.

stocktoaster

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