美國財政危機？耶倫發行五十年超長債券的意圖？
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美國財政部長候選人耶倫僅僅在參議院聽證會上提及了50年期美國國債，美國國債市場的交易員們紛紛相信，美國有望發行50年期美國國債。
美國財政部多年來一直在考慮發行超長期債券，但部分由於華爾街的抗拒而一直沒有推出。但當耶倫在周二簡單討論了一下這個話題時，就引起了美國30年期債券的拋售。
在參議院聽證會上，當被問及包括50年期國債在內的更長期債券時，耶倫表示：“通過發行長期債券來為債務融資(特別是在利率很低的情況下)是有好處的，我將非常樂於關注這個問題，並研究這種期限的債券對於市場的影響。”
該評論推動了長債利率上行，並使收益率曲線趨陡，5年-30年期債券的利差一度達到140個基點的當日高位。
發行超長期債券的目的主要為一下兩點：
第一：超長期債券更容易完成預算目標，緊接著是籌集資金補足財務赤字。也就是降低美國財政部的償債壓力。
第二：配合央行做OMO（央行公開操作open market operation) ,增加債券品種以及市場流動性。
上一次美國財政部開放銷售超長期50年債券（Ultra long maturity 50 YR bond) 的銷售是在1911年。
Americans don’t necessarily need to look abroad to find examples of ultra-long government bond issuance.
美國人不一定非要去國外尋找超長期政府債券發行的例子。
The potential for a (currently nonexistent) US century bond has been discussed more as investors prepare for Treasury Department turnover, since there are plenty of examples of ultra-long issuance in other countries.
隨著投資者為財政部的收支做準備，已經對（目前不存在的）美國世紀債券的潛力進行了更多討論，因為在其他國家有很多一樣是發行超長期國債的例子。
And Kenneth Garbade, the New York Fed’s resident market historian, brings us historical examples from right here in the US in a recent report.
紐約聯儲市場歷史學家肯尼斯·加爾巴德（Kenneth Garbade）在最近的一份報告中為我們提供了來自美國這裡的歷史案例。
Before the Treasury adopted its mandate of “regular and predictable” issuance in the 1970s, it issued multiple bonds with maturities longer than 30 years, according to Garbade, who is officially a senior VP for money and payments studies in the New York Fed’s research group .
紐約聯邦儲備銀行研究小組貨幣與付款研究高級副總裁加爾巴德（Garbade）表示，在1970年代美國財政部通過其“定期且可預測”的發行授權之前，它發行了期限超過30年的多種債券。
In 1911, the US sold 50-year bonds to fund the construction of the Panama Canal, and made a particularly strong effort to market them to individual investors, according to the report. At the end of 1914, about two-thirds of Treasury debt outstanding was in perpetual consols, redeemable at the option of the Treasury after 30 years. Those bonds were popular because the rules of the National Banking System required banks to pledge Treasuries as collateral in order to issue their own notes. (Think of it as an older version of the liquidity coverage ratio, as this Bank for International Settlements paper explains.)
報告稱，在1911年，美國出售了50年期的債券來為巴拿馬運河的建設提供資金，並做出了巨大的努力將其推銷給個人投資者。到1914年底，約有三分之二的美國國債是永久性的，可在30年後由美國財政部來選擇贖回。然而這些債券之所以受歡迎，是因為國家銀行體系的規則要求銀行將國庫券作為抵押，以便發行自己的票據。 （如本國際清算銀行論文所述，將其視為流動性覆蓋率的較舊版本。）
There’s a precedent for issuing ultra-long bonds for the sole purpose of lengthening the market’s maturity, too. Seven bonds with maturities longer than 30 years were issued between 1955 and 1963, according to Garbade.
發行超長債券也有先例，其唯一目的就是延長市場的期限。根據Garbade的說法，在1955年至1963年之間美國財政部共發行了七隻期限超過30年的債券。
It started with a scenario that sounds familiar: The market expected more long-term debt from an incoming Treasury Secretary.
它始於一個聽起來很熟悉的場景：市場預期即將上任的財政部長（耶倫？）會提供更多的長期債務。
Garbade cites 1952 reports claiming George Humphrey, Eisenhower’s nominee, favoured switching to longer maturities. (Of course, those reports were unambiguous, unlike last year’s statements from Trump Treasury nominee Steven Mnuchin. He simply said he’d “look at everything and see what makes sense.”)
加爾巴德（Garbade）引用1952年的報導稱，艾森豪威爾的提名人喬治·漢弗萊（George Humphrey）贊成發行債券改用更長的期限。 （當然，這些報告是明確的，與去年特朗普財政部提名候選人史蒂芬·姆努欽（Steven Mnuchin）的聲明不同。後者只是說，他“會看一切，看看有什麼意義。”之後後者決定取消發行50年債券的發行）
While ultra-long bonds pose technical challenges today, Treasury bond sales were even riskier in the 1950s, before the introduction of the current auction process. Back then, longer-term Treasuries were sold at fixed prices. That meant it faced the same type of risks faced by companies in modern bond or share offerings — if the price was too high, it could sell off in the secondary market or even fail outright. If it’s too low, that would mean the Treasury paid too high a price to borrow. ( Meanwhile, the Federal Reserve had only just withdrawn from its commitment to support bond prices in 1951.)
儘管超長債券在今天構成了技術挑戰，但在引入當前拍賣程序之前，在1950年代，國債的銷售甚至更具風險。那時，長期國債以固定價格出售。
這意味著它在現代債券或股票發行中面臨著公司所面臨的相同類型的風險-如果國債價格太高，它可能會在二級市場上拋售，甚至徹底失敗。如果這批長期國債價格太低，則意味著美國財政部支付的價格太高而無法借款。 （與此同時，美聯儲在1951年剛剛退出了其支持債券價格的承諾。）
Those hurdles became apparent in 1953, in the Treasury’s first long-term bond sale after the last Victory Loan drive. The sale of 30-year bonds was oversubscribed, and officials ended up culling subscriptions that may have come from “free riders” trying to flip the bonds. Then, the bonds had a “disappointing after-market,” Garbade writes.
這些障礙在1953年，在最後一次勝利貸款（Victory Loan又稱Liberty Loan即世界一戰後發行的戰爭貸款) 之後，財政部的第一次長期債券出售中變得顯而易見。 30年期債券的發行被超額認購，官員最終剔除了可能來自試圖搭售債券的“搭便車者”的認購。然後，這些債券出現了“令人失望的售後市場”，加爾巴德寫道。
There were four issues of Liberty Bonds:
- April 24, 1917: Emergency Loan Act (Pub.L. 65–3) authorizes issue of $1.9 billion in bonds at 3.5 percent.
- October 1, 1917: Second Liberty Loan offers $3.8 billion in bonds at 4 percent
- April 5, 1918: Third Liberty Loan offers $4.1 billion in bonds at 4.15 percent.
- September 28, 1918: Fourth Liberty Loan offers $6.9 billion in bonds at 4.25 percent.
Interest on up to $30,000 in the bonds was tax exempt only for the First Liberty Bond.
自由債券共有四期：
1.1917年4月24日：《緊急貸款法》（Pub.L. 65–3）授權發行3.5億美元的19億美元債券。
2.1917年10月1日：第二筆自由貸款以4％的價格發行了38億美元的債
3.1918年4月5日：第三筆自由貸款以4.15％的價格發行了41億美元的債券。
4.1918年9月28日：第四次自由貸款以4.25％的價格發行了69億美元的債券。
最多30,000美元的債券利息僅對第一自由債券免稅。
Two years passed before the Treasury resumed its push toward longer maturities, this time dodging the subscription issue altogether.
在財政部恢復推動更長期限的努力過去了兩年之後，這次完全避開了國債認購問題。
It issued 40-year bonds in 1955 in an exchange offering. In exchange offerings, investors can swap a maturing bond for either a 40-year bond or a 13-month note, on a par-for-par basis. That sale went smoothly — as did a smaller, cash fixed-price sale of the same bond five months later, with terms that were favourable for “savings-type investors” like pensions and retirement funds, according to the report.
美國財政部於1955年通過發行股票發行了40年期債券。作為交換產品，投資者可以按面值將到期債券換成40年期債券或13個月期債券。
該報告稱，該交易進行得很順利-五個月後以同一筆債券進行的較小規模的現金固定價格出售也是如此，其條款有利於養老金和退休基金等“儲蓄型投資者”。
Ultra-long issuance stalled for a few years, until a recession-related bond rally gave the Treasury an opening to sell a 32-year bond in a 1958 exchange offering. In 1960, the Treasury sold 38-year bonds through an advance refunding, or an exchange of bonds well before of their maturity date. Advance refundings were the “primary vehicle for issuing long-term Treasury bonds” until mid-1965, according to Garbade.
超長期國債的發行停滯了幾年，直到與衰退相關的債券集會給財政部開放了在1958年的發行中出售32年期債券的機會。直到1960年，美國財政部通過提前退款或在債券到期日之前交換債券出售了38年期的債券。根據Garbade的說法，提前退款是“發行長期國債的主要工具”，直到1965年中期。
Then, at the end of December 1962, the Treasury announced its first long-term bond auction in more than 25 years. It was just a supplemental offering, and used “competing syndicates of securities dealers on an all-or-none basis,” according to the report. (The Treasury now uses blind Dutch auctions, with a group of primary dealers required to bid for a pro-rata share.)
然後，在1962年12月，財政部宣布了25年來的首次長期債券拍賣。報告稱，這只是一種補充，並使用了“有競爭或無競爭的證券交易商集團”。 （財政部現在使用荷蘭式盲目拍賣，要求一組主要交易商競標按比例分配股票。）
減價式拍賣通常從非常高的價格開始，高的程度有時沒有人競價，這時，價格就以事先確定的數量下降，直到有競買人願意接受為止。在減價式拍賣中，第一個實際的競價常常是最後的競價。那麼，從何談起這裡有競買人之間激烈的競爭呢？這裡確實有競爭是毋庸置疑的，雖然僅僅只有一個競價，但是這個僅有的競價是對預期的一種直接反應，如果自己不出價，那麼別人就會出價從而失去物品。
然而，在大部分減價式拍賣中，實際上有許多競價。因為減價式拍賣經常用於拍賣品具有多樣品質的場合，如質量上的不同、第一個出價最高的競買人可以買走全部物品，但往往只以最高價買走這些物品中最好的，然後拍賣繼續，價格下降，當另有競買人願意接受競價，他也有同樣的選擇，也是買走餘下中最好的，然後拍賣又繼續。在這種情況下，雖然競買人大部分時間都沉默不語，但是在競買者之間確實存在持續的競爭。
例：
賣家有100朵鮮花，必須在一天內賣完，否則花就謝了。首先，賣家設定最高價為每朵100元，每兩個小時降價10元。拍賣開始後沒有人競價。過了兩個小時，降到每朵90元時，有個競買人競價。如果他買100朵，則拍賣到此結束，此競買人成為買受人，100朵鮮花以每朵90元成交。如果他只買70朵，那麼剩下的30朵繼續拍賣。如果一天過去了，不再有人競價，那麼拍賣的結果是唯一的競買人成為買受人，以每朵90元的成交價買走70朵花。但是，如果過了兩小時又有人來競買剩下的30朵花，而價格為每朵80元。這時結束拍賣，兩個競買人都成為買受人，都以每朵80元的價格成交。
The first 30-year syndicate sale was in January 1963, and the process went smoothly, according to the report. But the second sale, of bonds maturing in 31 years, didn’t go quite as well. While the competition between the dealer syndicates was tight, Garbade found that investor demand was “chilled” by American Telephone and Telegraph Company — now known as AT&T — which sold 250mn of long-term debt that day. Private debt issuance was apparently crowding out government borrowing.
報告稱，首批30年的辛迪加(定價）交易於1963年1月進行，整個過程進行得很順利。但是第二次出售是在31年後到期的債券進行得併不順利。儘管交易商集團之間的競爭十分激烈，但Garbade發現，投資者的需求受到了美國電話電報公司（現稱為AT＆T）的“凍結”，該公司當天售出了2.5億美元的長期債務。私人債務發行顯然排擠了政府借款。
The Treasury didn’t offer another coupon-bearing security until the 1970s, in part because there was a legal 4.25 per cent ceiling on auction yields. By the time Congress got rid of the ceiling in 1988, officials had already started to issue securities in a “regular and predictable” way.
直到1970年代，美國財政部才提供另一種附有息票的證券，部分原因是拍賣收益率的法定上限為4.25％。到1988年國會解除上限時，官員們已經開始以“正常且可預測”的方式發行證券。
And between 1975 and 1989, the market’s average maturity rose from 2.66 years to 6 years without any ultralong bond issuance, according to Garbade:
根據Garbade的說法，在1975年至1989年之間，該市場的平均期限從2.66年提高到6年，沒有發行任何超長債券：
The ability to sell a lot more long-term debt on a regular basis proved to be more important than the ability to sell really long-term debt on a sporadic basis.
事實證明，定期出售更多長期債務的能力比零星出售真正長期債務的能力更為重要。
Of course, some of the challenges from the 1950s and 60s could be avoided in the current system, since Treasury now uses auctions to sell securities. And dealers can be more precise when trading and bidding for long-term bonds, as long as they get plenty of advance notice. But stability and steadiness seem to be key — at the very least, to prevent AT&T from flooding the market first.
當然，在當前系統中可以避免1950年代和60年代的一些挑戰，因為財政部現在使用拍賣的方式來出售這批證券。而且，交易商可以在交易和投標長期債券時更加精確，只要他們能提前得到通知。但是穩定性和穩定性似乎是關鍵-至少要防止AT＆T首先搶占市場。
For those interested, here’s the full list of ultra-long bonds sold between 1955 and 1964:
1. 40-year bond issued on Feb. 15, 1955 (exchange)
2. 39.58-year bond reopening, issued July 20, 1955 (cash subscription 3. that allowed just “savings-type” investors to pay with installments) 4. 32-year bond issued Feb. 14, 1958 (exchange)
5. 38.12-year bond issued Oct. 3, 1960 (advance refunding)
6. 37.17-year bond reopening, issued Sept. 15, 1961 (advance refunding)
7. 36.71-year bond reopening, issued March 1, 1962 (advance refunding)
8. 31.07-year bond issued April 18, 1963 (auction)
對於感興趣的人，以下是1955年至1964年之間出售的超長債券的完整列表：
1. 1955年2月15日發行的40年期債券（交換）
2. 1955年7月20日發行的39.58年期債券重新開放（現金認購3.僅允許“儲蓄型”投資者分期付款）。 4. 1958年2月14日發行的32年期債券（交換）
5. 1960年10月3日發行的38.12年期債券（提前退還）
6. 1961年9月15日發行的37.17年期債券重新開放（提前退還）
7. 1962年3月1日發行的36.71年期債券重新開放（提前退還）
8. 1963年4月18日發行的31.07年期債券（拍賣）
Back in December, the BIS laid out a stunning, and heretofore unknown assessment of the factors leading into the September repocalypse: not only was the overnight repo surge to 10% a function of supply (or lack thereof), with banks — primarily JPMorgan — pulling liquidity from the repo market causing a panic scramble for any incremental dollar (end eventually forcing the Fed to open up its overnight and term repo lines for the first time since the crisis), but an arguably more important reason for the Fed stepping in to restore liquidity was that countless hedge funds were indirectly funding massive Treasury pair trades using repo, or as we put it, “the BIS found that hedge funds exacerbated the turmoil in the repo market with their thirst for borrowing cash to juice up returns on their trades.
早在12月，國際清算銀行就導致9月份大災難的因素進行了令人驚嘆的，迄今未知的評估：隔夜回購激增至10％取決於供給（或缺乏供給），銀行-主要是摩根大通- 從回購市場撤出流動性導致對任何美元增量的恐慌（最終最終迫使美聯儲自危機以來首次開放其隔夜和定期回購貸款限額），但這可能是美聯儲介入其中的更重要原因。
而恢復流動性的原因是，無數對沖基金通過回購協議（REPO) 間接為大規模的國債對交易提供資金，或者正如我們所說，“國際清算銀行發現，對沖基金渴望藉入現金以增加交易收益，從而加劇了回購市場的動盪。
Here is what the BIS said:
US repo markets currently rely heavily on four banks as marginal lenders. As the composition of their liquid assets became more skewed towards US Treasuries, their ability to supply funding at short notice in repo markets was diminished. At the same time, increased demand for funding from leveraged financial institutions (eg hedge funds) via Treasury repos appears to have compounded the strains of the temporary factors.
國際清算銀行想表達的是：
美國回購市場目前嚴重依賴四家銀行作為邊際貸方。隨著其流動資產的構成更趨向於美國國債，它們在回購市場上在短時間內提供資金的能力就減弱了。同時，通過國庫回購對槓桿金融機構（例如對沖基金）的資金需求增加，似乎加劇了臨時因素的壓力。
There was more:
“High demand for secured (repo) funding from non-financial institutions, such as hedge funds heavily engaged in leveraging up relative value trades,” was a key factor behind the chaos, said Claudio Borio, head of the monetary and economic department at the BIS
緊接著：
BIS國際清算銀行機構貨幣和經濟部門負責人克勞迪奧·鮑里奧（ClaudioBorio）表示：“對非金融機構（例如大量從事槓桿化相對價值交易的對沖基金）對有擔保（回購）資金的需求很高。”
The BIS’s finding was novel, and surprising, as it highlighted the “growing clout of hedge funds in the repo market” according to the FT, which notes something we pointed out one year ago: hedge funds such as Millennium, Citadel and Point 72 are not only active in the repo market, they are also the most heavily leveraged multi-strat funds in the world, taking something like $20-$30 billion in net AUM and levering it up to $200 billion. They achieve said leverage using repo.
《金融時報》認為，國際清算銀行的發現是新穎的，令人驚訝，因為它突顯了“回購市場中對沖基金的影響力不斷增長”，該註釋指出了我們一年前指出的事情：對沖基金如Millennium，Citadel和Point 72是它們不僅活躍在回購市場，還是全球槓桿作用最強的多策略基金，吸收的淨資產管理規模約為20至300億美元，而槓桿資產則高達2000億美元。他們使用回購協議實現了上述槓桿作用。
Focusing on the trades in question, one increasingly popular hedge fund strategy involves buying US Treasuries while selling equivalent derivatives contracts, such as interest rate futures, and pocketing the arb, or difference in price between the two.
著眼於相關交易，一種日益流行的對沖基金策略包括購買美國國債，同時出售等價的衍生品合約，例如利率期貨，套利套利或兩者之間的價格差。
It was the fear that this arb would suddenly dislocate in chaotic fashion, culminating in a cross-asset liquidation cascade, that spooked the Fed into activity in September, forcing it to inject over $600 billion in liquidity in the ensuing months via both Repo and QE4 .
由於市場參與者擔心這種套利交易會突然以混亂的方式解散，最終導致跨資產清算級聯，令美聯儲在9月開始積極行動，並迫使其在隨後的幾個月中通過回購和QE4注入超過6,000億美元的流動性。
Which brings us to today, and this morning’s unprecedented move in the Ultra long bond future…
這將我們帶到今天，以及今天早晨超長債券期貨合約的空前的巨大價格波動：
… which has already swung higher by over 10points, is the biggest one-day move in history!
…已經上漲了10點以上，是歷史上最大的單日漲幅！
Now, as a reminder, most hedge funds are also clients of JPM, which for the past two months had been urging them passionately and over and over and over again to short the long-dated rates complex:
現在提醒一下，大多數對沖基金也是JPM的客戶，在過去的兩個月中，JPM一直不斷地敦促它們反复做空長期利率組合：
… and again…
… and again just last week…
… with catastrophic consequences for all those who listened, which based on trading desk rumors includes 2 especially large hedge funds, which are also getting crushed this week on their equity exposure.
……對所有聽眾來說都是災難性的後果，根據trading desks上的傳言，其中包括兩家特別是大型對沖基金，它們本周也因其持有的巨大股票敞口而崩潰。
The good news, for now at least, is that there are no notable dislocations between 30Y cash and Ultra futures — the clearest indication that someone has thrown in the towel, and there is a tradable arb in the most liquid security in the world, one which nobody wants to take advantage of due to counterparty risks. However, it is only a matter of time before the cracks do emerge, at which point the only question will be who it is that just blew up…
至少就目前而言，好消息是，在30年期現金和Ultra超長國債期貨之間沒有明顯的錯位-最明確的跡象表明有人認輸了，世界上流動性最高的證券存在可交易的套利交易，然而由於交易對手的風險（Counterparty Risks) ，沒人願意利用這一優勢。
但是，如此的裂縫的出現只是時間問題，這時唯一的問題就是炸毀的是誰…
官員的想法總是美好的，然而當遇上各種carry 的hedgefund玩家來說，系統風險似乎並不會下降。 。
