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美股好日子到頭了?
uSMART盈立智投 05-31 20:08

資管公司 Mott Capital Management表示,美國債務上限的不確定性導致過剩流動性涌入股市。然而,隨着提高債務上限的協議達成,形勢應該會發生逆轉,從而引發拋售。

由於債券發行減少,美國財政部一般賬戶(TGA)的枯竭釋放了準備金餘額,從而使市場受益。然而,隨着債務上限的提高和新債券的發行,TGA可能會大幅增加。

隨着TGA的上升和準備金餘額的減少,流動性有可能從市場中流失。TGA和標普500指數之間的關係一直很明顯,這表明一旦TGA再次上升且準備金餘額開始下降,標普500指數可能會逆轉趨勢並走低。

去槓桿化

迴流到TGA的資金量以及用於購買新發行債券的資金來源將在決定準備金餘額下降幅度方面發揮關鍵作用,進而可能引發去槓桿化進程。美國金融業監管局(FINRA)的歷史數據表明,準備金餘額和保證金水平之間存在持久的關係,進一步支持了這一觀點。

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TGA是美國財政部在美聯儲的存款賬戶,代表了美聯儲資產負債表上的一項負債。因此, TGA的增加可能會導致準備金餘額的下降。準備金餘額減少會導致市場保證金水平下降。

當保證金水平下降時,流動性實際上會從市場中撤出,從而啓動去槓桿化過程。這可能會影響依賴保證金借款爲其投資融資的市場參與者。保證金水平下降可能會加劇拋售壓力,並導致市場低迷。

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避險資金出逃

最近幾周,投資者明顯轉向了超大型股,這導致了指數走勢的扭曲,尤其是納斯達克100指數。這主要是由於納斯達克100指數頭重腳輕的性質,其中少數股票推動了整體回報。強勁的資產負債表、龐大的市值、可觀的自由現金流和強勁的盈利潛力是這些股票的特徵。此外,它們具有高流動性,在某些情況下,其市值超過了一些七國集團經濟體,這可能使它們對因擔心利率風險而尋求避風港的投資者具有吸引力。

在考察納斯達克 100 指數的盈利收益率與 10 年期債券實際收益率之間的利差時,這一趨勢尤爲明顯。這種利差已達到2007年以來的最低水平。圍繞債務上限的不確定性可能促使投資者被流動性最強、最安全的資產所吸引。

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市場的不確定性反映在收益率曲線上,特別是在過去一個月,短期債券收益率大幅上升。收益率的上升表明市場情緒和對利率的預期發生了轉變。

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1年期美國信用違約互換(CDS)飆升至最高水平,清楚地表明市場擔憂加劇,並意識到與美國債務違約相關的風險。公司購買CDS來對衝違約風險。

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然而,投資者可能會將注意力轉回收益率曲線的前端,這可能導致投資者從流動性高、更安全的大型股中撤出。這種輪換可能導致納斯達克100指數出現大幅回撤。

在市場流動性方面,如果新債發行大幅增加導致TGA增加,這可能會從市場中抽走流動性。

總而言之,在債務上限協議達成後,市場將同時面臨去槓桿化進程和避險資金撤出,這可能會引發股市拋售。

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