本文首發於智堡公眾號：zhi666bao。
Part III – The Invisible Hand
第三部分：無形之手
Required moves of at least 100 bps are huge in both funding and fixed income markets – they would eclipse the size of the largest Libor-OIS moves we have seen since 2015, and they would also count as one of the largest moves in the 10-year yield seen since 2015.
對於融資市場和固定收益市場而言，100個基點的利差水平可不是鬧著玩的——可能會讓2015年Libor-OIS的利差波動相形見絀，也可能是自2015年來十年期美債收益率的最大幅變動。
So we could be in for some big moves in fixed income markets in 2019…
因此，我們或許可以在2019年的固定收益市場獲得一些重大變化。
…and perhaps moves that are bigger than that. Hedging costs or the 10-year yield moving 100 bps does not leave much margin for error: foreign inflows would stage a “sudden stop” again for a few bps less. For foreign portfolio flows to structurally “stick”, hedging costs and the 10-year yield would have to adjust by more like 100 to 150 bps.
或許還有更大的變數。對沖成本或10年美債收益率變動100個基點並沒有留下多少犯錯誤的餘地：利差少幾個基點外資流入可能會突然中止。要讓外國投資組合流動結構性地留下來，對沖成本和10年期美債收益率必須調整約100至150個基點。
How can the curve re-steepen from here relative to hedging costs?
相對於對沖成本，如何才能使曲線在此處重新變陡？
Within the confines of U.S. funding and fixed income markets, the required steepening can come from two and only two sources: higher Treasury yields or lower hedging costs. In turn, these adjustments can happen either through markets adjusting themselves – “the invisible hand” – or markets adjusting with some help from the U.S. government.
在美國融資和固定收益市場範圍內，所要求的升幅可能會來自兩個來源：更高的美國國債收益率或更低的外匯對沖成本。這些調整轉而可以通過市場自我調整來實現——通過看不見的手，或在美國政府的幫助下調整市場。
In this part of our analysis, we consider the scenario where markets do the adjustment, and in the next part of our analysis, we consider the scenario where the government helps.
在本部分分析中，我們考慮了市場來促進調整的設想，並在下一部分分析中，考慮了政府給予幫助的情形。
Let’s first consider how the adjustment could come from higher 10-year yields.
讓我們首先考慮調整來自於10年期國債收益率提高的情形。
Figure 20 shows that the 10-year Treasury yield would have to be at least 3.50% for FX hedged buyers from Japan and Europe to consider 10-year Treasuries to be attractive relative to government bond yields available locally, given no change in FX hedging costs; the minimum yield target of large U.S. banks and funds to stay are also about the same.
圖20顯示，假設外匯對沖成本沒有變化，要讓日本和歐洲的投資者在對沖外匯風險的基礎上購買10年期的美國國債，且相對於他們本土政府債券的收益率具有吸引力的條件下，10年期美國國債的收益率必須至少達到3.5%；美國大型銀行和基金的最低收益率目標也大致相同。
As noted above, these are minimum yield targets with no room for error, and so for foreign investors and for U.S. banks and asset managers to steadily buy on the margin, the 10-year yield would have to be around 4.00% – a level it hasn’t reached since 2007.
如上文所述，這是沒有錯誤餘地的最低收益率目標，外國投資者、美國銀行和資產管理公司要想在邊際上穩步買入，10年期的美債收益率必須約為4%，這是2007年以來尚未達到的高水平。
If the 10-year trades above 4.00% it probably won’t mean anything good for either equities, credit or the economic outlook. The technical reasons why yields could gradually grind toward 4.00% we have discussed in the previous sections: more supply due to growing deficits and the Fed’s balance sheet taper; foreign investors’ buyers strike; banks unwilling to buy Treasuries outright or an asset swap at current yields for HQLA; banks buying foreign bonds on an FX hedged basis to earn a spread over Treasuries; and asset managers’ current incentives to fund banks rather than the U.S. government and also to fund foreign governments on an FX hedged basis rather than the U.S. government.
如果10年期美債的收益率超過4%，這對股票、信貸和經濟前景沒有任何好處。收益率為什麼可以逐步上行至4%的技術理由我們在前文已經提過了：赤字增長會導致國債供給上升，美聯儲縮表也會出售國債；海外投資者“罷工”；銀行不願意直接購買國債，也不願意在當前的收益率水平進行資產互換來獲得HQLA；銀行還可以通過外匯對沖的手段買入海外的國債以賺取相比於美債的利差；資管公司目前寧可把資金投入給銀行負債或者是在外匯對沖的基礎上買入外國國債也不願意投資美國國債。
In addition, primary dealers trying to move Treasuries off their books will also pressure yields higher as they cut the price of Treasuries to make room for future auctions, where they’ll likely bid for paper at higher coupons to protect themselves from repo rates rising.7
此外，試圖把美國國債從賬面上挪走的一級交易商還將對美債收益率施加更大壓力，因為他們將下調美國國債的價格，以便為未來的美債拍賣留出空間，他們獲取國債時會提高利率以保護自身不受回購利率上升的影響。
There are also some macro reasons why the 10-year yields can move higher from here: assuming that the current IP slump bottoms during the second quarter (see here), improved indicator flows and risk sentiment can prompt the market to expect hikes again, and the Fed can turn hawkish again with a turn in risk sentiment, as the year progresses.
10年期國債收益率可能走高也有一些宏觀原因：假設當前工業產出跌勢在第二季度觸底，經濟指標和風險情緒的改善可能會促使市場預期再次出現加息，隨著風險偏好的回升，今年美聯儲可能會再次變得鷹派。
To be clear, we are not saying that the 10-year yield is going to 4.00%, only that forces both technical and macro could easily force it in that direction as the year progresses.
要明確的是，我們並不是說10年期美國國債收益率將達到4%，而只是技術和宏觀兩方面的力量能夠輕而易舉地迫使它朝著這個方向發展。
Let’s now consider the case where markets still adjust alone, but the adjustment comes not from a higher 10-year Treasury yield, but rather, lower three-month hedging costs.
現在讓我們來考慮一下市場在獨自進行調整的情況，但調整並非來自10年期美國國債收益率的上升，而是三個月對沖成本的下降。
Figure 21 shows that three-month FX hedging costs can be at most 2.00% for FX hedged buyers from Japan and Europe to consider 10-year Treasuries to be attractive relative to government bond yields available locally, given no change in the 10-year yield; the minimum yield limit on the dollar-lending leg of U.S. banks and asset managers that lend dollars for euros and then invest in French government bonds is also the same.
圖21顯示，日本和歐洲的外匯對沖基礎上的美債購買者認為，要讓10年期美國國債相對於本國政府債券的收益率具有吸引力，3個月期的外匯對沖成本最多為2%，假設10年期美國國債收益率沒有變化的前提下；美國銀行和資管公司融出美元置換入歐元，然後投資於法國政府債券的最低收益率限制也是如此。
As noted above, these are maximum hedging costs with no room for error, and so for foreign investors to be back and for U.S. banks and asset managers to structurally stay, hedging costs would have to be below 2.00% – i.e., well below the Fed’s target range.
如上文所述，這是沒有容錯率的最高外匯對沖成本，所以若要吸引外國投資者回歸，且美國銀行和資產管理公司也在結構性地留下，外匯對沖成本必須低於2%；也就是說，遠遠低於美聯儲設定的利率目標區間。
If the Fed doesn’t cut rates, how could hedging costs fall below the Fed’s target range? Through the cross-currency basis going positive.
如果美聯儲不降息，外匯對沖成本怎樣低於美聯儲的利率目標區間？通過交叉貨幣互換基點走正。
There are three distinct flows can push cross-currency bases to go positive this year.
今年有三種截然不同的資金流動可以推動交叉貨幣互換基點走正。
First, foreign portfolio investors’ demand for dollar assets on a hedged basis has peaked, and with less demand for dollars come less negative bases (see part one above). Reduced demand comes from both less foreign inflows into dollar assets on the margin, and foreign investors selling dollar assets and buying back dollar hedges on the margin.
首先，外國證券投資者在對沖外匯風險的基礎上的美元資產需求已經見頂，美元需求減少會導致交叉貨幣互換基點從負值上行（見上文第一部分）。需求減少的原因是邊際上流入美元資產的外資減少，以及外國投資者出售美元資產並從對沖合約中解除。
Second, despite the diminished demand for dollars in the FX swap market on the margin, supply remains robust as lenders of dollars care about spreads over bills, which for some types accounts – namely global banks and foreign central banks – remain significant. This ongoing lending of U.S. dollars in the face of shrinking demand has pushed the core cross-currency bases all the way to zero – with some now trading positive (see Figure 22).
第二，儘管外匯互換市場在邊際上對美元的需求在縮水，但供應依然強勁，因為貸款人關心的是融出美元的利率相比於美國短期國債的利差，而某些類型的賬戶，即全球銀行和外國中央銀行，這部分利差仍然很大。面對需求不斷縮水，美元融出卻很充裕，已使得核心的交叉貨幣互換基點一路被推升至零，一些貨幣對甚至已經為正（見圖22）。
Third, what can tip some bases to trade more positive from here is if the lending of dollars accelerates as U.S. banks and large asset managers lend more in the FX swap market as described above – i.e., if U.S. accounts, like Japanese banks and insurers in recent years, go from lending the local currency, in this case the dollar, on the margin to dumping it and start borrowing euros to buy steeper government curves in Europe and even Japan.
第三，美國銀行和大型資產管理公司在外匯互換市場上發放更多的美元貸款——如上所述——如果美國的投資賬戶，就像日本銀行和保險公司近幾年所做的那樣，從融出本幣到傾銷本幣，在此時傾銷美元，在邊際上拋售美元並借入歐元以觸及更陡峭的政府債券曲線（歐洲和日本），也會使得交叉貨幣互換基點變得更正。
Figure 23 shows how such flows would re-shape the dynamics in the FX swap market. Thus, in 2015-2016 the backdrop was an excess demand for U.S. dollars via FX swaps which banks arbitraged by borrowing U.S. dollars secured and unsecured on the margin.
圖23展示了這種資金流動如何重塑外匯互換市場的動態。因此，2015-2016年的大背景是通過外匯互換轉化的對美元的超額需求，這部分需求通過銀行在邊際上以擔保和無擔保形式融入美元被對沖掉了。
Then, in 2017-2018 the dominant theme was less demand and more lending, and so more balanced flows – a market that increasingly cleared through matched books, where banks did not have to arbitrage as much, which freed up balance sheet for repos.
然後，在2017-2018年，占主導地位的主題是需求減少和美元融出量的增加，以及更平衡的資金流動——這個市場日益通過匹配賬戶清算，銀行不必進行過多的套利活動，從而釋放了自身的資產負債表空間。
Next, 2019 could be the year where U.S. banks and asset managers dumping dollars in the FX swap market to get around the flat Treasury curve tip the market to the point where there is an excess supply of U.S. dollars – the opposite of flows in 2015-2016.
在這之後，2019年的情況則可能是美國銀行和資產管理公司在外匯互換市場拋售美元，以繞開平坦的美債收益率曲線，將市場推至美元供應過剩的水平——與2015-2016年的資金流動狀況相反。
If cross-currency bases go positive, arbitrage trades will be very different.
如果交叉貨幣互換基點為正，套利交易就會大不相同。
Instead of borrowing dollars in the CD and CP markets to lend into the FX swap market on the margin, banks will be borrowing in euro, yen, sterling and Swiss francs and then lend these currencies and borrow the excess U.S. dollars floating in the FX swap market.
銀行將在邊際上借入歐元、日元、英鎊和瑞郎，然後在外匯互換市場中融出置入浮存的過量美元，而不是在CD和CP市場上融出美元然後在邊際上融出這些美元。
Positive cross-currency bases would thus gradually pressure Libor-OIS to trade tighter, and as the borrowers of excess dollars look for places to invest, stressed repo markets and an excess supply of Treasury bills trading above OIS will be natural places to invest.
因此，交叉貨幣互換基點為正將逐步迫使Libor-OIS利差收緊，而隨著過剩美元的借款人尋找投資目標，壓力巨大的回購市場和高於OIS利率的美國短期國債供應過剩將成為投資的天然場所。
30 bps from positive cross-currency bases, 30 bps from a tight Libor-OIS spread and 30 bps from bill yields below OIS as arbitrageurs buy bills to invest excess U.S. dollars – these are the forces that together can easily push hedging costs 100 bps lower this year.
套利者獲取過剩美元以後開始買入短期美債——交叉貨幣互換基點為+30bps，Libor-OIS利差收緊30bps，短期美債低於OIS利率30bps。這些因素相加將會使得對沖成本在今年降低100個基點。
Part IV – Inversion and the Room to Taper
第四部分 - 倒掛與縮表空間
Clearly, markets are able to adjust on their own, and some of these "healing" flows are already in train: cross-currency bases are breaking through the zero line with some trading positive already; three-month U.S. dollar Libor-OIS spreads have come in on the margin; persistent flows from Japan and lately also from the U.S. have been pushing the yield on 10-year French government bonds lower; and large U.K. banks harvesting a positive sterling cross-currency basis have been lending into the stressed repo market in the U.S. as a part of a trade where they soak up excess U.S. dollars in the sterling swap market.
顯然，市場可以自行調整，其中一些“復甦”的資金流動已經啟動：交叉貨幣互換基點正在突破零轉正；三個月期美元Libor-OIS利差也已經逼近零；來自日本和近期美國的持續資金流入，促使法國10年期政府債券的收益率下降；大型英國銀行正在收割正的英鎊交叉貨幣互換基點，作為在英鎊互換市場吸納超額美元資金的交易的一部分，英鎊一直在美國向壓力巨大的回購市場放貸。
Figure 24 shows the constellation of curves when misalignments were at the peak. Figure 25 shows the constellation of curves today – the market is adjusting as we speak. So far so good, but which of the two scenarios will dominate the remainder of the year?
圖24展示了曲線錯位處於峰值水平時的曲線圖景。圖25則展示了當前的一系列曲線，正如我們所說的，市場正在調整。到目前為止，情況還不錯，但兩種情景中的哪一種會主導今年餘下的時間呢？
Of the two macro scenarios discussed above, its better for risk assets and the outlook if hedging costs trade down to 2.0% than if the 10-year Treasury yield trades up to 4.0% – it is better if the curve bull steepens rather than bear steepens relative to hedging costs.
在上述兩個宏觀情景中，如果對沖成本降至2%的情景高於10年期美國國債收益率達到4%的情景，對風險資產和經濟前景更為有利。與對沖成本相比，國債收益率曲線最好是牛陡而非熊陡。
Why a macro investor should care about which of these scenarios will dominate is clear, but should the U.S. government – either the Treasury, or the Fed, or both – also care?
為什麼宏觀投資者應該關注其中哪一種情景會佔據主導地位是顯而易見的，但為什麼美國政府——無論是財政部，還是美聯儲，還是他們兩者都應該對此予以關注呢？
We think the answer is yes.
我們認為答案是肯定的。
First, Treasury should prefer funding strategies that lower the government’s funding costs, and in the current environment issuing fewer bills and more coupons would do just that: it would steepen the curve relative to hedging costs and raise the odds that the curve re-steepens the right way from the perspective of the Treasury – i.e., that the adjustment would come mostly from lower FX hedging costs, rather than higher long-term yields.
首先，財政部應該偏好降低政府融資成本的融資策略，在當前環境下，降低短債發行量、增加長債發行量就能起到這樣的作用：收益率曲線將相當於對沖成本陡峭化，同時收益率曲線陡峭化的路徑也是財政部樂意看到的——也就是說，調整主要來自較低的對沖成本，而不是較高的長期收益率。
Historically, bill yields always traded about 30 bps below OIS, but recently they’ve been trading north of OIS. This is due to the massive supply of bills that was issued in 2018 under the assumption that we still suffer from a bill shortage. This assumption is wrong: the world now suffers from a glut of bills (see here), which contributes to hedging costs being much higher than necessary and the curve being inverted relative to hedging costs. Lower bill yields from less issuance would mean more lending in the FX swap market on the margin, which would help push cross-currency bases trade positive (see above).
從歷史上看，短期國債的收益率總是比OIS低約30個基點，但最近它們一直在OIS以上的範圍內交易。這是由於2018年發行了大量的短期國債，當時我們仍假設短債是稀缺的。而這一假設是錯誤的：世界現在面對著大量的短期國債（參見此處），這使得對沖成本遠遠高於必要水平，美債收益率曲線與對沖成本曲線倒掛。短債收益率因發行量減少而降低，意味著外匯互換市場將在邊際上提供更多的美元貸款，這將有助於推動交叉貨幣互換基點走正（見上文）。
Why the sovereign should shift issuance away from bills toward coupons is thus obvious: if she doesn’t, the flatness of the curve will worsen and funding can get more expensive.
如此一來，為什麼美國財政部應該把發行的債券從短債轉向長債的原因顯而易見：如果她不這樣做，收益率曲線的走平狀況就會惡化，而融資成本也會提高。
Second, the Fed should also care about the flatness of the Treasury curve for it affects how much room it has to taper and how soon it will have to launch an o/n repo facility.
其次，美聯儲還應該關注美國國債收益率曲線的平坦程度，因為它影響到聯儲的縮表空間，以及聯儲啟動隔夜正回購便利的時間有多快。
As discussed in part one of our analysis, primary dealers’ inventories have increased by $200 billion since mid-2018, due to increased federal deficits and taper (see Figure 10).
正如我們在第一部分所討論的，一級交易商的庫存（國債）增加自2018年年中以來已經增加了2000億美元的規模，由於聯邦赤字增加和聯儲縮表（見圖10）。
Most of this increase in dealer inventories was funded by large U.S. banks swapping reserves for o/n repos in HQLA portfolios on the margin, and at rates well north of IOR.
這部分庫存的增加是通過美國的大型銀行在邊際上置出準備金而轉向隔夜回購（作為HQLA組合）導致的，理由是隔夜回購的利率要高於存款準備金利率。
According to their fourth quarter financials, J.P Morgan Chase Bank and Bank of America were the only two banks that lent into dealers’ increased funding needs on the margin, which shows that the repo market currently relies on two banks to clear (see Figure 26).
根據四季報的數據顯示，摩根大通和美國銀行是僅有的兩家在邊際上融出給資金需求增長的交易商的銀行，交易商融資需求增加的幅度表明回購市場目前依賴這兩家銀行進行清算（見圖26）。
This is important to appreciate because it implies that there is a fine balance between the size of primary dealer’s inventories of Treasuries and these two banks reserve balances – once these two banks lose their flexibility to toggle between reserves and o/n repo freely, the repo market could lose its lenders of next-to-last resort, primary dealers would scramble to fund their inventories and o/n rates would drift outside the Fed’s target band.
這一點必須理解，因為它意味著兩者之間有一個絕妙的平衡——一級交易商的國債庫存規模和這兩家銀行的準備金餘額；一旦這兩家銀行失去在準備金與回購之間自由切換的靈活性，回購市場可能會失去其旁側最後貸款人，一級交易商將爭先恐後地為國債庫存融資，而利率將偏離美聯儲的目標區間。
The Fed would have no choice but to suddenly end taper and launch an o/n repo facility – which we believe it doesn’t want to.
美聯儲將別無選擇，只能突然停止縮表，並啟動一項正回購計劃。我們認為聯儲並不想這麼做。
The Fed should thus care about the slope of the curve as it impacts the room to taper.
因此，美聯儲應該關注國債收益率曲線的斜率，因為它影響著聯儲的縮表空間。
A flat curve means no interest in Treasuries, growing inventories, growing repo pressures, and large U.S. banks’ reserve balances being pushed to the limits of their flexibility.
平坦的曲線意味著對美國國債興趣不大、交易商庫存增加、回購壓力增加以及美國大銀行的準備金餘額也被推到了靈活性的極限。
A steep curve means that auctions go well, dealer inventories clear and that pressures in o/n markets – the markets which ultimately determine the room to taper – disappear.
陡峭的曲線意味著國債拍賣會順利進行，交易商庫存收縮，而隔夜市場的壓力——最終決定聯儲縮表空間的市場——則消失不見。
What can the Fed do to maximize the scope of balance sheet taper and delay the launch of a fixed-price, full-allotment o/n repo facility? What a pilot does when a airplane stalls.
美聯儲能做些什麼來最大限度地擴大資產負債表的縮減範圍，並拖延固定價格、全額配隔夜給的正回購便利的啟動？飛機失速時，飛行員會做什麼?
When an airplane stalls you push its nose down…
當一架飛機失速時，你會推下它的機頭；
…so that the airplane goes faster and more air flows over the wings which helps create enough lift for the plane to start flying again. The same with the flow of Treasury collateral.
讓飛機飛得更快，更多的空氣流過機翼，這有助於為飛機重新飛行創造足夠的升力。國債作為抵押品的流通也是一樣。
Like with an airplane in deep stall, the best course of action for the Fed is to push down the nose of the U.S. rates complex – three-month funding rates – and push it down hard.
就像飛機陷入深度失速一樣，美聯儲最好的行動方針是壓低美國貨幣市場的利率——三個月的融資利率，並努力降低利率。
The Fed can do one of three adjustments, in our view:
我們認為，美聯儲可以採取三項調整中的一項：
reverse twist the SOMA portfolio,
對SOMA投資組合進行逆向扭曲操作，
cap the foreign RRP facility, or
限制外國RRP工具的用量，或
cut interest rates.
降息。
First, a reverse twist would steepen the curve and enhance the flow of Treasury collateral similar to the way Treasury issuing fewer bills and more coupons would (see above). Lower bill yields from a reverse twist would mean more lending in the FX swap market on the margin, which would help push cross-currency bases trade positive (see above).
首先，逆向扭曲操作會使得曲線陡峭化，增加國債抵押品的流動性，就像財政部發行更少短債和更多長債那樣（見上文）。逆向扭曲操作將導致短期國債收益率下降，這意味著外匯互換市場在邊際上將出現更多的美元貸款，這將有助於推動交叉貨幣互換基點維持正數（見上文）。
Second, capping the foreign RRP facility would force $250 billion worth of FX reserves currently on deposit at the Fed to flood into the bill market and/or the FX swap market – flows that big would push cross-currency bases go very positive, very fast, which would accelerate the adjustment process we discussed in the previous section (see Figure 27).
其次，限制外國RRP便利工具將迫使目前存於美聯儲的2500億美元外匯儲備湧入短債市場和（或）外匯互換市場。如此大的資金流動將推動交叉貨幣互換基點很快變得很正，這將加快我們在前一節討論的調整進程（見圖27）。
Why the Fed should seriously consider options number one and two if it does not want to cut rates is clear: implicit in our analysis is that whatever force keeps the yield curve flat, from a plumbing perspective, the Fed overdid the hiking cycle by about two or three hikes!
如果美聯儲不想降息，為什麼要認真考慮第一和第二個選項的原因很明確：我們的分析中隱含的意思是，無論什麼力量驅使收益率曲線的平坦，從疏導的角度看，美聯儲的加息週期多加了兩三次！
The nose of the plane got pulled too high. The plane stalled.
飛機的機頭被拉得太高了。飛機失速了。
The plane stalled, because the importance effective funding rates like FX hedging costs and spreads to OIS were ignored – see From Exorbitant Privilege to Existential Trilemma – as was the shift from funding the U.S with price insensitive to price sensitive buyers.
由於像外匯對沖成本和OIS利差這樣的有效融資利率的重要性被忽視——看看我們過往報告所說的；美國的融資從對價格不敏感的資金轉向價格敏感的買家。
To be clear, we are not saying that the amount of rate hikes to date was incorrect – they are wholly consistent with the performance of the economy and the dual mandate.
顯然，我們並不是說迄今為止的加息是不對的，而是完全符合經濟表現和聯儲被授予的雙重使命。
What we’re saying is that from a plumbing perspective, hikes led to an aerodynamic stall: rate hikes pushed hedging costs too high and flattened the Treasury curve too much relative to other core curves. From a plumbing perspective the Fed hiked a little too much.
我們所說的是，從政策疏導的角度看，加息會導致飛機失速：加息推高了對沖成本，並使美國國債收益率曲線相對於其他核心曲線走平了。美聯儲升息過度。
The system is constantly evolving and central banks must evolve too.
這一（貨幣市場）體系在不斷演變，中央銀行也必須不斷演變。
Some of the new things the Fed should consider when setting rates are these very topics. Balancing rate hikes, politics and the dual mandate was never easy, but it was necessary. Balancing taper versus global curve slopes won’t be easy either, but it will be necessary.
美聯儲在確定利率時應該考慮的一些新事物就是這些主題。平衡加息、政治和雙重任務從來都不容易，但這是必要的。同時平衡縮表與全球收益率曲線斜率也不容易，但這是必要的。
Conclusions – The Path of Least Resistance
結論：最小阻力路徑
What will be the most likely path of adjustment?
什麼是最有可能的調整路徑？
Despite the arguments in our analysis as for why Treasury should adjust its approach to debt management and why the Fed should reverse twist and cap the foreign repo facility, we do not expect either Treasury or the Fed to announce any changes on these fronts.
儘管我們的分析中有理由認為財政部應該調整其債務管理方式，以及為什麼美聯儲應該扭轉局面，限制外國RRP工具，但我們並不指望財政部和美聯儲宣佈這些方面的任何變化。
The reason why we do not expect any change from either institution is because bill supply will be down during the first half of 2019, which should drive yields marginally lower, cross-currency bases marginally more positive, and Libor-OIS marginally tighter. Both the Treasury and the Fed are slow-moving institutions that like to wait and see, and they will wait and see how the marginal reduction in bill supply works its way through the system.
我們預計兩家機構不會出現任何變化，原因就在於，2019年上半年，債券供應量將下降，這將使收益率略微降低，交叉貨幣互換基點小幅上升，Libor-OIS略微收緊。財政部和美聯儲都是行動緩慢的機構，它們喜歡等待和觀察，他們將拭目以待，看看債券供給的邊際減少是如何通過金融系統發揮作用的。
This means that during the first half of the year, the bulk of the adjustments will have to come either from higher yields or cross-currency bases to U.S. dollar Libor going positive.
這意味著，今年上半年，大部分調整要麼來自較高的收益率，要麼來自交叉貨幣互換基點和Libor的變化。
Higher yields are unlikely as the global IP cycle will trough during the second quarter, which means the market won’t discount rate hikes and the Fed won’t turn more hawkish before the second half of 2019, in our view (see our House View on interest rates here).
更高的收益率不太可能，因為全球工業生產週期在第二季度將陷入低谷，這意味著市場不會預期聯儲提高利率，美聯儲在2019年下半年之前不會變得更鷹派。
That leaves positive cross-currency bases as the path of least resistance…
這就留下了積極交叉貨幣互換基點作為阻力最小的路徑。
The three-month €/$ cross-currency basis trading positive this year will be a key piece of the puzzle of how the U.S. Treasury curve will re-steepen relative to European curves.
今年三個月的歐元/美元交叉貨幣互換基點為正數，將是圍繞美國國債收益率曲線相對於歐洲收益率曲線將如何再變陡的關鍵一環。
Just as a negative cross-currency basis served as the “equalizer” of global curve slopes when the Treasury curve was the steepest curve globally (see part one of our analysis), a positive basis will serve as the equalizer now that it is curve is the flattest globally.
當美債收益率曲線是全球最陡的曲線（參見我們分析的第一部分）時，負的交叉貨幣互換基點是全球曲線斜率的均衡器。而正的交叉貨幣互換基點也將在美債曲線全球最平時作為均衡器發揮作用。
Positive cross-currency bases are not unicorns…
正的交叉貨幣互換基點不是獨角獸；
…the £/$ basis has been trading positive since 2018 and the Swiss franc/$ basis has recently turned positive too. More and more bases going positive means more issuance in sterling, Swiss franc and euro and less issuance in dollars, which means less pressure on U.S. dollar Libor-OIS spreads. If we are right, and the Treasury curve will re-steepen mostly through cross-currency bases going positive, then U.S. dollar Libor-OIS spreads can go as tight as 10 bps by June, which is 15 bps tighter than what the market expects.
自2018年以來，英鎊/美元交叉貨幣互換基點一直呈正數，而瑞郎/美元交叉貨幣互換基點最近也轉為正數。越來越多的正基點意味著英鎊、瑞郎和歐元（由美元置換）的發行量增加，美元發行量（由其他幣種置換的）減少，這意味著美元Libor-OIS的壓力減小。如果我們是對的，且美國國債收益率曲線將主要通過保持正的交叉貨幣互換基點來重新陡峭化，那麼美元Libor-OIS利差到6月份可能達到10個基點，比市場預期的要低15個基點。
Positive cross-currency bases and tighter Libor-OIS spreads come with lower bill yields as the borrowers of excess supply of dollars in the FX swap market look for a place to invest, much like the borrowers of excess yen and euro looked for places to invest two years ago.
由於外匯互換市場上美元供應過剩的借款人將尋找投資目標，就像兩年前的過剩日元和歐元的（美元）借款人兩年前尋找投資目標一樣，正的交叉貨幣互換基點和緊的Libor-OIS利差將導致著較低的短期美債收益率。
Whether these adjustments will lower hedging costs by the required 100 bps fast enough for primary dealer inventories to clear as Treasury supply gathers pace is the big question.
這些調整是否會以足夠快的速度將對沖成本降低必要的100個基點，使一級交易商的國債存貨能夠在財政部國債供應加快步伐時得以結算，這是一個大問題。
If they don’t, o/n repo rates could continue to trade stressed and the Fed will be forced to end taper early and will soon have to launch a fixed-price, full allotment o/n repo facility.
如果它們不這麼做，回購利率可能會繼續受壓力影響，美聯儲將被迫提前結束縮表，並且將很快啟動固定價格、全額配給的隔夜正回購便利。
If the Fed doesn’t want that, it will have to accelerate these adjustments and push the “nose of the plane down” – either via a reverse twist or by capping the foreign repo pool. Either would push bill yields much lower, cross-currency bases much more positive and Libor-OIS much tighter than before – under this scenario our Libor-OIS target is -5 bps.
如果美聯儲不想這麼做，就必須加速這些調整，並推動飛機機頭向下移動——要麼扭轉局面，要麼限制外國RRP的工具上限。這兩種情況都會使短債收益率比過去低得多，交叉貨幣互換基點變得更正，Libor-OIS的目標比之間緊湊得多。在這種情況下，我們的Libor-OIS目標為-5bps。
Either of these outcomes suggests that after a decade of absence, this is the year when the Fed will become an active lender in o/n repo markets and/or an active buyer of bills.
以上任何一種結果都表明，在經歷了10年的缺位之後，今年美聯儲將成為回購市場中的活躍貸款人和/或短債的活躍買家。
And what a difference a decade makes…
十年會帶來什麼變化？
…we went from a Fed that had to buy Treasuries on the long-end to support risk assets, to a Fed that now has to buy bills on the front-end to support Treasuries on the long end.
過去的聯儲美聯儲不得不購買長期國債以支持風險資產，而美聯儲現在必須購買短期債券，以便支持美國財政部的長期國債。
（End.）
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