對債券市場的流動性的擔心並不是什麼新鮮事。很多年來，我們一直在讨論與發佈。但是最近FCA的市場結構的領導人對其發表評論，國際清算銀行的報告，以及新聞媒體發表的引人註目的文章等等都使得流通性成為讨論的熱點。這是一個較好的表現。對於這一點，沒有足夠多的投資者能夠意識到潛在的風險。
這個問題的關鍵是，債券市場以及變成了一個影子銀行系統。原因很明顯：債券可以帶來收益，而銀行或者建房互助協會不會帶來利益。與較低的銀行存款利率不同，投資者一直被可以帶來較高收益的債券基金吸引。在銀行不願放貸的背景下，公司的融資越來越多的轉向債券市場。
投資者參與影子銀行系統的風險被連續20年來利率的下降所掩蓋，而這也促使債券價格的穩步增長。同時，日交易或者像交易所買賣基金一樣的實時交易——助漲了債券可以代替銀行存款賬戶的錯誤觀念。
做市商的撤退
流通性風險隨著金融危機以來投資銀行從做市商撤退而逐漸加劇。做市商銀行所持有的庫存資金通常可以作為緩解市場壓力的“安全網”。在金融危機之前，銀行可以吸收任何條件下的抛售，購買閑置債券並且使他們再流通。這就鑄就了一個更加規範化的市場。但是，為了避免金融危機而制定的“善意”立法帶來了意想不到的後果：它使得投資銀行對大量持有債券越來越缺乏興趣。一旦出現抛售壓力，市場變得無序的風險將會大大增加。
除此之外，做市場承擔風險不再得到補償。紅利已經封頂並且引進了彌補性收入。所以，比起承擔風險，銀行家更願意保住自己的工作。這在降低風險方面或許是值得稱贊的——但是它在創建一個流通市場是毫無作用的。意思是，做市商只會交易那些能輕松賣出的債券。
所以，如果要賣出的話，必須找到相應的買家。並且，他們最終會找到：收益需求不會一夜之間消失。人口仍然不斷地老齡化，這個人口趨勢會不斷地支撐債券價格。利率，即使它有所上升，但是它不會再短期内上升3%。同時，它有可能在短期内遭受重大下滑。
市場數學
債券價格的下滑對長期持有者來說是特別痛苦的。這裡的數學非常重要。如果3年期債券價格下滑5%，收益會上升1.8%左右。顯然，3年期債券收益上升能達到這個幅度是非常吸引人的。對於20年債券來說，債券價格下跌5%將僅僅會增加0.34%的收益。我使用3年期英國國債作為例子，收益將會從0.7%上升到2.5%，差不多是四倍。對於20年國債來說，如果收益從2.2%上升1.8%，那麼國債價格將要下降高達23%。
我很高興這只是數學，但是投資者有時會忘記時間對於回報以及虧損的重要性，尤其是收益率長時間下降的情況下。顯然，現在這還不是一個問題。利率仍然下降，債券收益不斷增長。也不容易預測什麼有可能會引起恐慌。但是流通性問題卻越來越嚴重。大型債券基金占據了一些證券市場的主導地位。
個人發行者通常會有大量不同的表現良好的證券，他們手中持有的很多證券交易量小。英鎊市場尤其如此，大概50%的資產被少數幾家的投資公司所擁有。意識是說，這些債券通常在内部交易——同一資金經理將債券從一家基金公司轉移到另外一家。所以，二級流通非常有限，價格發現機制不起作用。
如果用於購買這類債券這些資金被大量贖回，那麼久會出現抛售潮，而這些債券將很難有下家。這進一步增加了債券價格的下行壓力。
戰略性應對
如何減少投資對我們資金的潛在影響？首先，密切地關註持有時間。擁有短期債券是最有力的保證。持有短期債券組合，可以給你源源不斷地帶來現金流。我們可以將收益再投資，如果恰逢投資者贖回投資，我們也可以用其支付。更重要的是，資金流可以讓我們免於因為市場價格錯估產生的抛售風險。
Should Investors Be Worried About Bond Market Liquidity?
Worries about liquidity in the bond market are nothing new. We have been talking – and writing – about them for a number of years. But recent comments by the FCA’s head of market infrastructure, a report from the Bank for International Settlements and high-profile articles in the national press have made liquidity a topical issue. This is a welcome development. To this point, not enough investors have been aware of the potential risks.
The crux of the matter is that the bond market has become a shadow banking system. The reason is obvious: bonds give a yield, whereas banks and building societies don’t. Rather than holding cash deposits yielding next to nothing, investors have been lured into buying bond funds. With banks reluctant to lend, companies have increasingly turned to the bond market for funding instead.
The risks that investors are taking by participating in this shadow banking system have been disguised by 20 years of falling interest rates, which have driven bond prices steadily higher. Meanwhile, daily dealing – or real-time dealing in the case of ETFs – has encouraged a mistaken belief that bond funds can be treated as a higher-yield alternative to a deposit account.
The Retreat of the Market Makers
The liquidity risk is compounded by the retreat of investment banks from market making since the financial crisis. The inventory that banks held as market makers used to act as a ‘safety net’ during periods of market stress. Before the financial crisis, banks could absorb any forced selling, buying unwanted bonds and recycling them. This created a more orderly market. But well-meaning legislation designed to prevent a repeat of financial crisis has had unintended consequences. It has made holding inventories of bonds less attractive to investment banks. This increases the risk of a disorderly market should selling pressure arise.
On top of this, market makers are no longer being paid to take on risk. Bonuses have been capped and clawbacks introduced. That means bankers are being incentivized to keep their jobs rather than to take risks. This may be laudable from the point of view of reducing risk – but it is absolutely no help in creating a liquid market. It means market makers will only take bonds onto their own book if they know they can get rid of them again.
So, when selling comes through, alternative buyers will need to be found. And, eventually, they will: the need for yield won’t disappear overnight. The population is still ageing and this demographic trend will continue to support bond prices. Interest rates, even if they go up somewhat, aren’t likely to rise to 3% any time soon. But there could be significant disruption in the short term.
The Maths of the Market
That disruption could be particularly painful for holders of longer-dated bonds. The maths here is important. If a 3-year bond falls in price by 5%, the yield rises by around 1.8%. Obviously, a 3-year bond which has risen in yield to that degree is very attractive. For a 20-year bond, a 5% fall in price increases the yield by just 0.34%. I have used 3-year gilts as an example, so the yield would rise from 0.7% to 2.5% - almost four times. For a 20-year bond yield with a starting yield of 2.2% to rise by 1.8%, the bond would have fallen in price by over 23%.
I appreciate this is just maths, but sometimes investors forget the importance of duration to returns and losses, particularly after a long period of falling yields.
Clearly, this isn’t an issue today. Interest rates are still falling and bond markets are making gains. And it isn’t easy to predict what might cause a panic. But the liquidity problem is getting worse rather than better. Large bond funds dominate the market for some securities.
Individual issuers often have a large number of different securities outstanding, many of which will be thinly traded. That is particularly the case in the sterling market, where around 50% of the assets are owned by a handful of investment companies. This means that trading in these bonds is often done internally – ownership passing from one fund to another within the same asset manager. So the secondary liquidity of any issue is minimal and the price discovery mechanism doesn’t work.
If these funds receive significant redemption requests and become forced sellers, there won’t be many alternative homes for some bond issues. That would put further downward pressure on prices.
A Strategic Response
How do we minimize the potential impact on our fund? First, paying close attention to duration. Owning shorter-dated bonds is the most powerful insurance there is. Having a portfolio of generally shorter-dated bonds also gives us a steady stream of cash flow as they mature. We can re-invest this cash or, if investors in our fund happen to be redeeming their units at the same time, use it to pay them. Importantly, this cash flow insures us against the risk of becoming a forced seller should there be a market dislocation of some sort.
本文翻譯由兄弟財經提供，文章來源：http://www.morningstar.co.uk/uk/news/136909/should-investors-be-worried-about-bond-market-liquidity.aspx