长期限美债收益率全线飙升! “期限溢价”自2021年来首次“转正”

Long-term US Treasury yields have soared across the board! The “term premium” was “regularized” for the first time since 2021

Zhitong Finance ·  09/27 11:45

The Zhitong Finance App learned that an indicator reflecting the additional income obtained by bond investors from holding long-term debt showed a positive value for the first time since June 2021, showing a sharp rise in US Treasury bond yields for longer periods (usually referring to terms of 10 years or more).

The Federal Reserve Bank of New York's 10-year premium index turned positive on Monday, and for most of the past seven years, this indicator has been negative. The indicator measures the gap between US Treasury yields and short-term interest rate expectations.

The US yield curve has become steeper just as the market expects the Fed to end its interest rate hike cycle. The 10-year US Treasury yield has broken through 4.5% for the first time since 2007. The rise in the supply of US Treasury bonds has fueled this trend, funding the widespread government deficit.

Jean Boivin, a former Bank of Canada official and current head of the BlackRock Investment Research Institute, said: “In the US, the risk of long-term premium increases is higher due to fiscal policy reasons. The risk of holding long-term bonds is also higher.”

The 10-year US Treasury yield, which has the title of “anchor of global asset pricing,” continued to reach a new high since November 2007. This largely reflects the US government shutdown crisis, the expectation that the size of the federal government deficit will continue to expand, and suggests that interest rate cuts are expected to cool down sharply. Instead, it is expected that US interest rate levels will remain high for a long time.

The 10-year US Treasury yield once appreciated by around 4.56% this week, continuing to reach a new high since October 2007. The yield on 30-year US Treasury bonds rose to 4.70% once this week, the highest level since 2011.

Boivin, research director from BlackRock, believes that the US government shutdown may bring additional price increases to short-term US Treasury bonds because investors use them as temporary safe havens, but from a long-term perspective, the risk of US bond prices going down is very high, which means that yields may continue to reach a phased high point. He expects investors to stimulate long-term US bonds to respond to high interest rate risks through sell-offs, which will further boost US bond yields.

“However, the fiscal risks may be quite worrying for investors, and the 'term premium' will inevitably increase over time,” he said. He is referring to the additional high yield that investors usually require to hold long-term securities. “A very simple truth: if an investor is worried about America's long-term fiscal prospects, you won't buy long-term US Treasury bonds.”

The premium fell to a historic low of -1.67% in 2020, partly because falling inflation made investors happy with lower long-term yields. Since 2016, term premiums have also been constrained by the Federal Reserve as one of its monetary policy tools — increased efforts to buy government bonds.

The indicator returned to a positive value within a few months in 2021, when an optimistic economic outlook contributed to higher long-term yields. Subsequently, term premiums were eroded as expectations of US interest rate hikes beginning in March 2022 drove up short-term yields (versus long-term yields).

In the current US Treasury bond market, rising yields on inflation-protected securities and nominal securities suggest that the demand for more compensation stems not from inflation expectations, but from changes in risk-free interest rates brought about by economic conditions and increased debt supply.

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