米国債格下げのトレーディングフロントへの影響

DEBT CEILING: Some Quick Thoughts From Goldman's Head Of US Treasury Trading
(Business Insider, 7/27/11)

ゴールドマンの米国債トレードヘッド　Beth Hammockのメモから。具体的なbpsの数値はともかくとして、期待される動きとしては、きわめて全うな内容。

「米国債がAAにおちると、GSEは即時の格下げ圧力、米国債には徐々に海外の持分減少でドル安方向に引導、米企業および米銀への格付けネガティブ影響。格下げ直後は、短期エンドにリスクオフのトレードで30bpsラリー、5年をピボタルポイントにして、長期エンドは20－30bpsのセルオフ。エージェンシー債はワイドニング圧力、だが買いは入ると見込まれ。最終的には、米国債のイールド全体が25－50bpsの持ち上げ、長期アンダーパフォーム。エージェンシー債およびMBSは5－20bpsワイドニング。」

（先日、MHJ本館のほうに、BACのCFOが米国債格下げに「備えて」いるという話を書きましたが、BACの描くシナリオもこれと似たようなシナリオでトレード損益と自己資本のシミュレーションやってるのでは、と想像します。）

* This is looking like the most likely outcome at this point as both proposals look to get us here. Impact of downgrade will likely be a risk off trade immediately perversely benefitting the front end of the US rates markets, with deeper impacts felt over time as investors may look to diversify away from US dollar investments. On a US downgrade we are likely to see a downgrade of GSEs, exchanges, defeased munis/MBS and possibly some banks. This may also mean an increase in haircuts on US Treasuries (even more significant then CME's Monday announcement) - this may drive collateral calls and a need for more short dated paper. I do not think we will see immediate selling of USTs by either 2a7 funds or other money managers as Treasuries are generally held as their own asset class independent of ratings. However, over time, a AA US sovereign could mean reduction in foreign interest in US debt, weaker US dollar, as well as rescaling of ratings of US corporates and banks (See S&P report "The implications of the US Debt Ceiling Standoff for Global Financial Institutions" dated July 21, 2011).

* Immediate move: UST front end rallies to 30bps, long end sells off 20-30bps with 5yr notes being the pivot point. Agencies and MBS will feel immediate widening pressure, but will likely find strong buyers at recent wides.

* Longer term move: Yields in the US shift up25-50 bps over time, with the back end underperforming. Agencies and MBS 5-20bps cheaper.