这个问题的关键是，债券市场以及变成了一个影子银行系统。原因很明显：债券可以带来收益，而银行或者建房互助协会不会带来利益。与较低的银行存款利率不同，投资者一直被可以带来较高收益的债券基金吸引。在银行不愿放贷的背景下，公司的融资越来越多的转向债券市场。

 

投资者参与影子银行系统的风险被连续20年来利率的下降所掩盖，而这也促使债券价格的稳步增长。同时，日交易或者像交易所买卖基金一样的实时交易——助涨了债券可以代替银行存款账户的错误观念。

 

做市商的撤退

 

流通性风险随着金融危机以来投资银行从做市商撤退而逐渐加剧。做市商银行所持有的库存资金通常可以作为缓解市场压力的“安全网”。在金融危机之前，银行可以吸收任何条件下的抛售，购买闲置债券并且使他们再流通。这就铸就了一个更加规范化的市场。但是，为了避免金融危机而制定的“善意”立法带来了意想不到的后果：它使得投资银行对大量持有债券越来越缺乏兴趣。一旦出现抛售压力，市场变得无序的风险将会大大增加。

 

除此之外，做市场承担风险不再得到补偿。红利已经封顶并且引进了弥补性收入。所以，比起承担风险，银行家更愿意保住自己的工作。这在降低风险方面或许是值得称赞的——但是它在创建一个流通市场是毫无作用的。意思是，做市商只会交易那些能轻松卖出的债券。

 

所以，如果要卖出的话，必须找到相应的买家。并且，他们最终会找到：收益需求不会一夜之间消失。人口仍然不断地老龄化，这个人口趋势会不断地支撑债券价格。利率，即使它有所上升，但是它不会再短期内上升3%。同时，它有可能在短期内遭受重大下滑。

 

市场数学

 

债券价格的下滑对长期持有者来说是特别痛苦的。这里的数学非常重要。如果3年期债券价格下滑5%，收益会上升1.8%左右。显然，3年期债券收益上升能达到这个幅度是非常吸引人的。对于20年债券来说，债券价格下跌5%将仅仅会增加0.34%的收益。我使用3年期英国国债作为例子，收益将会从0.7%上升到2.5%，差不多是四倍。对于20年国债来说，如果收益从2.2%上升1.8%，那么国债价格将要下降高达23%。

 

我很高兴这只是数学，但是投资者有时会忘记时间对于回报以及亏损的重要性，尤其是收益率长时间下降的情况下。显然，现在这还不是一个问题。利率仍然下降，债券收益不断增长。也不容易预测什么有可能会引起恐慌。但是流通性问题却越来越严重。大型债券基金占据了一些证券市场的主导地位。

 

个人发行者通常会有大量不同的表现良好的证券，他们手中持有的很多证券交易量小。英镑市场尤其如此，大概50%的资产被少数几家的投资公司所拥有。意识是说，这些债券通常在内部交易——同一资金经理将债券从一家基金公司转移到另外一家。所以，二级流通非常有限，价格发现机制不起作用。

 

如果用于购买这类债券这些资金被大量赎回，那么久会出现抛售潮，而这些债券将很难有下家。这进一步增加了债券价格的下行压力。

 

战略性应对

 

如何减少投资对我们资金的潜在影响？首先，密切地关注持有时间。拥有短期债券是最有力的保证。持有短期债券组合，可以给你源源不断地带来现金流。我们可以将收益再投资，如果恰逢投资者赎回投资，我们也可以用其支付。更重要的是，资金流可以让我们免于因为市场价格错估产生的抛售风险。

 

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.

 

本文翻译由兄弟财经提供，文章来源：http://www.morningstar.co.uk/uk/news/136909/should-investors-be-worried-about-bond-market-liquidity.aspx