On the eve of the US Treasury's expanded repurchase program, funds flow into long-term US bonds ETF
金十数据
08-20 14:22
Ai Focus
On the eve of the US Treasury Department's expansion of long-term US debt repurchases, ZROZ raised $123 million in a single day, with the market betting on a decline in long-term interest rates.
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在美国长期国债收益率持续走高之际,一笔大额资金提前流入对长端利率极为敏感的美债 ETF。财政部随后上调长期国债回购操作上限,推动长债收益率回落,也让这笔交易迅速成为市场焦点。

ZROZ单日吸金创纪录

Pimco 旗下 25 年以上零息美国国债指数 ETF——ZROZ,周二录得 1.23 亿美元净流入,创下该基金历史最高单日纪录。当天成交量达到 520 万股,接近 2024 年前高的两倍。

ZROZ 主要持有剥离式国债,即将本金和利息拆分后的零息证券。基金有效久期约为 28 年,意味着一旦长期收益率回落,基金净值弹性会明显放大。

财政部公布新措施后,ZROZ 周三上涨 3.2%,创 2024 年 11 月以来最大单日涨幅。不过在通胀和财政赤字担忧持续背景下,该基金年内仍累计下跌 5.4%。

财政部上调回购上限

美国财政部当天表示,将把 10 年期至 30 年期名义付息国债的流动性支持回购单次操作上限至少提高一倍,升至每笔至少 40 亿美元。消息公布后,30 年期美债收益率出现回落。

与约 32.2 万亿美元的美国国债市场相比,这一操作规模并不大,但市场更在意其时点和信号意义。财政部两周前才公布旧券回购计划,如今再次加码,被视为对长端利率上行的直接回应。

机构称难改长期压力

摩根大通认为,这次操作短期内缓解了部分借贷成本压力,但没有触及美国财政面的根本问题。该行指出,长期利率上升背后仍是结构性财政赤字扩大,以及通胀预期走强。

该行还表示,如果财政部更频繁介入市场,可能推高风险溢价,因为这意味着美国国债市场正偏离“定期且可预测”的传统操作原则。渣打也认为,本轮收益率上升更像是市场对财政与通胀前景的重新定价,而非短期失序波动。

多家机构判断,若美国政府不压缩财政赤字,仅靠扩大回购难以持续压低长期收益率。未来几个财政年度,美国仍面临超过 3.5 万亿美元融资缺口,长期债券供给压力并未消失。

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