债市资深人士Bassman:若20年期美债收益率升至6%,“噩梦情景”将出现

格隆汇
Yesterday
广受关注的债券市场波动率指数创始人Harley Bassman表示,芝加哥期货交易所(CBOT)期货的可交割券切换可能是近期利率快速上升的一个推手,因为“大量持有庞大头寸的债券交易员同时试图挤过一道狭窄的流动性之门”。 Bassman在最新一期Convexity Maven报告中表示,如果20年期美债收益率突破6%,将是一个“噩梦情景”,因为这可能引发一次可交割券切换,其影响大致相当于美国财政部在四个月内拍卖1,100亿美元20年期国债。他说,“应该把20年期美债收益率达到6%视为一个正在酝酿的凸性漩涡”。

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