见闻交易日记 | Fuss Over 0.45(这点儿调整就恐慌了?)
2017-12-06 13:46
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这个栏目是华尔街见闻“宏观交易日记”,来自一位交易员每天悉心整理的交易日志,每天2分钟回顾全球最值得关注的交易事件。全球央 行最新动向、大类资产市场波动、重大金融市场事件提醒、推特重点信息监控等等全部收入囊中,帮助你在海量资讯中筛选最有价值的交易信息,从细节嗅到未来全 球市场动向的蛛丝马迹。

逢交易日每日必更,订阅此栏目请点击作者栏“关注”,宏观交易员的交易日记即可第一时间送达。本文为作者个人观点,不代表华尔街见闻立场,也不代表作者所在单位立场。

2017年12月6日,星期三,晴,空气质量良

摘要:隔夜美国经济数据不佳,基本金属开始调整以及美股中科技类公司股票继续下降对税改反应,造成一定risk-off成分,ust曲线走平,但这次是在买盘推动下。维持基本判断不变,密切关注usdjpy走向。

欧洲方面,围绕英国和欧盟究竟能否达成脱欧妥协,导致英镑汇率上下波动。其中还间杂着北爱尔兰和腐国关于脱欧后北爱尔兰与EU关系问题,苏格兰也不失时机地站出来说要是有那么个协议,俺们苏格兰也得有权享受云云。市场似乎把迅速达成脱欧第一阶段谈判当成一个腐国利好,这几天sterling波动皆是由此而来。最新消息是May取消了原定今天与容克的会谈。但是所有这些在我看来,没有区别嘛?脱欧怎么着都不是好事。欧洲也没啥好消息,经济数据方面也就PMI终值,算是符合预期;零售-1.1%mom vs -0.7%。美国开门之前,市场还是朝着trump trade方向缓慢发展。ust和egb都在遭受抛售,收益率稳步走高。随着美国时间越来越近,慢慢有点儿不对劲儿了。期货市场的大买单频频出现,从8点开始,FVH和TYZ的大单不停冒出来,带动ust利率下行,欧洲股市似乎也松了口气,由红翻绿。

美国时段刚开始,铜价就一头栽下去,带动industrial metal整体下行。札记之前一直强调,全球manu PMI拐头(现在是欧洲和德国继续上升,美国拐头,中国反弹),很明显在losing momentum,谨防大宗调整。果然这就来了,基本金属之王copper的近端合约一度跌了300usd(下面这个图应该是综合PMI的,3D叠加多数据来源和着色,画图功力了得,但看大宗,一定要看manu的)。今早袋鼠国逊于预期,也算是大宗市场的一个现实反应。经济数据也不给力,9:30的贸易余额-48.7bn vs -47.5bn,11点的ism non-manu57.4 vs 59,相当有分量的新单、供给商发货以及就业都下降明显,拖累整体指标。接近午夜时分,Atlanta Fed的GDPNow调降Q4从3.5%到3.2%。午夜之后,indu和spx双双开展调整。一度让市场有了risk-off的气氛。现在看ust曲线就是一路绝尘的牛平,2s10s达到54bp,5s30s达到60bp。利息支出扣减不得超过收入的30%是这版税改法案的一个突出点,也是近期科技股开始调整的一个重要原因,再一个参议院的税改方案将保留20%的替代性最低税(AMT),这将让公司无法享受与知识产权、新设备支出和研发相关的税务减免。而在众议院的税改版本中,AMT将被彻底废除。如果20%AMT被保留,科技公司将受到最大的冲击。这事儿在昨晚出现了缓和。两位关键的GOP参议院Hatch和Portman表示了取消AMT的意愿。要知道只是到最后一刻,参议院版本的税改出于减少财政赤字的目的才加上了取消AMT的条款,这样下周两院开始的再协商(reconcile)就有了余地。

关于美国政府关门方面,仍旧是一个“who will take the blame"的游戏,Dem要价是特赦70w非法移民并为obamacare筹资,而GOP中的保守派要价是加大军事开支。而GOP高层似乎更愿意等阿拉巴马州的参议员选举结果(12日!),众院GOP领导人将原定于今晚的一个短期免关门(contunuing resolution,简称CR)投票推迟到了周四。如果通过,关门时限可以推迟两周,下一次讨论12月底,或者明年1月初了。其他方面,美国政府已经正式通知阿拉伯国家领导人,明年有可能将美国驻以色列大使馆移至耶路撒冷。看来搅合中东,提振美国能源工业,不得不是美国的既定国策啊。再就是美国参议院银行委员会以22-1票通过Powell的下一届Fed主席任命,下面很快就是参议院全院的投票了,估计问题不大。

现在看这个税改实在是出人意料。市场反应虽然很温和,但是从交易结构看,影响还是比较深远。实事求是的说,前天10yr ust没跌反涨让我很意外。好在昨天10yr从亚洲时段开始就慢慢向2.40回归。随着市场对税改的期望堆积,我感觉很快就要考验2.45了(虽然后面美股调整让市场有了risk-off的气氛导致TY再次下行)。以前的札记说过,现在的行情有点儿类似5月下旬到7月底,那会儿就是TY易下难上。事后看,那个时候行情的两大主因,一是中投陆续买了100bn的美债,二是日本投资者也在美国债券市场大举买入。但是他们撤出的时候,TY上得速度也不慢。正所谓仓位决定观点。这波从公开的新闻报道中可以得知是日本投资者又在买入了,11月28日USDJPY触及110.81的低点后逐波反弹,距离他们上一次撤出的114还有段距离。再一个,本周美朝正在联合军演,阵势还相当大,合计230架飞机。可能在一定程度上对TY收益率形成上方压力.有兴趣的同学可以找找今天《吉林日报》,好好看看。这些数字经由国家经济分析局认可的周与周之间相对价格指数作为调整,不过今天刚看到Ray Dalio的一篇文章(详见附注),详细分析了post-rax cut的情景,感觉市场正在以调整对税改定价。以前关注的是美股中成长股和价值股正在开始产生分歧——意外发现有家大house不辞辛苦,做了两个指数,分别是美股当中高税率和低税率股票的收益指数,也就是这两天,这两者走势差异化明显,这反应出之前市场对周五税改能否通过参院准备不足——现在看,税改的影响还真是深远。总之,我的基本判断就是,税改是有利于经济增长,年内通过概率很大。美国目前调整还算健康,usdjpy回到114附近的时候小心债市,关注股市。0.45是隔夜indu的下降幅度,所以今天札记题目啥意思很明了了。

 

昨天下午央行金融研究局局长Guofeng Sun同志的讲话,在市场引起了不小的波动,总结起来有这么几点,一个是央行不应该仅仅影响短期利率,更应该影响长期利率;二是美联储的缩表政策致力于提振长期利率,而加息则致力于防范金融风险;三是广大EM也应该开始货币政策的正常化;四是新的货币政策的框架正在形成,央行的使命正在演化中(过去怎么说怎么做不算数啦,要有变化);五是控制杠杆率必须考虑宏观审慎原则和货币政策之间的协调;六是货币政策需要保持可信度,以维持金融稳定性,总结起来就一句话,降准降息别做梦啦,有可能要加息!对于央妈的传声筒,根据以往的经验,最有代表性的应该是gang yi,这次sun同学出来不知道是几个意思。我觉得比较靠谱。11月23日,10yr破4以来刚好了不到两周的债券基金经理的吃饭行情这就算是要结束了呀。关于局长Sun这方面解读请看QQ总今天出的债券日报!同时,关于央妈的传声筒,虽然我以前比较相信的是gang fan——两次官方默许人民币汇率走贬之前,碰巧都是他出来表达了类似的观点——但这次觉得sun也是非同小可啊!毕竟下周二三FOMC就要开会,现在看加息是板上钉钉的事情。而下周,中央经济工作会议大概率也要召开,继续推进去杠杆和供给侧改革,明年GDP增长目标下调到6.5%?很可能啊,毕竟实现2020比2010翻番的工作目标,未来三年6.3就够了。 

ps:这个冬天中资美元债券基金的经理人日子不好过,听说有机构要拿投资经理撒气。其实根儿在投资总监及以上啊,让你丫挺的不看ust曲线!现在蒙古国债反而成热门货了。乌鲁木齐高新投资公司要发债,能bid多少呢。俄罗斯被禁明年来张家口参赛了,今年咱们赶紧去吧!雪上飞啊!yeah!

 

附录:Ray Dalio新鲜出炉的一篇文章,我觉得很有深度(最近有中文媒体说Dem代表独角兽公司利益,GOP代表能源类公司利益,因而GOP上台必然导致美元走弱。雷得我内焦外嫩,赶紧看篇桥水的压压惊。从本文看,在香港就业去美国消费,当世一大爽啊)

Watch Out for the Effects of Tax Reform on Tax Migration, the Fiscal Conditions of Affected States and Cities, and Polarity in America 关于税改对美国受影响州和城市以及极性的影响

While we have talked a lot about the effects of growing wealth and opportunity disparities in America, we haven’t talked enough about the tax migration that is taking place because of growing differences in state and local tax rates. This tax migration issue is especially important to focus on now because of the expected elimination (under the new tax legislation) of the deductibility of state and local taxes (SALT) against federal income taxes.

当我们谈论美国持续恶化的财富和机遇不均衡的现象时,我们尚未对不同州和城市之间因税率不同而导致的税收迁移。这个问题因为目前税改法案牵扯到州和市税收(SALT)抵扣问题的取消而尤为重要。

The dynamic that I’m referring to is the inevitable and self-reinforcing process in which those high SALT locations that a) have big disparities in income and fiscal shortfalls and b) can neither cut their financial supports to the “have-nots” (because their conditions are already unacceptably low) nor raise taxes on the “haves” (because they will move due to tax rates) suffer from tax migration. Of course, those low SALT locations with the opposite circumstances benefit from this migration.

我指的是那些高salt的州和市会存在这么一个不可避免又是正反馈的过程,a)这些地方收入不均衡显著且有巨大的财务缺口;b)对于穷人没有征税空间,而对富人加税则会因为税收迁移变得不现实。当然,那些低salt的地方则会从中受益。

The dynamic works as follows. As state and local tax rates and debts rise because there are shortfalls that can’t be narrowed, it is financially smart for high income taxpayers to escape these taxes and debt burdens by moving to lower tax and less indebted locations, so they do. As they do, property values decline, further raising the costs of staying in the high SALT location. In other words, the financial cost of being in one of those high tax locations equals the tax rate difference plus the property value decline, which can be substantial. Also, the reduced population of higher income and higher spending folks leads to reduced spending in these locations, which further depresses the high SALT economies. Also, the fiscal conditions of these locations suffer. Because both the remaining high income and low income folks are increasingly stressed and tend to blame the other, tensions rise, which makes these environments even more inhospitable, which further contributes to high income earners’ emigration. Realizing this, other locations increasingly appeal to the “haves” by offering tax incentives and creating environments in which they are more comfortable living with other “haves.” For these reasons, this “hollowing out” dynamic is self-reinforcing. Of course, the reverse is true in states that attack these rich tax migrants. This dynamic causes even greater polarity. Because the rich and the poor typically have different values, which are also reflected in different laws and different politics, it probably will make the polarity greater and conflicts even more intractable.

这个过程是这样的。当州和市税率和负债率因财务缺口难以弥补而提高的时候,对于那些高收入的纳税者在财务上选择迁移到低税率和低负债率的地区就是合理选择,他们也的确是这么做的。而当他们这么做的时候,当地的房产在贬值(财产损失?译者),这就进一步提高了继续待在高SALT地区的总成本。换言之,待在高SALT地区的财务成本等于税率的差加上房产贬值,这就有可能相当可观。同时,高收入高消费人口的流失将进一步压迫高SALT地区的经济。当地的财政状况也会相应恶化。这样,留下的高收入者和低收入者受压之下,之间就会相会指责,导致地区气氛紧张,而这将会进一步促使高收入者迁移。认识到这一点,其他地方将会更加积极对这些富有人群伸出税收橄榄枝,引来他们扎堆儿而来其乐融融住在一起。因此,这种”中空化“是一个自我加强的正反馈过程。当然,在这些州存在着对这类富有的纳税移民的供给也是切实存在。因为穷人和富人价值观不一样,必然反应在法律和政治层面,这将使得极性更加突出,使得冲突更加难以避免。

It appears to us that the expected new tax law that eliminates the state and local deductions against one’s federal income taxes will significantly contribute to this dynamic. Consider the fact that this change in SALT deductibility is one of the largest increased sources of revenue in the tax bill, accounting for nearly $1 trillion in new taxes over the next 10 years. In other words, it is expected that those people who stay in high tax states will pay nearly $1 trillion more to stay there. Of course, these changed rates will prompt more people in high SALT locations to consider moving. To the extent they do move, it would increasingly lead to more prosperous states that are occupied by, and cater to, more rich people and more depressed states that are occupied by, and cater to, more poor people, and increased polarity between them.

目前看新税法取消了州和市纳税抵扣的做法将会显著加强这个正反馈。考虑到税改可能在未来10年内增加的1万亿美金的财政赤字,这个取消可是收入扩容的重要举措。换句话说,这就意味着这些待在高SALT的富有人群需要从兜里掏1万亿美金出来补窟窿。当然,这种实际税率的改变将导致更多的高SALT的人考虑迁移。在极端条件下,这将导致富有的州将充满也更适合富有人群,那些萧条州则会被穷人占满也更适合他们,两者分化更加严重。

While we are talking about the tax migration, we see such location cost arbitrage motivated migrations happen all the time, so we should be well acquainted with them. For example, in New York City we saw migration from the Upper East Side to Downtown and then to Brooklyn brought about by cost arbitrages. Every area in the world has this sort of cost and desirability motivated migration going on constantly. Cost differences drive migrations that change the characters and costs of neighborhoods and happen in self-reinforcing ways until the cost differences change to make the newly hot neighborhoods expensive and other areas relatively cheap, so the immigration shifts to emigration.

就在我们谈论税收迁移的时候,其实这种纳税激励的迁移每时每刻都在发生,我们肯定都不陌生。例如,在纽约我们就看到人们出于成本节省从上东区(就在中央公园和大都会博物馆附近,old money!)迁到下城区再到布鲁克林区。世界上各个地方都存在着这种成本驱动的迁移。这种节省成本为出发点的迁移会导致邻里特征和成本的改变,且因正反馈过程不断加强,直到新的热门地区居住变得昂贵而又有其他相对便宜的地区出现以后,迁入改变为迁出。

Estimating the Impact of Cutting the SALT Deductions(SALT取消的影响估计)

We played around with the numbers to get a feel for the directions and the impacts of this, and we show our scratch pad estimates below. We will first show our very rough estimates of the impact of ending deductibility on state tax revenues and migration patterns. 

First, to summarize, we estimate that:

我们收集数据来研判这种改变的方向和影响,我们的估算过程列在后面。我们将首先展示我们的终止纳税减免和人口迁移模式的粗略估算。首先,概括而言,我们是这么估计的:

  • Ending SALT deductibility will result in a sizable increase in the effective tax rate faced by high earners in high tax states (3-5% for most making over $500,000), notable outbound migration of high income filers (we estimate 1-2.5% will leave for most states we looked at), and a hit to state tax revenues (around 1%). In our opinion, these numbers understate the impacts, especially for the highest taxpayers (who pay the most taxes), because it is the nominal level of dollars of increased taxes that matters more than percentages, and we don’t fully account for all the second- and third-order consequences previously mentioned. In terms of economic impact, we estimate that it is the present value of all future year tax differences (and other costs such as declining real estate values) that is the best gauge of the cost of staying, and these are very big numbers. As I just noted, the effects on property values and living conditions are not properly considered in our estimates. Already, without the SALT deductibility changes, some higher SALT states are experiencing notable outbound migration (shown further below), which is straining tax revenues and risks the strengthening of a downward spiral where states adjust by cutting spending/raising taxes, which encourages even more people to leave.

洲市的税务减免将导致那些居住在高税率州的高收入者有效税率显著提高,还会导致高收入者的迁移(我们估计大部分受关注州将会有1-2.5%的人口迁出)以及州税收收入的减少(约1%)。在我们看来,这些数字还是低估了这些效应,尤其是对那些税收的主要承担者,因为税收的绝对值比相对值更加重要,我们并没有完全考虑第二和第三层级的后果。就经济影响而言,将未来几年的税务差别(以及固定资产的差异)贴现为现值留在高税率州生活成本的最好度量。这些数字很大,正如我刚才提到那样,对于固定资产价值的影响和居住条件的影响,并没有被我们的估计考虑到。但是在尚未有税收减免取消的情况下,有些高税率周已经在经历的很显著的人口外迁,这正在压制的税收收入增长,并加强了向下的死亡螺旋的可能,即这些周会通过削减开支提高税率来应对,而这将导致更多的人口离开。

  • Still, the table below conveys a rough picture of where the vulnerabilities lie. It shows a) the existing marginal tax rate, b) the effective tax rate with the deduction, c) the effective increase in the tax rate due to the elimination of the deduction, d) that increase relative to the US average and e) relative to states they are likely to emigrate to (e.g., their neighbors), f) the estimated medium-term size of the migration as a percent of the high earning population,* g) the estimated number of high earners leaving, h) the lost tax revenue to the state, and i) that lost tax revenue relative to the total tax revenue of the state. To be clear, these are VERY IMPRECISE ESTIMATES. 

下图表明这些州的脆弱性都存在什么地方?a列是存量的边际税率,b列是在扣减条件下的有效税率,c列是在不可扣减条件下的有效税率,d列是相比于美国平均水平的增加值,e列是相对于他们有可能迁移到那些州的增加值,f列是中期来看,有可能迁移人口占高端收入的占比,g列是估计的迁移高收入人群的数量,h列是可能失去的州税收,i列是可能失去的这部分税收的占比。务必要强调的是,这都是粗略的估计。

 

We looked at a number of factors to come up with our rough estimates, so we will show you some. 

我们多角度开展了这个估算,如下:

While the previous table looks at the impact of migration on state budgets, below we show a simpler cut: our rough estimates of how relative incomes between states will change when people in high tax states get a greater tax increase than people in low tax states. The chart on the left shows the absolute levels in real per capita earnings by state versus the national average before and after the tax change. These numbers are adjusted by what the Bureau of Economic Analysis believes about relative price levels between states (trying to get at some measure of competitiveness). The chart on the right shows the net shift that occurs with the tax change. As you can see, states with both higher than average incomes and higher than average taxes (especially New York, Connecticut, New Jersey, and California) are most vulnerable by this measure.

上面这个图表明了人口迁移对于州预算的影响,下面有一个更简单的图,表明高税率州的人们相对于低税率州的人更大规模加税之后,收入是如何相对变化的?下图左边部分表明的是单位资本的收入水平相对于全国平均水平在税改前嗯前后的绝对值。这些数字经国家经济分析局认可的州与州之间相对价格指数作为调整。右半部分为税改前后的净效果。正如你所见,那些同时具有高于平均水平的收入和税率的州(尤其是纽约,康尼迪克,新泽西和加利福尼)对于这个新的税法是最脆弱。

The vulnerability of a state to tax emigration is also affected by tax revenue being concentrated in the hands of those high income earners who are most affected by the changes. This concentration is shown below for the states with the highest income taxes. 

这些州对税收迁移的脆弱性还体现在纳税结构中易受影响的高收入者占比很高(如下图)。

For these states, the high earning taxpayers are a very small proportion of the population—from 0.5% of households in Vermont to 1.7% in DC and Connecticut. That means that it would take only a tiny percentage of the population to move to have a devastating effect on the state’s finances. Clearly, all of these states are very vulnerable.

对于这些州而言,高收入的纳税人人口占比很小,vermont只有0.5%,dc和connecticut最多只有1.7%。这就意味着很小的一点儿人口变化就可能导致这些州财务状况的巨大改变。

 

The next two tables show the states where people have been leaving fastest from and going fastest to, and a number of influences on these movements, such as economic conditions and the tax burden. 

下面两图列明人们离开和到达的那些州,以及数个因这种行为而导致的经济状况和税务负担的变化。

As you can see, everything points toward states like New York, Connecticut, New Jersey, California, and Illinois being the most vulnerable, and states like Florida, Texas, Nevada, Washington, and Arizona benefiting the most from this shift. Our look at these states’ finances and their muni bond markets will follow in the next few days. 

你也能看到,所有的分析都指出纽约,康尼迪克,新泽西,加利福尼亚和伊利诺伊是最易遭受这种困境,而佛罗里达,德克萨斯,内华达,华盛顿和亚利桑那州则是受益的。我们认为未来几天这些州的金融和市政债将会如此反应(已经反应啦!)

 

P.S.As for the effects of the budget changes, below we show where the money is expected to come from and where it is expected to go.

ps:考虑到政府预算的变化,下图我们列出了税改的增加项目估算结果:

 

So, our big picture perspective is that, on the margin, the tax law changes are going to be significant and bad for high SALT locations and good for low SALT locations, and are going to be good for businesses and business owners (and hopefully those who the money trickles down to), so those businesses in low SALT states will get a double whammy benefit.  

那么,我们认为从边际效果看,税法的改变对于高salt的地方弊端很大,而对于低salt的地方益处良多,也会对商业和商业主(希望是那些能够直接从税改中受益的群体)产生良性影响,这样,低SALT的地方的商业就会双倍受益。

 

近期重要时间点:

12月8日,美国政府关门考验——可能要推迟到年底或明年初了

12月12日,阿拉巴马州参议院选举结果揭晓

12月13-14日,FOMC

12月15日,陈世峰杀死江歌一案宣判

12月21日,西班牙加泰罗尼亚地方选举

12月内,中央经济工作会议

2018年1月30日,Trump国情咨文

2018年2月3日,新任Fed主席Powell就职

2018年3月18日,俄罗斯总统大选

2018早些时候,Trump访英

2018年7月,墨西哥总统大选

 

附注:昨夜今晨推

 

1207  01:48  Yesterday, I was thrilled to be with so many WONDERFUL friends, in Utah’s MAGNIFICENT Capitol. It was my honor to sign two Presidential Proclamations that will modify the national monuments designations of both Bears Ears and Grand Staircase Escalante... https://t.co/jiTHcPovCi https://t.co/dIpdAUVoRB

应该是出于能源战略的角度出发,Trump近期宣布了将犹他州的一个国家纪念公园大幅缩减面积的决定。

1206  07:18  Join me this Friday in Pensacola, Florida at the Pensacola Bay Center! Tickets: https://t.co/zA7SGgWqBE https://t.co/QzFdxQdgAL

 

只要您有干货观点或文章,欢迎投稿入驻华尔街见闻名家专栏,联系邮箱:zhuanlan@wallstreetcn.com

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