利差交易

东京基金经理和分析师称，日本散户和机构投资者近日无视市场对于全球日元利差交易（carrytrade）一直在平仓的担忧，依然将资金投向海外。

Japanese retail and institutional investors have continued to put money overseas in recent days , defying concerns that the global yen carry trade has been unwinding , according to fund managers and analysts in Tokyo .

国际货币基金组织（imf）上月表示，有强大的证据显示，日本国内投资者正在进行某种利差交易他们在未对冲的情况下买进外国债券，来支持日元计价的债务。

The International Monetary Fund said last month there was strong evidence that Japanese domestic investors were conducting a form of carry trade by purchasing foreign bonds to support yen-denominated liabilities on an unhedged basis .

美元已成为利差交易的主要融资货币，因为美联储（fed）一直维持利率不变，并预计将长期不作调整。

The US dollar has become the major funding currency of carry trades as the Fed has kept interest rates on hold and is expected to do so for a long time .

投资者认为，上述言论是承认瑞银一直利用其资产负债表来进行利差交易，即利用廉价资金投资于实际上风险颇高的高收益AAA级证券。

Investors took the comment as an admission that UBS had been using its balance sheet to run a carry trade using cheap money to invest in high-yielding triple-A securities that were in reality highly risky .

花旗策略师理查德科奇诺斯（RichardCochinos）表示，从今年4月初开始外汇储备增长加速，正好是投资者开始将投资组合转向利差交易（尤其是新兴亚洲国家货币的交易）的时候。

Richard Cochinos , strategist at Citi , says reserve growth accelerated from the start of April – just as investors began to switch their portfolios into carry trades , especially in emerging Asia .

美国推出第三轮定量宽松货币政策（qe3）的预期降温，再加上市场预测欧洲央行（ecb）将进一步降息，这些因素正促使全球投资者把欧元用作利差交易的融资货币。

Reduced expectations of a third round of quantitative easing of monetary policy in the US combined with predictions that the European Central Bank will cut interest rates further are leading global investors to use the euro as a funding currency for carry trades .

这些利差交易进而可能会促使欧元贬值。

In turn such carry trades can spur a fall in the euro .

更有可能的是，这是由于从其他地方撤出借贷利差交易的结果。

More likely , it was the consequence of unwinding leveraged bets elsewhere .

为何这类利差交易会平仓？

Why will these carry trades unravel ?

然而，只有在利差交易旺盛之时，这种势头才很可能持续下去。

However , this dynamic is likely to last only as long as the carry trade thrives .

当投资者将利差交易平仓，撤出风险资产时，日元通常会走强。

The Japanese currency normally strengthens as investors unwind carry trades and back away from risky assets .

分析师和决策者抱怨，利差交易已使日元降到非自然的低水平。

The carry trade , analysts and policymakers complained , had driven the yen to unnaturally low levels .

尽管在中国和美国之间从事利差交易看起来似乎很容易赚钱，但这种交易有可能玩砸。

And while the China-to-U.S. carry trade may seem like easy money , there are ways it can go bad .

美国这种不计后果的政策助长了这类利差交易，迫使其它国家仿效其宽松的货币政策。

The reckless US policy that is feeding these carry trades is forcing other countries to follow its easy monetary policy .

但是，利差交易持续的时间越长、规模越大，同时资产泡沫变得越大，那么随后资产泡沫破裂的规模也就越大。

But the longer and bigger the carry trades and the larger the asset bubble , the bigger will be the ensuing asset bubble crash .

但助长这轮资产泡沫的一个更重要的因素，是由所有利差交易之源动力造成的美元疲软。

But a more important factor fuelling this asset bubble is the weakness of the US dollar , driven by the mother of all carry trades .

外汇投机者正押注于新兴市场货币将在年底反弹，因疲弱美元重新引燃了收益率较高货币的利差交易。

Currency speculators are betting on an end-of-year rally in emerging markets , as the weak dollar fuels a revival of carry trades in higher yielding currencies .

如果全球决策者没有意识到这点，那么泡沫可能会通过源自美国和其它利率极低且货币疲软的国家的利差交易而扩大。

If global policymakers do not realise this , bubbles are likely to proliferate through carry trade from the US and other countries with minimal interest rates and weak currencies .

这些国家一直都是全球利差交易的受益者，在这种交易中，投资者出售美元等收益率较低的资产，在其它地区寻找收益率更高的资产。

All have been beneficiaries of a global carry trade , in which investors sell lower-yielding assets , such as the dollar , in their search for higher yields elsewhere .

虽然交易成本限制了投资者的交易规模，利差交易还是具有可与股票相比的可观收益。

Carry-trade strategies would have brought substantial profits , not far short of stockmarket returns , although dealing costs would have limited the size of the bets traders could make .

交易员借入欧元投资全球资产的行为正在增多，银行称，这一转变标志着外汇市场上的利差交易开始复苏。

The borrowing of euros by traders to invest in global assets is rising in a shift that banks say marks the start of a revival of so-called carry trade in currency markets .

不管是哪种情况，利差交易泡沫都将恶化：如果不实施外汇干预，并且外币又在升值，那么利差交易的负借款成本将变成一个绝对值更高的负值。

Either way , the carry trade bubble will get worse : if there is no forex intervention and foreign currencies appreciate , the negative borrowing cost of the carry trade becomes more negative .

利差交易可能导致未来汇率波动，这在1998年10月曾有先例。当时，对冲基金对俄罗斯金融危机做出反应，纷纷了结利差交易头寸，导致日元对美元汇率急剧下挫。

The potential of the carry trade as a source of future exchange rate volatility has brought back memories of October 1998 when the yen collapsed against the dollar as hedge funds unwound carry trades in response to the Russian financial crisis .

我们来总结一下吧：交易员正以-20%的利率借入资金，并以很高的杠杆投资于众多高风险全球资产由于流动性过剩和大规模利差交易，这些资产的价格正在上涨。

Let us sum up : traders are borrowing at negative 20 per cent rates to invest on a highly leveraged basis on a mass of risky global assets that are rising in price due to excess liquidity and a massive carry trade .

交易员表示，欧元今年迄今是表现最差的主要货币，而澳元和墨西哥比索等受益于风险偏好上升的货币则位于表现最佳货币之列，利差交易就是原因之一。

Traders say this is one reason why the euro has been the worst performing major currency this year , while currencies that benefit from an improvement in risk appetite including the Australian dollar and the Mexican peso are among the best performers .

因此，对所有利差交易和高杠杆全球资产泡沫的源动力而言，美联储的零利率、定量宽松政策以及大规模购买长期债务工具的综合效应，似乎正在令世界变得安全起来（目前来看如此）。

So the combined effect of the Fed policy of a zero Fed funds rate , quantitative easing and massive purchase of long-term debt instruments is seemingly making the world safe for now for the mother of all carry trades and mother of all highly leveraged global asset bubbles .