策略 | 2023年8月17日 建银国际证券 2 随着美联储加息周期步入尾声，市场的一致看法再次转向乐观。有关经济软着陆和“完美的通胀减缓”的论调达到了年初以来的最高水平。 在过去的几个月里，我们看到市场情绪明显好转，债务上限僵局得到解决，美国经济持续保持韧性，再次引发了更多关于经济软着陆和“完美的通胀减缓”的讨论。市场一致认为，本轮美联储加息周期已经结束，降息周期将于 2024 年年初到年中之间开始，但不会引发经济衰退。 这导致市场再一次在某种程度上忽视了信贷风险。CDS 指数在 8 月初达到了加息周期开始以来的最低水平，高收益率利差也是如此。从历史上看，高收益利差往往会在加息周期之后或降息周期的早期阶段飙升。 在5月份的报告（(《美国信贷紧缩 - 潜在风险和影响》)）中，我们探讨了信贷风险背后的共同主题，以及历史上信贷紧缩是如何影响市场的。本报告将讨论近期信贷动态和主要信贷指标的更新，以及我们坚持认为未来几个月信贷风险值得关注的原因。 近期一些事态发展暗示市场，信贷风险危机尚存。  自加息周期开始以来，我们看到债务水平逐渐上升，利率负担加重，破产申请增多。  近期信用评级下调提醒人们，市场持续存在信用风险。  监管机构提出了加强银行的议案。这既说明了对现有规则的担忧，也可能影响未来几年的银行活动。  小银行从特别项目中借款、资产负债表减值、盈利疲软以及在吸引和维持存款方面的挣扎表明困难依然存在。 短期内，美国政府债券面临的诸多不利因素可能会将收益率推向周期高点。这将提高市场利率，恶化银行的未实现亏损。  债券的发行量高企可能会对债券市场的流动性造成压力。  央行干预外汇的几率上升（日本或中国的风险最高），可能会加剧美国国债的短期供需失衡。 在这些事态发展中，我们看到贷款条件指标在过去几个月中继续收紧。  包括资深核贷人员意见调查报告和小企业调查在内的调查数据显示，银行收紧了贷款条件。  贷款质量可能已达到转折点，不良贷款率和拖欠贷款已触底反弹。10 月份学生贷款恢复偿还可能会在第四季度增加压力。 因此，未来几个月需要再融资的借款人将面临利率大幅提高、银行贷款意愿降低和经济放缓的三重打击。 不可避免的是，其中一些借款人将无法找到合适的解决方案来满足他们的融资需求，不良贷款很可能会增加。在这种情况下，我们预计会出现 "向优质资产出逃 "的现象，这也是我们更看好美国政府债券中期前景的理由之一。 在下半年展望中（《2023年下半年全球策略展望和资产配置：光辉闪烁，未必是金》），我们讨论了两个短期的可能趋势： 1）随着过度乐观情绪的正常化和典型的第三季度季节性疲软的出现，美国股市将先扬后抑；2）在债券发行量高企的情况下，美国债券将面临短期阻力，但这很可能是一个有利的积累窗口。 这两种趋势目前似乎都在发生，我们很可能在短期内看到债券的积累窗口。 现在的关键问题是，“从完美的通胀减缓到经济软着陆”的说法能否实现。在信贷风险恶化之前，央行能否声称恢复健康通胀的任务已经完成？随着大宗商品价格的反弹和高于预期的 PPI 抵消了小于预期的 CPI 反弹，这个问题的答案还远未明朗。 然而，由于市场在很大程度上对这一乐观前景进行了定价，而且股票与债券相比仍处于 20 多年来最昂贵的水平之一，我们仍然认为美国股市面临下行风险，而美国债券则面临上行风险。 全球策略 美国信贷风险 — 是雨过天晴，还是如履薄冰？ 宋林 (852) 3911 8267 lynnsong@ccbintl.com 姜越 (852) 3911 8243 verajiang@ccbintl.com 赵文利 (852) 3911 8279 cliffzhao@ccbintl.com STRATEGY | 17 August 2023 CCBI SECURITIES 3 Analyst certifications: The author(s) of this document, hereby declare that: (i) all of the views expressed in this document accurately reflect his/her personal views about any and all of the subject securities or issuers and were prepared in an independent manner; (ii) no part of any of his/her compensation was, is, or will be directly or indirectly related to the specific recommendations or views expressed in this document; and (iii) he/she receives no insider information/non-public price-sensitive information in relation to the subject securities or issuers which may influence the recommendations made by him. The author(s) of this document further confirm that (i) neither he/she nor his/her respective associate(s) (as defined in the Code of Conduct for Persons Licensed by or Registered with the Securities and Futures Commission issued by the Hong Kong Securities and Futures Commission) has dealt in/traded or will deal in /trade the securities covered in this document in a manner contrary to his/her outstanding recommendation, or neither he/she nor his/her respective associate(s) has dealt in or traded in the securities covered in this document within 30 calendar days prior to the date of issue of this document or will so deal in or trade such securities within 3 business days after the date of issue of this document; (ii) neither he/she nor his/her respective associate(s) serves as an officer of any of the companies covered in this document; and (iii) neither he/she nor his/her respective associate(s) has any financial interests in the securities covered in this document. Disclaimers: This document is prepared by CCB International Securities Limited. CCB International Securities Limited is a wholly-owned subsidiary of CCB International (Holdings) Limited (“CCBIH”) and China Construction Bank Corporation (“CCB”). Information herein has been obtained from sources believed to be reliable but CCB International Securities Limited, its affiliates and/or subsidiaries (collectively “CCBIS”) do not guarantee, represent and warrant (either express or implied) its completeness or accuracy or appropriateness for any purpose or any person whatsoever. Opinions and estimates constitute our judgment as of the date of this document and are subject to change without notice. CCBIS seeks to update its research as appropriate, but various regulations may prevent it from doing so. Besides certain industry reports published on a periodic basis, the large majority of reports are published at irregular intervals as appropriate according to the analyst's judgment. Forecasts, projections and valuations are inherently speculative in nature and may be based on a number of contingencies. Readers should not regard the inclusion of any forecasts, projections and valuations in this document as a representation or warranty by or on behalf of CCBIS that these forecasts, projections or valuations or their underlying assumptions will be achieved. Investment involves risk and past performance is not indicative of future results. Information in this document is not intended to constitute or be construed as legal, financial, accounting, business, investment, tax or any professional advice for any prospective investors and should