持有货币市场一篮子：英镑货币市场——为期限延长付出高溢价

关键论点

• 市场对英国央行过于鹰派，计入了四次以上加息；ING经济学家预计不会加息，并最终降息至3.25%。
• 布伦特油价处于100美元，意味着油价每变动10美元，2年期英国国债收益率约变动15个基点，加剧利率波动，并在曲线远端形成期限风险溢价。
• 中东局势任何升级都会立即推高利率，因此较长期限的英镑敞口内含显著风险溢价。
• 量化紧缩与ILTR需求超80亿英镑可能中期推高流动性成本，但储备充裕意味着流动性不会立即出现实质性重新定价。

对应原文证据

1. As inflation should converge to target by mid-2027, we see scope for the BoE to cut rates towards 3.25%. · 2027
2. Markets are significantly more hawkish than economists Liquidity costs still to rise, but not immediately Even though SONIA rates seem to have stabilised at 2bp below Bank Rate, we still think liquidity could become more expensive in future.
3. Above the £8bn threshold, the Bank of England will charge higher spreads, although the exact calculation is not public.