בפוסט הקודם שלי, ציינתי שאחד מגורמי הביקוש לאג”ח אירופאי עם ריבית שלילית מגיע, למרבה ההפתעה, ממשקיעים אמריקאים. בפוסט הקצר הזה אסביר כיצד אותם משקיעים מצליחים, באמצעות הנדסה פיננסית, להשיג מהאג”ח האירופאי תשואה גבוהה יותר מזו שמציע אג”ח ארה”ב.
הדבר הראשון שצריך להבין הוא שקיים הבדל בין שער ההמרה הנוכחי של היורו והדולר ושער ההמרה העתידי שלהם (Forward Exchange Rate).
לדוגמה, אם כדי לקבל 100 יורו בהווה אתם צריכים לשלם 110 דולר, כדי להבטיח את זכותכם לקבל 100 יורו בעוד שנה תצטרכו לקנות חוזה עתידי על היורו, שיעלה לכם 113 דולר (כ-3% יותר).
על פניו זה נשמע כמו עסקה גרועה, אבל אם אתם עסק אירופאי שחשוף לסיכון מט”ח משמעותי – יתכן שזאת עלות שתבחרו לספוג. מבלי להיכנס לפרטים, הסיבה המרכזית לפער שקיים בין שער ההמרה בהווה לשער ההמרה העתידי הוא ההפרש בין הריבית בארה”ב והריבית באירופה.
המצב הזה מאפשר למשקיעים אמריקאים לקנות, לדוגמה, אג”ח צרפת בריבית של מינוס 0.25, לגזור את אותם שלושה אחוזים על ידי מכירת חוזה עתידי כנגד היורו שמגיע להם מממשלת צרפת, ולהישאר עם תשואה דולרית של 2.75%, שהיא גבוהה מזו של אג”ח ארה”ב.
הגרף למטה מציג את התשואה על אג”ח של מדינות שונות אחרי גידור מטבע. כפי שניתן לראות, משקיעים אמריקאים יכולים ליהנות מתשואות דולריות סולידיות על אג”ח אירופאי בריבית שלילית. מנגד, התשואה ביורו על אג”ח ארה”ב אחרי גידור מט”ח היא כמעט מינוס 1, כך שהמשקיע האירופאי הסולידי – שלא רוצה להיחשף לסיכון מטבע על ידי קניה לא מגודרת של אג”ח ארה”ב – נותר “תקוע” עם האג”ח האירופאי השלילי.
כמובן שכל האופרציה הזאת מתאפשרת בעיקר בזכות הפרשי הריבית בין ארה”ב לאירופה. אם הבנק המרכזי בארה”ב יוריד את הריבית, הפרמיה העתידית של הדולר מול היורו עשויה להצטמצם או להימחק, והאלכימיה הפיננסית הזאת כבר לא תתאפשר.
מי שמעוניין בהסבר מעמיק יותר (באנגלית) מוזמן להמשיך לטור בפורבס שעוסק בנושא.
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