高盛：解读美国国债收益率的走势

Investment Rating - The report does not explicitly provide an investment rating for the industry but discusses expectations for the Treasury curve and market conditions, indicating a cautious outlook given rising recession risks and market volatility [3][6][24]. Core Insights - The report highlights a breakdown in the typical relationship between Treasury yields and risk assets during risk-off periods, with Treasuries exhibiting relative weakness despite broader risk-off sentiment [2][5]. - A significant factor contributing to the current market dynamics is the recalibration of fiscal risks, particularly in light of potential recession scenarios and legislative developments [10][23]. - The report emphasizes the fragility of the rates market, with deteriorating market depth and price impact measures, suggesting a need for close monitoring of funding conditions and Treasury auction performances [5][24][22]. Summary by Sections Market Dynamics - Recent volatility in the Treasury market is attributed to a mix of cyclical risks and shifts in the perceived supply/demand balance for Treasuries, exacerbated by positioning and thinner market liquidity [5][7]. - The current Treasury convenience yield has decreased sharply, indicating a relative cheapening of Treasuries compared to other forms of duration [10][14]. Economic Outlook - The report forecasts a steepening of the 2s10s Treasury curve towards 70 basis points by year-end, with historical precedents suggesting potential steepening above 100-150 basis points during prior recessions [3][6]. - The intersection of growth downside and inflation upside risks poses challenges for Treasuries' hedge value in portfolio settings, complicating the investment landscape [23][24]. Foreign Selling Concerns - While there are concerns about potential foreign selling of dollar assets, the report suggests that recent market movements do not clearly indicate this dynamic, with more focus on broader demand weakness [18][22]. - The report notes that shifts in the mix of reserve assets could pose medium-term risks for supply absorption, warranting attention to Treasury auction outcomes [22][24]. Portfolio Implications - The evolving role of Treasuries in investment portfolios is highlighted, with competing forces between growth and inflation impacting their value as a hedge [23][24]. - The report suggests that a sharp deterioration in market function could increase the likelihood of a Federal Reserve response to support market stability [24][26].