海外宏观及大类资产周度报告-20260111

Report Industry Investment Rating No relevant content provided. Core Views of the Report - Employment trend in the US is weakening but may be emerging from the worst period. The non - farm payroll increase in December was lower than expected, but the unemployment rate and wage growth were better than expected. Some employment indicators in December showed a rebound [11][13]. - The expected Q1环比 rebound in the US economy is being realized. The US economic surprise index has rebounded recently, and the retail sales data in January is expected to show growth [14][16]. - Inflation expectations have significantly rebounded. Attention should be paid to the CPI data reading. The release of December CPI data is affected by government shutdown, and the geopolitical situation in Iran has affected oil prices and inflation expectations [17][19]. - Attention should be paid to the tariff policy framework changes brought by the IEEPA ruling. If the US Supreme Court rules IEEPA unconstitutional, it may involve a $150 billion tariff refund and cause short - term tariff policy chaos [20][23]. - In FICC precious metals, the gold - silver ratio is returning. Gold has regained momentum, and silver should be wary of fluctuations. Geopolitical risks have increased the upward drive of gold, while the conditions for silver to continue to rise are becoming more demanding [24][26]. Summary by Relevant Catalogs 1. Fixed Income - Overseas Fixed Income Weekly Performance - Various US Treasury yields had different weekly changes. For example, the 3 - month US Treasury yield was 3.59% with a - 2.06bp change, and the 2 - year US Treasury yield was 3.53% with a 5.88bp change. Major developed country government bond yields also changed, such as the 10 - year German bond yield at 2.86% with a - 3.7bp change [41][42]. - US Treasury Yield Curve and Credit Spread Tracking - The US Treasury yield curve showed changes over 1 - month, 3 - month, and 6 - month periods, and the long - short spread of US Treasury yields was also tracked [49]. - Relative Strength of Different - Rated Credit Bonds and Eurozone Bond Yields - The relative strength of high - yield and Aaa - rated credit bonds was analyzed, along with the credit spreads between different - rated bonds [58][60]. - US Treasury Issuance and Primary - Secondary Market Supply - Demand Indicators - The issuance of US short - term Treasury bills, medium - and long - term Treasury bonds, and related subscription ratios were presented [71][73]. 2. Exchange Rate Market - Global Major Exchange Rates Weekly Performance - The US dollar index, euro, yen, and other major exchange rates had different weekly changes. For example, the US dollar index had a 0.72% change to 99.1330, and the euro had a - 0.70% change to 1.1637 [76][78]. - Major Country Treasury Yield Spreads with US Treasuries - The spreads between 10 - year US Treasuries and G7 countries' average yields, as well as the spreads between US and German 2 - year Treasury yields, were shown [79][80]. - Evolution of China's Monetary Policy Framework - China's "interest rate corridor" is formed with the 7 - day reverse repurchase in the inter - bank market as the "policy rate", SLF as the top, and the excess reserve ratio as the bottom. Traditional policy tools rely on MLF as the policy - guiding rate [88]. - Monthly and High - Frequency Indicators of RMB Exchange Rate - Monthly indicators include China's central bank gold and foreign exchange reserves, and high - frequency indicators include the spreads between Chinese and US 10 - year and 3 - month Treasury yields [93][101]. 3. Commodities - Global Major Commodities Weekly Performance - Various commodities such as Shanghai gold, Shanghai copper, and Brent crude oil had different weekly changes. For example, Shanghai gold had a 2.96% change, and Brent crude oil had a 4.09% change [119][121]. - Commodity Ratios and Industry Chain Relative Strength - Ratios such as the gold - silver ratio, gold - copper ratio, and their relationships with inflation expectations and US Treasury yield spreads were analyzed [123][124]. - Commodity Price Mapping in Equity and Bond Markets - The relative strength of commodities with global equity and bond indices, and the rolling correlation between upstream commodities and downstream equity cycle sectors were studied [131][134]. - Macro Commodity High - Frequency Data - Data such as OPEC+ crude oil production quotas, US energy department crude oil production, and global crude oil and copper inventories were presented [141][143]. 4. Overseas Equity - Global Major Indices and US Stock Industry Weekly Performance - Global major indices such as the S&P 500, Nasdaq Composite, and their weekly changes were reported. In the US stock market, different sectors of the S&P index also had different weekly performances [146][150]. - Weekly US Stock Style Performance, Valuation, and Earnings Tracking - Different US stock style sectors such as US large - cap growth and US small - cap value had different weekly changes. Valuations and earnings (EPS) of major indices were also analyzed [153][157]. - Earnings Cycle Positioning - Quarterly EPS YoY Trends of Major Indices - The quarterly EPS YoY trends of indices such as the S&P 500, Nasdaq, and Nikkei 225 were shown [164][165]. - Volatility and Risk Sentiment Indicators - Indicators such as the Chicago S&P Volatility VIX index, ICE Bond Volatility MOVE index, and CBOE option PUT/CALL ratio were presented [171][172]. 5. Cryptocurrency - BTC, ETH, and Related Derivative Assets - The relationships between Bitcoin, Ethereum, gold, and the US dollar, as well as the performance of major Bitcoin ETFs and their fund flows were studied [184][187]. 6. BOJ Post - YCC Era - Yen Carry Trade System Market High - Frequency Data Tracking - Data such as the net amount of Japanese investors' purchases of overseas bonds and stocks, USDJPY 1 - year exchange - rate hedging costs, and yen net positions of CFTC CME yen hedge funds and asset management institutions were presented [192][194]. 7. Macro Data Hologram and Fundamental High - Frequency Data - Real - Time Economic Momentum - Real - time GDP models, GDP components, and sector economic surprise indices of the US, as well as economic surprise indices of the US, Europe, and China were presented [202][206]. - Financial Conditions - The Federal Reserve's balance sheet and its weekly changes, G4 central banks' balance sheets as a percentage of GDP, and US and euro - area financial condition indices were analyzed [210][213]. - Fiscal Policy - US federal government fiscal expenditures and revenues, government debt issuance, and the government deficit as a percentage of GDP were studied [218][223]. - Employment Market - US employment market indicators such as non - farm payroll monthly increases, job vacancies, and weekly unemployment claims were tracked [227][228]. - Inflation Indicators - US inflation data was split, and trends of headline and core inflation, as well as inflation expectations, were analyzed [235][240]. - Consumption Demand - US consumption data such as retail sales, consumer confidence, personal income, and household debt were studied [244][259]. - Cycle Positioning - Industrial, manufacturing, and inventory cycle indicators, as well as US wholesale, retail, and manufacturing inventory and inventory - to - sales ratios were analyzed [267][277]. - Credit Cycle - US credit surveys, S&P index valuations, and high - yield corporate credit spreads were presented [280][282]. - Transportation and Logistics - Logistics data between China and the US, Asia and the US, Europe and the US, as well as aviation, supply - chain, and shipping data were studied [284][297]. - Real Estate Market - US real estate equity market, credit spreads, and commercial real estate data such as indices, loan amounts, and delinquency rates were presented [302][308]. - Eurozone - Eurozone macro - overview, cycle positioning, and relative strength data such as deficit rates, inflation, and economic surprise indices were analyzed [311][331].