债券月报 | 美联储降息预期推迟，收益率曲线熊陡变牛陡？

Core Insights - The article discusses the anticipated delay of the Federal Reserve's interest rate cuts to Q4 2025, indicating a potential shift in the yield curve from a "bear steepening" to a "bull steepening" phase as market participants adjust their expectations for inflation and economic growth [3][10]. Group 1: Interest Rate Expectations - The market now expects the Federal Reserve to initiate rate cuts in Q4 2025, aligning with the company's assessment that rates could drop below 3% once the easing cycle begins [7]. - Current market pricing suggests a terminal rate of 3.35%, which is higher than the company's estimated reasonable rate of 2.75% [7]. - There is a 20% probability that the Federal Reserve will lower rates to below 2.25% by the end of 2026, based on risk-neutral distribution models [7]. Group 2: Yield Curve Dynamics - The yield curve is currently experiencing a "bear steepening" phase, with short-term rates stable while long-term rates rise due to supply pressures and concerns over fiscal sustainability [3][10]. - The 30-year U.S. Treasury yield is approaching a technical resistance level of 5%, which may provide temporary support for long-term rates, limiting further upward movement [3]. Group 3: Credit Market Insights - The credit spread of Chinese dollar-denominated bonds is influenced by U.S.-China trade tensions, with recent fluctuations reflecting market sensitivity to policy signals [11][12]. - The Peterson Institute reports that the average tariff on U.S. exports to China has risen to 126.5%, impacting the credit spread dynamics [12]. - Recent policy directions from China's central government aim to stimulate consumption and stabilize the real estate market, which may enhance risk appetite and affect credit spreads [14]. Group 4: Asset-Backed Securities - Major U.S. banks are showing caution in their demand for agency MBS, with a notable reduction in holdings as they navigate interest rate risks [19]. - The issuance of floating-rate and short-duration CMO securities has surged, indicating a defensive positioning by banks in a rate-sensitive environment [19]. - There is a growing preference for GNMA securities among banks due to their favorable capital treatment, despite expectations of regulatory changes [21].