国债收益率
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大类资产早报-20250609
Yong An Qi Huo· 2025-06-09 05:14
| | | 研究中心宏观团队 2025/06/09 | | 全 球 资 产 市 场 表 现 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 主要经济体10年期国债收益率 | | | | | | | | | | | 美国 | 英国 | 法国 | 德国 | 意大利 | 西班牙 | 瑞士 | 希腊 | | 2025/06/06 | 4.508 | 4.643 | 3.244 | 2.573 | 3.500 | 3.151 | 0.327 | 3.269 | | 最新变化 | 0.115 | 0.028 | -0.007 | -0.006 | -0.025 | -0.006 | 0.056 | -0.028 | | 一周变化 | 0.088 | -0.004 | 0.068 | 0.067 | 0.012 | 0.042 | 0.000 | 0.039 | | 一月变化 | 0.128 | 0.099 | 0.006 | 0.041 | -0.082 | -0.023 | 0.074 | -0.063 | | 一年变化 ...
稳定币与安全资产价格
一瑜中的· 2025-06-09 00:27
Core Insights - The rapid growth of stablecoins and the introduction of regulations such as Hong Kong's Stablecoin Regulation and the US GENIUS Act have made stablecoins a focal point in the market [2][11] - The impact of stablecoin flows on short-term US Treasury yields is significant, with a net inflow of $3.5 billion leading to a decrease in 3-month Treasury yields by approximately 2-2.5 basis points within 10 days [2][6] - Conversely, outflows have a more pronounced effect, with a $3.5 billion outflow resulting in an increase of about 6-8 basis points in yields [2][6] - The influence of stablecoin flows is primarily concentrated in the short end of the yield curve, particularly affecting 3-month Treasury yields, while having minimal spillover effects on 2-year and 5-year yields [2][6] - Continued rapid expansion of the stablecoin market could significantly depress short-term Treasury yields, potentially disrupting the effectiveness of the Federal Reserve's monetary policy transmission [2][7] Group 1: Stablecoins and Safe Asset Prices - The total asset management scale of dollar stablecoins exceeded $200 billion by March 2025, surpassing the holdings of major foreign investors like China in short-term US securities [4][12] - Stablecoin issuers, particularly Tether (USDT) and Circle (USDC), support their tokens primarily through US Treasury bills and money market instruments, making them key players in the short-term debt market [4][12] - In 2024, dollar stablecoins purchased nearly $40 billion in US Treasury bills, comparable to the largest government money market funds in the US [4][12] Group 2: Data and Methodology - The research utilized daily frequency data from January 2021 to March 2025, sourced from various platforms including CoinMarketCap and Yahoo Finance [5][16] - The study focused on the 3-month Treasury yield as the primary variable, employing a simple univariate local projection model to analyze the impact of stablecoin flows [5][23] Group 3: Empirical Research on Stablecoin Flows - The empirical results indicate that a total inflow of $3.5 billion in stablecoins correlates with a decrease of approximately 2.5 basis points in the 3-month Treasury yield within 10 days, and up to 5 basis points within 20 days [6][35] - The contributions of different stablecoin issuers to yield changes were analyzed, with USDT accounting for approximately -1.54 basis points (70% of the total impact) and USDC contributing about 19% [6][38] Group 4: Discussion and Policy Implications - The potential for stablecoin market expansion to compress short-term Treasury yields raises concerns about the Federal Reserve's control over short-term interest rates [7][40] - The transparency of reserves is crucial, with USDC's disclosures being more transparent compared to USDT, highlighting the need for standardized reporting to mitigate systemic risks [7][41] - The strong demand for Treasuries from stablecoins may exacerbate the "safe asset scarcity" issue faced by non-bank financial institutions, affecting liquidity premiums [8][40]
走在债市曲线之前系列（四）：递推法下机构久期全解析
Changjiang Securities· 2025-06-07 13:13
[Table_Title] 递推法下机构久期全解析 固定收益丨深度报告 ——走在债市曲线之前系列（四） %% %% %% %% research.95579.com 1 丨证券研究报告丨 报告要点 [Table_Summary] 基于优化后的递推法，本文构建了六类金融机构久期测算体系，该方法相较于传统重仓加权法 和回归法在普适性、更新频率及敏感性方面更具优势，能够有效跟踪机构久期变化。研究发现 各机构久期分化显著，久期排序为：保险>券商自营>农商行>债基>理财>货基，久期分化背后 反映的是各机构配债思路和风格的显著区别。部分机构久期的变动与收益率走势密切相关，基 金和券商自营久期在提前 2 期时与 10Y 国债收益率的相关性最强，具有一定前瞻性，我们据此 构建了 10Y 国债择时策略，回测表明发出买入信号后 3 日的胜率达 62.87%。 分析师及联系人 [Table_Author] 赵增辉 赖逸儒 SAC：S0490524080003 SAC：S0490524120005 SFC：BVN394 SFC：BVZ968 请阅读最后评级说明和重要声明 2 / 21 %% %% %% %% research.955 ...
周五（6月6日）纽约尾盘，美国10年期基准国债收益率上涨11.50个基点，报4.5056%，本周累计上涨10.52个基点，整体交投于4.3101%-4.5116%区间，周三至周五呈现出U形反转。两年期美债收益率涨11.64个基点，报4.0365%，北京时间19:41打破日内稍早持稳于3.92%平盘下方的状态，20:30发布美国非农就业报告后显著走高，本周累涨13.90个基点，交投于3.8252%-4.0407%区间。
news flash· 2025-06-06 21:22
周五（6月6日）纽约尾盘，美国10年期基准国债收益率上涨11.50个基点，报4.5056%，本周累计上涨 10.52个基点，整体交投于4.3101%-4.5116%区间，周三至周五呈现出U形反转。 两年期美债收益率涨11.64个基点，报4.0365%，北京时间19:41打破日内稍早持稳于3.92%平盘下方的状 态，20:30发布美国非农就业报告后显著走高，本周累涨13.90个基点，交投于3.8252%-4.0407%区间。 ...