Core Viewpoint - The divergence in short-term and long-term U.S. Treasury yields poses significant challenges for the Federal Reserve's traditional policy of stimulating economic growth through interest rate cuts [1][3][10] Group 1: Yield Divergence - The current issue in the U.S. Treasury market is the significant divergence in yield trends, with short-term Treasury yields declining while long-term yields are rising [1] - As of April 2, the benchmark 10-year U.S. Treasury yield has risen to approximately 4.38%, contrasting with the decline in short-term yields [1] Group 2: Factors Driving Yield Divergence - The primary reason for this yield divergence is the uncertainty surrounding inflation, exacerbated by unpredictable trade policies [4] - Investors are demanding higher yields to compensate for the risks associated with holding long-term Treasuries, leading to an increase in the "term premium" [4] Group 3: Impact on Borrowing Costs - This yield divergence directly raises borrowing costs for consumers and businesses, complicating the Federal Reserve's efforts to stimulate the economy through rate cuts [3][10] - The average rate for a 30-year fixed mortgage was 6.8% last week, slightly up from a month ago, indicating persistent high borrowing costs despite potential rate cuts [6] Group 4: Federal Reserve and Policy Implications - Most investors believe that if the U.S. enters a recession and the Federal Reserve significantly cuts rates, long-term yields should theoretically decline [6] - However, there are concerns that long-term yields may not decrease sufficiently, keeping mortgage and other debt rates high [6][10] Group 5: Cautious Policy Response - The Federal Reserve is exercising caution in its monetary policy decisions, with Chairman Powell emphasizing the need to maintain credibility in combating inflation [8] - The U.S. Treasury has shown increased sensitivity to market conditions, adjusting its debt issuance strategy in response to rising long-term yields [9]

Core Viewpoint - Morgan Stanley strategists indicate that the sensitivity of the US dollar to US interest rates has increased, leading to a new negative correlation with the term premium of US Treasury bonds, which is expected to further pressure the dollar [1] Summary by Relevant Categories - **US Dollar Sensitivity** - The overall sensitivity of the US dollar to US interest rates has risen [1] - **Negative Correlation** - A new negative correlation has emerged between the US dollar and the term premium of US Treasury bonds [1] - **Forecast on Dollar Index** - If US interest rate trends align with expectations, the dollar index is projected to decline by an additional 6% [1]

[Table_Title] 每日复盘 证券研究报告 2025 年 5 月 7 日 2025 年 5 月 7 日市场全天高开后震荡回落，军工股集体 爆发 报告要点： 2025 年 5 月 7 日市场全天高开后震荡回落，军工股集体爆发。上证指数 上涨 0.80%，深证成指上涨 0.22%，创业板指上涨 0.51%。市场成交额 14680.98 亿元，较上一交易日增加 1321.14 亿元。全市场 3336 只个股上涨， 1921 只个股下跌。 风格上看，各指数涨跌幅排序为：金融>稳定>周期>消费>成长>0；大盘 价值>大盘成长>中盘价值>小盘价值>中盘成长>小盘成长；中证全指表现优 于基金重仓。 分行业看，30 个中信一级行业普遍上涨；表现相对靠前的是：国防军工 （3.82%），银行（1.49%），房地产（1.12%）；表现相对靠后的是：综合金融 （-0.75%），传媒（-0.57%），计算机（-0.52%）。概念板块方面，多数概念 板块上涨，昨日连板_含一字、昨日涨停_含一字、昨日涨停等大幅上涨； CRO、CAR-T 细胞疗法、腾讯云等板块走低。 资金筹码方面，主力资金 5 月 7 日净流出 348.73 亿元 ...

美国财政部二季度预计借款5140亿美元，较2月预测数据涨超3倍 按此前公布的计划，美国财政部将在本周三公布最新的借款计划，但根据当地时间4月28日最新公布的申明来看，今年二季 度美国国债大概率将连续第五个季度维持拍卖规模的稳定。随着近期美国国债债务上限的临近，投资者的关注重点在于近期 的发行计划是否有可能出现调整。美国财政部目前预计，4月至6月期间的净借款将达到5140亿美元，远高于今年2月时预测 的1230亿美元。 此前，在美国财政部在2月份的预算会议上，美国财政部长贝森特曾预计未来几个季度的大部分债务发行计划将保持不变， 当时的决定曾令一些交易员感到意外，市场原本预计美国财政部将扩大较长期限债券的拍卖规模。当时，美国财政部预计3 月底的现金余额将为8500亿美元，然而实际状况远比预计的恶劣，其财政余额显示只有约4060亿美元。在债务上限的限制 下，美国政府无法发行新的净国债。美国财政部周一继续维持此前对6月底8500亿美元现金余额目标的预测，根据以往惯 例，美国财政部公布相关预测数据是已经提前假设债务上限届时能够得到解决。 4月27日，贝森特表示："我们的目标是维持美国债券市场是全球最安全、最健康的债市的 ...

据了解，当前债市交易员需同时追踪三大政策变量：其一，贸易保护主义与减税政策对脆弱经济增长的 叠加影响;其二，特朗普是否会再度威胁解雇美联储主席鲍威尔;其三，白宫是否会通过美元贬值转移债 务压力。 尽管摩根大通资产管理仍认为美债相对欧债更具配置价值，且本月30年期美债拍卖结果显示市场需求尚 未崩塌，但机构持仓策略已现明显分化。 其中，太平洋投资管理公司 (PIMCO)将本月美元、美国股市和美国国债三重疲软的走势比作新兴市场 可能出现的趋势，该公司一直在购买美国国债，但同时限制收益率曲线的波动幅度，目前青睐 5 至 10 年期的债券。 此外，先锋集团则认为长期债券中内置的额外保险还有进一步增加的空间，特别是如果联邦赤字扩大导 致债券发行量增加的话。 （原标题：国债市场步入 "新秩序"?特朗普政策变数推高长期美债风险溢价） 智通财经APP获悉，本月席卷全球债市的"抛售美债"浪潮，正对美国长期国债这一全球最大赤字融资工 具的根基造成冲击。在特朗普总统执政百日临近之际，其推行的贸易战、减税政策及反复无常的施政风 格，迫使债券投资者不得不重新评估美债的传统避险属性。 对此，布兰迪万全球投资管理公司630亿美元资产的掌舵人 ...

Core Viewpoint - Traders are observing the highest level of term premium since 2014, indicating a new world order characterized by increased uncertainty, which is expected to keep term premiums elevated [1] Group 1 - The term premium, described as an additional buffer, is currently at its highest level since 2014 [1] - Jack McIntyre, who manages $63 billion in assets at Brandywine, suggests that even if there are concessions on tariffs from Trump, the level of uncertainty will continue to rise [1] - This rising uncertainty implies that the term premium will remain high [1]

Core Viewpoint - The article discusses the significant increase in trade policy uncertainty in the U.S. under the Trump administration, highlighting the potential economic repercussions and the political maneuvers that have led to this situation [1][2]. Group 1: Trade Policy Uncertainty - The U.S. "Trade Policy Uncertainty Index" surged to 5735 in March, which is 29 times higher than the level before the presidential election in October 2024, and three times higher than the previous record in August 2019 [1]. - The uncertainty is attributed to Trump's fluctuating tariff policies, which are creating a highly opaque economic outlook [1]. Group 2: Political Maneuvering - Trump has invoked the International Emergency Economic Powers Act (IEEPA) to declare a state of emergency regarding tariffs, allowing him to bypass Congress and manipulate tariff rates and targets freely [2]. - The number of presidential orders issued by Trump has exceeded 100 within three months, significantly higher than the 29 orders issued during his first term [2]. Group 3: Market Reactions - The Dow Jones Industrial Average dropped by 13% in April compared to the end of 2024, while the STOXX600 index fell by 7% after an initial rise of 11% [2]. - The VIX, known as the "fear index," surpassed 50 on April 8, marking the highest level since the 2008 financial crisis, excluding the COVID-19 pandemic period [2]. Group 4: Economic Impact - Following the initiation of reciprocal tariffs on April 9, there was a simultaneous sell-off in stocks, the dollar, and U.S. Treasury bonds, indicating a broader market panic [3]. - The yield premium demanded by investors for U.S. Treasury bonds reached its highest level since September 2014, suggesting a loss of confidence in U.S. bonds as a safe asset [3]. Group 5: Public Sentiment and Global Implications - Trump's average approval rating was 46.5% as of April 18, which, despite a decline from over 50%, remains relatively high [4]. - A survey indicated that 75% of researchers are considering leaving the U.S. due to the current administration, while the EU is exploring trade agreements to maintain a free trade system without the U.S. [4].

Core Viewpoint - The scale of basis arbitrage trading by hedge funds in the U.S. Treasury market has reached a historic high of $1 trillion, raising concerns among financial experts about the potential for a financial crisis [1][4]. Group 1: Basis Arbitrage Trading - Hedge funds have been utilizing the small price differences between U.S. Treasury cash and futures to engage in basis arbitrage, which involves going long on Treasury securities while shorting Treasury futures [6]. - The current scale of basis arbitrage trading has doubled since 2020, indicating a significant increase in risk exposure [4]. - The leverage ratio for hedge funds engaged in this trading has risen from 6.3 times to a record 7.8 times over the past year [7]. Group 2: Market Risks and Implications - The inherent leverage ratio for long cash and short futures positions is approximately 20 times, while the leverage on Treasury repo has surged to 56 times [8][10]. - Experts warn that a relatively small change in interest rate spreads could force hedge funds to liquidate their positions, potentially leading to widespread asset sell-offs [10][12]. - The resolution of the debt ceiling issue could trigger significant market volatility, as it would allow the U.S. Treasury to issue previously restricted bonds, leading to a sudden increase in supply [13][14]. Group 3: Proposed Solutions - Experts suggest that the Federal Reserve should consider a "hedged purchase" strategy instead of traditional quantitative easing (QE) to mitigate risks associated with high-leverage hedge funds [15][16]. - The proposed "hedged purchase" would involve the Fed buying U.S. Treasuries while simultaneously selling an equivalent amount of futures contracts to avoid distorting the term premium [16][20]. - This approach aims to provide a mechanism for high-leverage hedge funds to exit their positions without exacerbating market instability [17][19].