首当其冲的是北京时间周五晚21:30发布的美国12月非农就业报告。在经历了数周受政府停摆影响的数据真空期后，市场急需这份"可靠的读数"来 校准对经济健康状况的评估。这份报告将是美联储1月议息会议前的决定性参考，直接决定央行是维持利率不变，还是延续降息步伐。 全球投资者正屏息以待，准备迎接一个极具波动性的"超级周五"。今晚，从宏观经济数据到最高司法裁决，再到大宗商品市场的结构性调整，一 系列重磅事件将集中爆发，这不仅可能打破近期市场的平静，更将直接重塑债市、股市及商品市场的短期定价逻辑。 紧随其后，市场神经将紧绷于美国最高法院可能就特朗普关税合法性作出的裁决。若法院裁定关税违法，这将削弱一项为政府带来数千亿美元收 入的重要来源，可能加剧财政赤字担忧并推高长期美债收益率。尽管特朗普政府预计将寻求替代法律途径恢复大部分关税，但短期市场波动难以 避免。摩根大通策略师表示，取消关税可能"重新点燃财政忧虑，推高长期收益率并导致收益率曲线陡峭化"。 与此同时，大宗商品市场也面临"双重风暴"。除了即将公布的"232条款"关税调查结果可能引发贵金属市场的剧烈重定价外，大规模的指数再平衡 交易也已开启，白银等品种正面临前所未有的 ...

作者 关注东方金诚公众号 获取更多研究报告 资金面宽松带动短债走强，收益率曲线进一步陡峭化 ——利率债周报（2025.12.22-2025.12.28） 核心观点 1.83%-1.88%区间内震荡运行，同时，跨年资金好转有望 支撑短债延续偏强态势，收益率曲线或进一步走陡。 分析师 瞿瑞 ·· 时间 东方金诚 研究发展部 部门执行总监 冯琳 2025 年 12 月 29 日 上周债市延续震荡格局，收益率曲线陡峭化程度加深。 上周一（12 月 22 日）公布的 12 月 LPR 报价维持不变， 市场宽松预期边际降温，债市随之小幅调整。周二起， 配置盘逐步入场，叠加 MLF 超量续作支撑年末资金面平 稳宽松，进而带动中短债大幅走强，并部分传导至长端。 不过，由于股市上涨，股债跷跷板效应显现，长债表现 受到一定压制。总体上看，上周债市整体震荡，中短债 收益率大幅下行，长债收益率则小幅上行，收益率曲线 进一步陡峭化。 本周（12 月 29 日当周）债市预计维持震荡运行。年末 债市未出现季节性集中抢配行情，一方面源于债的性价 比仍低于股，另一方面也因一季度开门红、股市春季躁 动以及财政发力的预期，导致机构对明年初债市判断 ...

| | | 中德国债收益率曲线(到期)% | | | --- | --- | --- | --- | | 标准期限(年) | 12月19日 | 12月26日 | 变动BP | | 0 | 1.19 | 1. 1057 | -8. 43 | | 0.08 | 1. 2437 | 1. 1901 | -5. 36 | | 0. 17 | 1.3336 | 1.248 | -8.56 | | 0. 25 | 1.35 | 1. 3053 | -4. 47 | | 0.5 | 1.35 | 1. 3185 | -3.15 | | 0. 75 | 1.3519 | 1.2872 | -6. 47 | | 1 | 1.3547 | 1.2872 | -6. 75 | | 2 | 1. 3752 | 1. 3378 | -3.74 | | 3 | 1.3941 | 1. 3627 | -3.14 | | 5 | 1.6021 | 1.5948 | -0. 73 | | 7 | 1.7258 | 1. 7033 | -2. 25 | | 10 | 1.8308 | 1.8376 | 0.68 | | I E | 2. 114 ...

北京时间12月22日亚市早盘，现货黄金交投于4346美元/盎司附近。市场分析人士认为，对于美联储2026年降息的预期 持续升温，以及随着圣诞假期和新年假期的临近，地缘不确定性增加，为金价提供支撑。 《联合早报》近日发文称，今年以来，金属市场经历动荡的一年，但也取得可观回报，其中，黄金继续巩固其多年的 上涨行情，取得65%的显著涨幅。 根据Kitco News 2026年度金属市场调查显示，交易者对黄金保持着强劲支持。参与调查的352人中，有29%预测黄金将 成为2026年涨幅最大的金属，另外还有51%受访者看好白银，预计它将在来年领涨所有金属。 道明证券（TD Securities）分析报告指出，较低的利率、持续的货币贬值、供应侧因素和多元化需求将推动黄金在 2026年上半年创下超过4400美元的新高。道明证券全球大宗商品策略主管梅莱克（Bart Melek）认为："美国联邦储备 局主导的降息举措，将让黄金持有成本降低，加上预期的收益率曲线陡峭化，以及对美联储独立性的潜在担忧，促使 我们认为黄金将在2026年上半年创下每盎司4400美元的季度新高。" ...

Group 1: Silver Fund Premium - The only silver fund in China has reached a historical high premium of 12%, indicating that investors are buying at a price higher than the actual asset value [9][10] - The fund manager has issued multiple warnings about the risks of blindly purchasing high-premium fund shares, suggesting potential significant losses for investors [7][10] - Investors in the silver fund need the silver price to increase by at least 12% to make a profit, or find someone willing to buy at a higher price, otherwise, they face compounded losses [10] Group 2: Yield Curve Steepening - The yield curve is becoming steeper, meaning that long-term interest rates are rising faster than short-term rates, which poses risks for long-term bond fund investors [11][16] - The recent steepening of the yield curve is attributed to an increase in long-term debt issuance and a shift in investment focus towards the stock market, leading to a gradual rise in interest rates [18] - The current economic policy outlook suggests that the steepening trend in the yield curve may continue, indicating a potential for long-term interest rates to rise further [18] Group 3: Market Imbalances - Both the silver fund and the bond market reflect structural imbalances that could lead to value corrections, highlighting the importance of understanding the underlying causes of market distortions [20] - The silver fund's popularity is influenced by external factors such as trade conflicts, while the bond market's previous low rates were a result of supply shortages during an asset scarcity period [20] - Investors are advised to be cautious of potential pricing bubbles driven by market distortions, especially when many retail investors are involved [20]

Devlin说："如果政府在实施投资计划方面能够取得任何成效，那么供给要么来自政府，要么来自私营 部门，但政府会提供补贴。"这意味着长期债券收益率的上升速度将快于短期利率，或者下降速度将慢 于短期利率，从而导致收益率曲线变陡。 该公司还对加拿大5年期国债进行了"策略性"交易，此前公布的经济数据出人意料地强劲，导致加拿大5 年期国债价格大幅下跌。Devlin称："就在过去两周，加拿大5年期国债的价格曲线变得异常便宜。" Devlin曾在太平洋投资管理公司工作近15年，于2020年离职并创立了自己的公司。上个月，Devlin Capital获得了其首个资产管理客户，即加拿大帝国商业银行委托其担任CIBC加拿大固定收益私募股权 基金的子顾问。 智通财经APP获悉，加拿大基金管理公司Devlin Capital正在为北美两大经济体收益率曲线进一步陡峭化 做好准备，因为美国和加拿大政府为了支付减税、军事项目和其他优先事项，都出现了巨额预算赤字。 该公司创始人Ed Devlin曾任太平洋投资管理公司(Pimco)加拿大投资组合管理主管，他表示，即便两国 央行都采取宽松的货币政策，两国仍将迎来长期债券发行热潮。美联储周三再 ...

Core Viewpoint - The 10-year U.S. Treasury yield has experienced a significant decline, dropping below the 4% mark, reflecting a reassessment of the U.S. economic outlook and Federal Reserve policy direction [1][2][3] Group 1: Market Dynamics - In November, the 10-year Treasury yield fluctuated between 4.1% and 4.2% before rapidly declining in late November [1][2] - The market is currently pricing in an 86.4% probability of a 25 basis point rate cut by the Federal Reserve in December [2] - The upcoming Federal Reserve meeting is expected to be cautious due to the lack of key economic data, which may lead to a short-term rebound in Treasury yields [5] Group 2: Economic Indicators - Recent economic data indicates a weakening trend, with consumer spending declining and manufacturing facing cost pressures due to tariffs [3][4] - The Federal Reserve's Beige Book reported mixed economic activity across its districts, with some showing slight declines [3] - Concerns about a potential recession are rising as labor market conditions show signs of fatigue [3][4] Group 3: Future Outlook - Analysts predict that the Treasury yield will continue to be influenced by monetary policy expectations, economic fundamentals, inflation outlook, and risk sentiment [4] - The Federal Reserve's end of quantitative tightening and reinvestment in short-term Treasury bills may provide new demand for the bond market [6] - The yield curve may steepen in the future due to ongoing issuance pressures in the long-term bond market, while short-term yields may remain stable due to Federal Reserve demand [7]

Core Insights - Wall Street macro traders are set to achieve their best performance since 2009, driven by clients betting on changes in global central bank interest rate policies [1] Group 1: Revenue Projections - Goldman Sachs, JPMorgan, and Citigroup are expected to generate $165 billion in revenue from fixed income, credit, and commodity trading this year, representing a 10% increase compared to 2024 [1] - G-10 interest rate business revenue is projected to reach $40 billion, marking a five-year high [1] Group 2: Market Influences - Factors such as global central bank interest rate adjustments, uncertainty in tariff policies, concerns over expanding fiscal deficits, and steepening yield curves are contributing to the increase in revenue for rate traders [1] - A similar revenue surge is anticipated in 2026, with industry revenue expected to reach $162 billion [1]

Core Insights - Japan is facing significant fiscal risks similar to the "Truss Shock" in the UK, as the market has not fully priced in the deterioration of supply and demand for ultra-long-term government bonds [1][4] - The Japanese government is finalizing a large-scale economic stimulus plan, with government spending estimated at 21.3 trillion yen, potentially reaching a total of 42.8 trillion yen when including private sector investments, raising concerns about fiscal discipline [1][6] - The Japanese bond market is experiencing a severe sell-off, with the 30-year government bond yield hitting a historical high, and both 10-year and 5-year yields reaching their highest levels since 2008 [1][4] Fiscal Policy Concerns - Nomura Securities warns that ongoing concerns about a "Truss Shock" will lead foreign investors to continue avoiding the Japanese market, exacerbated by a weakening yen and poor performance of ultra-long-term bonds [4][6] - The market is focused on whether the ruling Liberal Democratic Party can gain momentum for further fiscal expansion, which could heighten concerns about fiscal policy [6][7] - The Japanese Finance Minister has raised the urgency of addressing yen depreciation, indicating that the quality and scale of economic stimulus measures should not undermine confidence in the yen or Japanese government bonds [7][8] Yield Curve Dynamics - There is significant potential for the steepening of the yield curve if the supply and demand for ultra-long-term bonds deteriorate further, with the current supply premium indicator for 30-year bonds at 48 basis points, down from a peak of 67 basis points earlier this year [6][8] - The analysis indicates that the yield curve steepening driven by fiscal concerns has not fully reflected the extent of supply and demand deterioration observed in April and May [8][10] Market Reactions - The market's response suggests a lack of effective communication from the government, as expectations for interest rate hikes have not changed despite discussions between the Prime Minister and the Bank of Japan Governor [7][8] - The current market conditions reflect deep investor concerns regarding Japan's policy outlook, emphasizing the need for the government to balance economic stimulus with maintaining fiscal credibility to avoid a "Truss Shock" scenario [10]

Financial Data and Key Metrics Changes - The book value per common share increased by 4.5% to $8.41 at quarter end, resulting in a positive economic return of 8.7% for the quarter [9][23] - The debt-to-equity ratio slightly increased to 6.7% from 6.5%, as the company reduced the percentage of preferred stock in its capital structure [10] - The investment portfolio totaled $5.7 billion, consisting of $4.8 billion in agency mortgages and $0.9 billion in agency CMBS [10] Business Line Data and Key Metrics Changes - The agency RMBS portfolio increased by 13% quarter over quarter, with a focus on 4.5% versus 5.5% coupons [18] - Higher coupon specified pool payouts improved during the quarter, reflecting increased investor demand for prepayment protection [17] - Agency CMBS risk premiums declined quarter over quarter, indicating increased investor demand [8] Market Data and Key Metrics Changes - The yield curve steepened, with two-year Treasury yields falling 11 basis points while 30-year yields were down just four basis points [12] - Interest rates declined across the Treasury yield curve, with a notable decrease in interest rate volatility [7][14] - The average unemployment rate increased to 4.3% in August, while inflation measures remained above the Federal Reserve's target [6] Company Strategy and Development Direction - The company remains constructive on agency mortgages, expecting investor demand to broaden due to lower interest rate volatility and attractive valuations [11] - The focus on improving the capital structure and reducing the cost of capital continues, with a commitment to maximizing shareholder returns [24] - The company is monitoring the agency CMBS sector for opportunities to increase allocation as relative value becomes attractive [20] Management's Comments on Operating Environment and Future Outlook - Management views near-term risks as balanced, with expectations for further easing of monetary policy to support agency mortgages in the long term [24] - The company anticipates that changes to bank regulatory capital rules will increase investor demand for agency mortgages and agency CMBS [11] - The economic environment is characterized by strong corporate earnings and improved growth, despite persistent inflation [5][6] Other Important Information - The company raised $36 million by issuing common stock through its ATM program, maintaining a disciplined approach to benefit existing shareholders [10] - The company retained a sizable balance of unrestricted cash and unencumbered investments totaling $423 million [10] Q&A Session Summary Question: Changes in hedge portfolio and net duration exposure - Management indicated a slight reduction in steepener positions and a preference for moving hedges into the front end of the curve, with model duration running slightly long [26][27] Question: Returns on marginal capital deployment relative to dividend level - Levered gross returns were in the upper teens, with net returns in the mid-teens, consistent with the dividend to book yield [30][31] Question: Appetite for changing capital structure with buybacks and common issuance - Management noted that preferred buybacks had minimal impact on capital structure, and they are currently not buying back shares but will consider it if conditions are favorable [35][36] Question: Relative value between agency CMBS and agency RMBS - Agency RMBS continues to provide a more attractive return on equity compared to agency CMBS, which is more aligned with lower coupon agency RMBS [37]