来源：兴业研究 美国国债，机构MBS 本期专栏：美国的失业率数据具有非常强的周期性和非线性特征，在周期尾部的恶化往往是"非线性"的。作为补充数据的"挑战者"裁员人数也具 有类似特征。通过数据处理可以对这种"非线性"恶化作出提前预警。目前失业率和裁员人数均已触发预警，未来随着美国库存周期探底，就业 市场压力可能进一步加剧。因此美联储大概率会延续降息周期，市场现在对明年降息预期定价不充分，有助于美债收益率中枢逐渐下移。 展望后市：美联储12月大概率降息25bp，但市场已经对此较充分定价。在缺少关键经济数据的情况下，美联储表态可能较为谨慎。预计10Y收益 率的低波动可能还会维持一段时间，等待更多经济数据指引，下方支撑3.9%、3.8%，上方阻力4.1%、4.2%。在新一轮关键经济数据公布前，降 息预期的博弈空间有限，期限利差也呈现横盘。在美联储延续降息的基准假设下，未来曲线仍有进一步陡峭的空间。 机构MBS监测：11月机构MBS随美债收益率下行，房利美MBS收益率下行幅度略大于吉利美MBS，相对美债的信用利差稳定在历史50分位数附 近。房利美MBS相对美债利差处于中性水平，久期无明显高估或低估。 一、市场回顾 11 ...

Core Viewpoint - The U.S. employment market shows signs of resilience despite the government shutdown, indicating a potential "soft landing" for the economy. Although September's non-farm payrolls were weak, improvements are expected in the coming months. The unemployment rate's upward pressure may ease as layoffs decrease [1][7][8]. Economic Outlook - The U.S. high-frequency economic indicators are entering an upward cycle, with employment data expected to show resilience. This limits the potential for significant declines in bond yields. The Consumer Price Index (CPI) likely peaked in September and is expected to enter a declining phase over the next few months, which will restrict interest rate rebounds. The 10-year yield is projected to oscillate within a weak range, with support at 3.9% and 3.8%, and resistance at 4.1% and 4.2% [1][33][34]. Market Review - The prolonged U.S. government shutdown led to the absence of employment data, while the CPI data release was delayed. Mid-month, tensions escalated in U.S.-China trade relations, and two regional banks faced crises, heightening risk aversion. However, by the end of the month, a framework agreement was reached in U.S.-China talks, and the regional bank issues did not escalate into systemic risks, leading to a recovery in market risk appetite [2]. Employment Data Insights - Five private sector indicators reflect the state of non-farm employment: ADP employment, NFIB small business hiring plans, Revelio Labs employment forecasts, Challenger job additions, and Job Indeed new postings. While ADP and NFIB indicate weak job growth for September, other indicators suggest a mild improvement. The Challenger layoffs data shows a significant decrease in layoffs, which may alleviate upward pressure on the unemployment rate [7][8]. Agency MBS Monitoring - In October, agency MBS yields declined alongside U.S. Treasury yields, with Fannie Mae MBS yields decreasing more than Ginnie Mae MBS. The credit spread relative to Treasuries narrowed to the historical 50th percentile. The duration of Fannie Mae MBS is currently overvalued [39][40].

Group 1 - The core focus of the market is shifting towards macroeconomic data, particularly the actual evolution of economic growth and inflation, despite recent policy uncertainties [1] - UBS expects a slowdown in US economic growth but does not foresee a recession, with consumer spending likely to moderate due to inflationary pressures [1] - The impact of tariffs on inflation data is anticipated to become evident in the coming months, with economic growth expected to weaken further by the end of the year [1] Group 2 - UBS predicts that the Federal Reserve will begin cutting interest rates in September, with a forecast of four consecutive 25 basis point cuts [1] - The assumption is that the effective tariff rate will stabilize at the current level of 15%, which is not expected to trigger an economic recession [1] Group 3 - As policy outlook becomes clearer, UBS suggests that market volatility will gradually return to normal, advising investors to prepare for opportunities in 2026 [2] - Investment strategies include continuing to allocate to gold for political risk hedging, investing in quality fixed-income products, and positioning for long-term equity investments [3] Group 4 - UBS has upgraded the financial sector to an "attractive" rating due to benefits from regulatory easing and capital returns post-stress tests [3] - The firm maintains an "attractive" rating for communication services, healthcare, utilities, and information technology, citing strong growth drivers and defensive attributes [3]

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].