以下文章来源于妙投APP ，作者丁萍 妙投APP . 因此资本市场也出现恐慌情绪，近期全球风险资产表现很低迷。那么，日本即将加息，这次会不会 再次引发2024年7月那样的剧烈波动？ # 01 日元套利逻辑被破坏 在回答这个问题之前，我们先来探讨下为什么日本加息会对资本市场产生很大影响。 虎嗅旗下二级市场投研服务品牌，为您提供精选上市公司价值拆解，热门赛道产业链梳理 出品 | 妙投APP 近期对资本市场影响最大的外围变量之一，是日本将再次加息。 实际上早在2025年下半年，日本加息预期开始出现苗头，不过进入12月以来，这一预期就大幅升 温。市场普遍预计日本央行将在12月18-19日会议上将政策利率从0.50%提高到0.75%，也就是加息 25个基点。 作者 | 丁萍 编辑 | 关雪菁 头图 | 视觉中国 这时候，最先受到冲击的，并不一定是风险最高的资产，而是"杠杆最高、最容易被调整的仓位"， 比方美债和高杠杆利率衍生品 （美债期货等） 。大量日元套利资金本身就配置在美债和利率产品 一句话总结就是， 日元套利空间被压缩，资金被迫去杠杆并平仓这些海外风险资产，因此对全球市 场形成压力。 日元在过去很长一段时间里，其 ...

智通财经APP注意到，在 11 月份失业率意外上升，给笼罩美国经济前景的混合信号增添了不确定性之后，债券交易员们大举押注于一种流行的策略：青睐 短期美债而非长期美债。 周二，2 年期和 30 年期美债收益率之间的利差扩大至四年多来的最大幅度，这反映出在通胀顽固和经济增长强劲的背景下，市场仍预期美联储明年至少还 会再降息两次。 这一切都在为所谓的"曲线陡峭化"交易火上浇油。该交易旨在押注短期和长期债务之间的收益率差距将继续扩大。尽管通胀仍相对较高，但自美联储 9 月份 恢复降息以来，该交易已获得关注。周四，延迟发布的 11 月份消费者物价数据将对这一交易进行进一步的检验。 美债期货也突显出，押注收益率曲线陡峭化的头寸正在加速积累。期货合约持仓量(open interest)数据的变化表明，在曲线的短端出现了新的多头头寸。与此 同时，周二出现的一笔 1500 万美元的溢价头寸，目标是长期美债更深层次的抛售。 WisdomTree 固定收益策略主管 Kevin Flanagan 表示："2 年期收益率被美联储和降息预期所锚定，而曲线的后端则在对更广泛的问题做出反应，即经济并没 有濒临衰退，并且存在顽固的通胀。" 在 ...

Core Insights - The Chicago Mercantile Exchange (CME) experienced a technical failure that impacted trading, potentially leading to the first monthly decline in the S&P 500 index since April [1] - The technical issue affected multiple markets, including crude oil and U.S. Treasury futures, and has lasted longer than a similar incident in 2019 [1] - Despite the trading disruptions, individual stocks like Alphabet Inc. and Amazon showed resilience, with Alphabet's stock rising over 1% [1] Market Impact - The S&P 500 index futures were relatively flat before the technical failure occurred [1] - Market participants are expected to pause trading due to risk considerations until the issue is resolved, as they may face losses otherwise [1] - The onset of the Black Friday shopping season may influence stock performance, with some traders looking to exploit potential price discrepancies [1]

Core Viewpoint - The U.S. bond market is at a crossroads of monetary policy shifts and fiscal sustainability, facing unprecedented complexities due to diverging views within the Federal Reserve and increasing market uncertainties [1][2]. Group 1: Monetary Policy Changes - The Federal Reserve lowered the federal funds rate target range by 25 basis points to 3.75% to 4.00%, marking the second rate cut of the year [2]. - There is a notable split within the Federal Reserve, with some members advocating for larger rate cuts while others prefer to maintain current rates, indicating a lack of consensus [2][5]. - Market expectations for a December rate cut have fluctuated significantly, dropping from 90% to approximately 70% [5]. Group 2: Inflation and Economic Data - U.S. inflation remains stubbornly high, with September inflation reaching its highest level since January, driven by rising prices of essential goods [3]. - The ongoing government shutdown has hindered the collection of critical economic data, complicating the Federal Reserve's decision-making process [3]. - Tariff policies are contributing to rising consumer costs, with estimates suggesting that consumers bear 50% to 70% of the total tariff costs [3]. Group 3: U.S. Debt and Fiscal Concerns - The U.S. federal debt has surpassed $35 trillion, with the debt-to-GDP ratio reaching 143%, a historical high [5]. - Concerns over high fiscal deficits and excessive bond issuance are leading some investors, like Bill Gross, to sell U.S. Treasury futures, anticipating rising yields [5]. Group 4: Market Volatility and Investment Strategies - The bond market is expected to experience increased volatility due to multiple factors, including Federal Reserve policy uncertainty and the upcoming presidential election [6]. - Investors are adjusting their strategies in response to market uncertainties, with suggestions to shift towards longer-term bonds to mitigate exposure to short-term policy fluctuations [6].

Group 1 - The report maintains a tactical asset allocation view, recommending an overweight position in A-shares, a neutral position in US Treasuries and gold, and an underweight position in the US dollar [1][11][12] - The report expresses optimism about A-shares due to improved economic outlook, strong government support for capital market development, stable market liquidity, and improving risk appetite [11][12] - The report highlights that the US labor market's cooling has reinforced expectations for a "preventive" easing of monetary policy by the Federal Reserve, with the market fully pricing in a rate cut in September [9][11] Group 2 - The report indicates that multiple factors are likely to support the continued performance of Chinese assets, maintaining a tactical overweight view on A-shares [12][14] - The report notes that the US Treasury market is expected to have a neutral tactical allocation due to the marginal cooling of the US economy and labor market, which has strengthened expectations for easing monetary policy [12][14] - The report suggests that gold prices may benefit from rising geopolitical tensions and adjustments in Federal Reserve monetary policy expectations, maintaining a neutral tactical view on gold [12][14] Group 3 - The report states that the Federal Reserve's expectations for rate cuts are likely to weaken the interest returns on the US dollar, leading to a tactical underweight view on the dollar [13][14] - The report provides a tactical asset allocation summary, indicating an overweight in A-shares, Hong Kong stocks, and US stocks, while maintaining neutral positions in European and Indian equities [14][15] - The report outlines the performance of various asset classes, with A-shares showing a year-to-date increase of 15.48% and a weekly increase of 1.52% [7][21]

Group 1 - Traders are heavily betting on a 50 basis point rate cut by the Federal Reserve next month, despite a significant increase in the July PPI [1] - The number of options contracts betting on a 50 basis point cut has reached 325,000, with a premium cost of approximately $10 million, potentially yielding a profit of $100 million if the cut occurs [1] - Market sentiment is shifting, with short positions decreasing to a monthly low, indicating a change in investor stance [1][2] Group 2 - According to Morgan Stanley's client survey, direct short positions have decreased by 4 percentage points, reflecting the lowest level of direct shorts since July 14 [2] - There is a warning that if Fed Chair Powell does not exhibit the expected dovish tone, the front end of the yield curve could face bearish corrections [3] - Institutional investors are showing a mixed positioning, with asset managers increasing net long positions in long-term bonds, while hedge funds are increasing net short positions in 10-year Treasury futures [3]

Group 1 - Traders are heavily betting on a 50 basis point rate cut by the Federal Reserve next month, despite a significant increase in the July PPI [1] - The number of options contracts betting on a 50 basis point cut has reached 325,000, with a premium cost of approximately $10 million, potentially yielding a profit of $100 million if the cut occurs [1] - Market sentiment is shifting, with investors moving from short positions to neutral positions ahead of Powell's speech [2] Group 2 - The percentage of direct short positions among JPMorgan clients has decreased by 4 percentage points, indicating a reduction in bearish sentiment [2] - There is a warning that if Powell does not align with the current dovish expectations, the front end of the yield curve could face bearish corrections [3] - Asset managers have increased net long positions in most bond futures, particularly in long and ultra-long bonds, while hedge funds have increased net short positions in 10-year Treasury futures [3]

Core Viewpoint - The unexpected performance of the non-farm employment data has ignited market expectations for interest rate cuts by the Federal Reserve, leading to a significant rally in the U.S. Treasury market [1][5]. Group 1: Non-Farm Employment Data - In July, the U.S. non-farm sector added only 73,000 jobs, significantly below expectations, with the unemployment rate slightly rising to 4.2% [6]. - The non-farm employment figures for May and June were drastically revised downwards, with May's jobs revised from 144,000 to just 19,000, and June's from 147,000 to 14,000 [6]. Group 2: Market Reactions - Following the release of the non-farm data, the 2-year Treasury yield fell over 25 basis points from 3.953% to 3.696%, while the 5-year yield dropped over 20 basis points from 3.967% to 3.755% [4]. - The 10-year and 30-year Treasury yields also saw declines of over 15 and 20 basis points, respectively, reflecting a broad-based drop in yields across the curve [4]. Group 3: Interest Rate Expectations - According to CME's FedWatch, the probability of the Federal Reserve maintaining rates in September is only 5.6%, while the probability of a 25 basis point cut is 94.4% [6]. - The market has priced in a high likelihood of rate cuts in September, a shift from less than 40% before the non-farm data release [7]. Group 4: Economic Outlook - Despite the weak employment data, some analysts caution that the current "recession trade" does not equate to an actual recession, as other economic indicators, such as average hourly earnings, have shown improvement [9][10]. - The overall economic slowdown, indicated by recent employment and GDP data, provides conditions for the Federal Reserve to consider rate cuts [9].

Core Viewpoint - A small group of aggressive traders in the UK options market is betting heavily on the Bank of England implementing more rate cuts than currently priced in by the market, despite inflation reaching an 18-month high, with potential returns exceeding 1000% [1] Group 1: Market Dynamics - Current Bank of England's base policy rate is 4.25%, and traders need it to drop to at least 3.75% to avoid significant losses [1] - If the base rate falls to 3.5%, traders could see returns of nearly £20 million from an initial investment of £1.5 million [1] - The market has significantly reduced expectations for aggressive monetary easing following stronger-than-expected inflation and wage growth data [1][4] Group 2: Speculative Bets - Swap contracts linked to policy meeting dates no longer indicate three rate cuts this year, down from a 20% probability earlier in the week [4] - The latest inflation data has led to a cooling of rate cut bets, although the Bank of England's Governor hinted at potential rate cuts if the job market deteriorates faster than expected [4] Group 3: Broader Implications - Analysts express concern that aggressive rate cut bets in the UK could influence the US interest rate futures market, leading to potentially irrational pricing based on labor market conditions rather than core inflation metrics [5] - The probability of two rate cuts by the Federal Reserve this year has been significantly reduced to 75%, down from previous expectations of three cuts totaling 75 basis points [5][6] - The CME FedWatch Tool indicates that traders now believe the Fed is more likely to cut rates once this year, with a higher probability of action in October [6]

Group 1 - The U.S. bond market is experiencing a new round of upward momentum following clear signals from the Federal Reserve regarding interest rate cuts [1][9] - The 10-year U.S. Treasury yield has fallen below 4.3%, while the 30-year yield has also decreased to around 4.8% [1][6] - Market expectations for interest rate cuts are becoming a core variable driving global capital flows [1] Group 2 - The U.S. dollar index has dropped below 97, marking a decline of 0.72%, the lowest level since February 2022 [2] - Major U.S. stock indices have collectively risen, with the Dow Jones up 0.44%, Nasdaq up 0.50%, and S&P 500 up 0.46% [2] - Nvidia's stock has surged over 1%, reaching a new historical high, while stablecoin concept stock Circle has rebounded significantly, rising over 13% [2] Group 3 - U.S. Treasury futures prices have been rising, particularly in the short to medium-term, with 2-year Treasury futures up 0.65% since May 29, reaching a new high of 103.305 [3][6] - The 5-year Treasury futures have also increased by over 1% since June 11, with the latest price at 108.275, marking a new high since early May [3][6] Group 4 - The Federal Reserve's dovish comments have bolstered market bets on interest rate cuts, leading to a rise in U.S. Treasury futures prices [3][9] - The current yields for various U.S. Treasuries are as follows: 30-year at 4.812%, 20-year at 4.816%, 10-year at 4.269%, and 5-year at 3.835% [6][7] Group 5 - Short-term U.S. Treasuries are viewed as having higher certainty due to interest rate cut expectations, while long-term Treasuries face greater risks from fiscal deficits and debt concerns [8] - The market is closely monitoring the impact of tariffs on inflation, which could influence the Federal Reserve's decisions on interest rates [10][11]