期货研究报告|美债双周报 2026-01-25 政治不确定性上升，美债收益率走高 研究院 研究员 徐闻宇 蔡劭立 ( 0755-23887993 * caishaoli@htfc.com 从业资格号：F3056198 投资咨询号：Z0015616 高聪 ( 021-60828524 * gaocong@htfc.com 从业资格号：F3063338 投资咨询号：Z0016648 联系人 郭欣悦 * guoxinyue@htfc.com 从业资格号：F03149577 投资咨询业务资格： 证监许可【2011】1289 号 策略摘要 近两周美债收益率整体上行、曲线分化，短中长端抬升而超长端走低，1 月美联储大概 率不降息。近期地缘与贸易摩擦升温，日本超长期国债在财政担忧下大幅波动，成为 全球期限溢价重定价的放大器，并通过跨市场交易机制向美债长端传导，"卖美国资产" 叙事阶段性抬头。长期看，高债务与再融资压力仍是美债波动的核心约束。 核心观点 ■ 市场分析 美债利率回顾。截止 1 月 23 日，10 年期美债收益率两周上升 5bp ， 10 年期美债收益率 曲线持续走高至 4.24%。收益率曲线层面，和两周前相比， ...

Group 1 - The core point of the article is that the U.S. non-farm payroll report, originally scheduled for release on December 29, has been postponed to January 9, 2026, due to delays caused by the government shutdown in October and November [1][5] - The absence of the non-farm payroll report this week is expected to result in lower volatility for the U.S. dollar and precious metals compared to traditional non-farm weeks [1][5] - The Federal Reserve's monetary policy meeting minutes will be released on Wednesday, January 3, which is a significant event for market participants as it may influence the direction of the U.S. dollar [5][11] Group 2 - Major global exchanges will be closed on January 1, 2026, for New Year's Day, including the New York Stock Exchange and the CME, which will halt trading in various futures contracts [3][4][8] - On December 31, 2025, many exchanges will also have early closures or suspend trading, but the New York Stock Exchange will operate normally, indicating that the U.S. stock market will not be affected by the New Year's Eve [9]

Core Viewpoint - The article discusses the significant impact of Japan's anticipated interest rate hike on global capital markets, particularly focusing on the implications for risk assets and the "yen carry trade" [4][7]. Group 1: Impact of Japan's Interest Rate Hike - Japan is expected to raise its policy interest rate from 0.50% to 0.75%, marking a 25 basis point increase, which has led to increased market anxiety and a decline in global risk assets [4][7]. - The long-standing low-interest environment in Japan has made the yen a key source of low-cost funding for global investments, particularly in high-risk assets like U.S. tech stocks and cryptocurrencies [8][9]. - An increase in borrowing costs for yen will pressure highly leveraged positions, potentially leading to forced deleveraging and selling of risk assets, starting with U.S. Treasuries and high-leverage derivatives [10][12]. Group 2: Market Reactions and Predictions - The likelihood of a market shock similar to July 2024 is considered low, as the current rate hike is largely anticipated by the market [15]. - If the Bank of Japan signals a more hawkish stance or raises rates by 50 basis points, it could exert short-term pressure on risk assets, including stocks and cryptocurrencies, while U.S. Treasury yields may rise initially [15][16]. - The medium to long-term outlook for assets like U.S. stocks and A-shares will depend on liquidity conditions and economic fundamentals, with potential risks of stagflation in the U.S. economy [16].

Group 1 - The unexpected rise in unemployment rate in November adds uncertainty to the mixed signals surrounding the U.S. economic outlook, leading bond traders to favor short-term U.S. Treasuries over long-term ones [1] - The yield spread between 2-year and 30-year U.S. Treasuries has widened to its largest extent in over four years, reflecting market expectations that the Federal Reserve will likely cut rates at least twice next year despite persistent inflation and strong economic growth [1] - The "curve steepening" trade is gaining traction, betting that the yield gap between short-term and long-term debt will continue to expand, with the upcoming release of November consumer price data set to further test this trade [1] Group 2 - A significant large-scale spread trade in the futures market aligns with the widening yield spread between 2-year and 30-year Treasuries, indicating a profit of $3 million within a day as the spread increased from 132 basis points to approximately 137 basis points [2] - As of the week ending December 15, investor direct long positions increased by 6 percentage points, shifting from neutral to long, while direct short positions remained unchanged [2] Group 3 - In the SOFR options market, there has been a notable increase in risk exposure for options expiring on March 26, June 26, and September 26, particularly for various call and put options, as traders hedge against potential dovish and hawkish policy scenarios from the Federal Reserve [5] - The largest open interest is observed at the 96.50 strike price for March 26 options, with significant positions also at the 96.375 strike price [7] Group 4 - The premium for put options used to hedge U.S. Treasury risks has continued to tilt towards bearish options, indicating strong demand for Treasuries amid expectations that long-term yields will underperform compared to short- and medium-term yields [10] - The steepness of the yield curve between 2-year and 30-year Treasuries reached its highest level since November 2021, exceeding 137 basis points [10]

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].