Core Viewpoint - The U.S. financing market is experiencing a "bull-bear divergence," with Wall Street strategists debating the potential for easing in the coming months, primarily driven by fluctuations in overnight borrowing costs [1] Group 1: Factors Driving Divergence - Multiple factors have contributed to the rise in U.S. short-term interest rates, creating the backdrop for the divergence. These include increased short-term bond issuance by the U.S. Treasury to rebuild cash reserves, which raises borrowing costs due to heightened demand for short-term funds [2] - The Federal Reserve's steady balance sheet reduction is tightening liquidity, further constraining the supply of funds [2] - The near-zero usage of the central bank's overnight lending facility indicates reduced reliance on the central bank, but also reflects uneven distribution of funds, potentially exposing some institutions to hidden gaps [2] Group 2: Contrasting Views from Major Banks - JPMorgan, led by Teresa Ho, advocates for easing, arguing that the market has overestimated the risks of rising financing costs, predicting a softening of overnight rates by the end of 2025. Their strategy involves buying December SOFR futures and selling equivalent federal funds futures, anticipating a narrowing of the current spread between SOFR (4.42%) and the 30-day federal funds rate (4.33%) [3] - Citigroup, under Jason Williams, takes a contrary stance, expecting financing costs to remain elevated or even rise by the end of 2025. Their strategy involves shorting December SOFR contracts relative to federal funds rates, predicting that SOFR will remain 4-5 basis points higher during favorable conditions [3][4] Group 3: Market Adjustments and Sentiments - Other institutions are also adjusting their positions, reflecting differing judgments. Barclays has shifted its stance, exiting a long position on SOFR relative to federal funds due to the normalization of rising financing costs [4] - Morgan Stanley remains optimistic, suggesting that liquidity pressures may ease by October, leading to a decline in financing costs, while American Bank adopts a flexible approach, closing short positions and recommending long positions on SOFR relative to federal funds for early 2026 [5] Group 4: Consensus on Liquidity Crisis - Despite significant divergence, there is a consensus among major banks that a liquidity crisis similar to the "cash crunch" of September 2019 is unlikely to recur. This is attributed to a more robust liquidity safety net, including the Federal Reserve's standing repo facility (SRF) and overall sufficient bank reserves [6][7] - The current banking system's buffer capacity is stronger than it was before the 2019 crisis, and improved policy communication has reduced market uncertainty, allowing the focus to shift to interest rate levels rather than potential crises [7]

分析师:黄子崟 SAC 登记编号:S1340523090002 Email:huangziyin@cnpsec.com 近期研究报告 《波动降低后是更好的参与时机》 - 2025.09.15 策略观点 降息交易(1)：降息之后的资产定价机制 ⚫ 投资要点 发布时间：2025-09-25 大盘指数 8000 9000 10000 11000 12000 13000 14000 2000 3000 4000 上证指数 深证成指 1000 2000 3000 5000 6000 7000 8000 中小100 创业板指 资料来源：聚源，中邮证券研究所 研究所 美国联邦基金期货市场对美联储有着极强的降息预期。根据计算 得到的预期利率变动，美国联邦基金期货市场的交易员们认为美联储 将在未来 6 个月降息 85bp，在未来 12 个月降息 125bp。在美联储 9 月议息会议宣布降息 25bp 后，交易员们对未来美联储的政策路径预 期并没有发生改变，此前的预期是 6 个月降息 110bp 和 12 个月降息 150bp，可以认为美联储的本次降息幅度完全在市场的预期内，并且 美联储主席鲍威尔在会后的讲话也并未改变市场预期。 ...

美国货币市场本周传递出一个耐人寻味的信号：联邦基金利率的有效值在周一小幅抬升至4.09%，较前 一日增加1个基点。这一水平仍位于美联储设定的4%至4.25%区间内，但考虑到该利率在过去两年几乎 始终停留在区间下限，此次上扬更像是一种市场"体温升高"的表现，引发了外界对流动性环境微妙变化 的关注。 从结构上看，利率的这一异动并非孤立事件。多家研究机构早前就提出警示：银行体系的超额准备金正 在以快于预期的速度消耗，尤其是外国金融机构的资金撤离更加明显。这意味着市场缓冲垫正在变薄， 资金价格因而更容易受到波动牵引。纽约联储的数据也印证了这种担忧——有效利率上行之后，联邦基 金期货价格立刻承压，9月份合约成交量在周二接近30万手，显示资金市场迅速作出反应。 市场人士普遍将此解读为"压力测试"的早期信号。道明证券的利率策略主管GennadiyGoldberg指出，这 是本轮周期中首次出现有效利率抬升，暗示短端市场的敏感度在上升。当前储备尚未出现严重紧缺，但 这种微小变化本身反映了市场对潜在流动性压力的更高暴露度，美联储在后续操作中必须予以重视。 需要关注的是，联邦基金市场的参与格局早已发生转变。传统上，商业银行是该市场 ...

智通财经APP获悉，全球美债交易员们正加大期权押注，认为美联储将在今年剩余的三次FOMC货币政策会议中至少 实施75个基点的降息，即预期75个基点起步的降息举措。与此同时，SOFR期权交易热图则显示，一些交易员押注美 联储将在今年剩余的三次FOMC货币政策会议上至少实施一次高达50基点的激进降息，他们甚至押注年内降息规模将 与2024年如出一辙，即押注降息100基点。 交易员们预计美联储政策制定者们将于本周进行2025年以来首次降息，虽然关于9月降息50基点的预期在最近几个交 易日有所升温，但是下调25个基点被视为最可能的决定。 本周与担保隔夜融资利率(SOFR)相关的交易流向——该利率对美联储货币政策预期高度敏感——显示出交易员们对于 12月鸽派期权的押注需求上升，这些期权将在美联储12月10日货币政策公告后的两天到期。 这些SOFR期权仓位有望从最多达两次的半个百分点降息，或在9月、10月和12月三次会议上三次分别25个基点的降息 政策中实现获益。与此相比，掉期市场目前定价则显得不那么鸽派，显示出截至12月美联储FOMC会议结束的约70个 基点的货币政策宽松预期，即押注美联储有望在剩余三次会议上分别降息2 ...

Core Viewpoint - Wall Street strategists are divided on whether the U.S. financing market will become more accommodative in the coming months, primarily due to increased volatility in overnight borrowing costs [1] Group 1: Market Dynamics - A series of events is driving up short-term interest rates, including the U.S. Treasury issuing more short-term bonds to rebuild cash reserves and the Federal Reserve reducing its balance sheet [1] - The use of key overnight lending tools by the central bank has dropped to nearly zero, raising investor concerns about the sharp rise in borrowing costs [1] - The Secured Overnight Financing Rate (SOFR) has been above the Federal Reserve's target rate since late August [1] Group 2: Divergent Views from Major Banks - JPMorgan, led by Teresa Ho, expects overnight rates to ease by year-end and recommends traders to buy December SOFR futures while selling equivalent federal funds futures [3] - JPMorgan anticipates the spread between SOFR (currently at 4.42%) and the 30-day federal funds rate (currently at 4.33%) to narrow by the end of 2025 [3] - Citigroup, led by Jason Williams, believes financing costs will remain high until year-end and suggests traders short December SOFR contracts relative to federal funds [4] Group 3: Future Projections - Citigroup expects SOFR to gradually rise in the coming months, citing guidance from the Treasury regarding increased Treasury bill auction sizes in October [4] - Barclays has exited a position betting on a narrowing spread between September SOFR and federal funds, indicating ongoing upward pressure on financing costs [4] - Morgan Stanley strategists believe market conditions may ease as soon as next month, suggesting a long position on the SOFR relative to federal funds spread for October 2025 [4] Group 4: Consensus on Historical Context - Both JPMorgan and Citigroup agree that the situation from September 2019, when financing costs surged and the Federal Reserve injected hundreds of billions into the financing market, is unlikely to repeat [5]

Core Viewpoint - Morgan Stanley's interest rate strategy team suggests that the Federal Reserve's future rate cuts may be more aggressive than current market pricing indicates [1] Group 1: Federal Reserve Rate Predictions - Morgan Stanley's baseline forecast indicates a 25 basis point rate cut at the upcoming monetary policy meeting, with an additional 25 basis point cut expected before December 2026 [3] - The market previously anticipated a "hawkish neutral" stance from Powell, focusing on inflation not returning to the 2% target, but Morgan Stanley notes a shift towards prioritizing labor market signals over inflation [3] - The team constructed three alternative scenarios for changes in the federal funds target rate, weighted by probability [3] Group 2: Scenarios for Rate Cuts - Scenario 1: Accelerating labor market weakness with non-farm payrolls below 100,000 for three consecutive months and unemployment exceeding 4.5%, leading to a potential shift to 50 basis point cuts at each meeting [3] - Scenario 2: Mild inflation rebound with moderate labor market weakness, maintaining the current rate cut pace but with a total cut exceeding the baseline by 50 basis points [3] - Scenario 3: A "soft landing" for the economy with synchronized mild adjustments in employment and inflation, aligning closely with the baseline rate cut path [3] Group 3: Probability Adjustments - The combined probability for the first two accommodative scenarios has been raised to 65%, while the neutral scenario's probability stands at 35% [4] Group 4: Investment Recommendations - Investors are advised to take three types of actions: 1. Go long on 5-year U.S. Treasuries, which are most sensitive to rate cut timing, as falling rates will boost bond prices [4] 2. Engage in steepening trades by establishing long positions at the short end of the yield curve while shorting at the long end to mitigate risks from rising long-term rates [5] 3. Go long on January 2026 federal funds futures, reflecting a bet that the future federal funds rate will be lower than current market pricing [5]

Core Viewpoint - The financial markets are showing a divergence in signals regarding the potential dismissal of Federal Reserve Chairman Jerome Powell, with prediction markets indicating a higher likelihood of his removal compared to the rates market, which remains more stable and focused on economic fundamentals [1][3][4]. Group 1: Market Signals - Prediction markets, particularly Polymarket, have seen increased betting odds on Powell being dismissed by 2025 following Trump's public demand for his resignation [1][3]. - In contrast, the rates market, particularly the federal funds futures market, has reduced its expectations for interest rate cuts, now predicting a decrease of 43 basis points by year-end, down from 67 basis points at the end of June [1][4]. Group 2: Economic Data Influence - Stronger-than-expected employment data has led the rates market to reassess the likelihood of significant rate cuts, indicating that economic resilience and inflation risks are influencing market sentiment [4]. - Treasury Secretary Mnuchin's more moderate stance on the Federal Reserve has provided a stabilizing effect on the rates market, contrasting with Trump's more aggressive rhetoric [1][4]. Group 3: Divergence Analysis - The divergence between prediction markets and rates markets began in early July, with the rates market focusing more on economic signals rather than political noise [3][4]. - Analysts suggest that while prediction markets may react to political statements, the rates market prioritizes economic fundamentals and policy signals, indicating a more cautious approach among traders [3][4].

Core Insights - The June employment data significantly exceeded expectations, with non-farm employment growth far surpassing predictions and an unexpected decline in the unemployment rate [1] - The market reacted swiftly, leading to a sharp drop in Treasury prices, a surge in overnight index swap (OIS) rates, and a collapse in secured overnight financing rate (SOFR) futures, resulting in a "bear flattening" of the yield curve [1] - The probability of a rate cut in July plummeted from 25% to 4% following the data release, indicating a strong labor market that supports the Federal Reserve's decision to maintain interest rates [1] Employment Data Analysis - State and local government jobs increased by 73,000, primarily in the education sector, while federal government jobs decreased by 7,000 [1] - Private sector employment growth was below expectations, yet the overall labor market remains robust, providing sufficient justification for the Federal Reserve to keep rates unchanged [1]

Group 1 - The financial markets are reassessing the Federal Reserve's interest rate cut expectations, posing new challenges for global stock markets and the dollar [1] - The Federal Reserve is currently adopting a cautious wait-and-see approach, awaiting further clarity on inflation and economic outlook [1] - There is a high level of uncertainty regarding the economic outlook, with officials expressing concerns about persistent inflation and potential economic weakness [1] Group 2 - Upcoming key economic data will provide insights into the true state of the U.S. economy, with a focus on the Personal Consumption Expenditures (PCE) price index [2] - The overall PCE is expected to slightly decrease to 2.2% year-on-year, the lowest level in seven months, while core PCE is projected to drop to 2.5%, the lowest since March 2021 [2] Group 3 - Economic data is not entirely optimistic, with a second estimate of Q1 GDP expected to confirm a 0.3% annualized decline [3] - Consumer confidence has fallen to its lowest level since June 2022, indicating a decline in market sentiment [3] - The market anticipates that the Federal Reserve will not cut rates before September, with a 40.1% chance of a delay in rate cuts [3] - The market's expectations for rate cuts this year have been reduced to only 40 basis points, the most moderate setting for 2025 in three months [3] - The trend of delayed rate cuts may invigorate long-term U.S. Treasury and gold prices, while putting pressure on the stock market and the dollar [3]

Core Viewpoint - Traders expect the Federal Reserve to maintain the benchmark interest rate in the upcoming two policy meetings and potentially lower it in September [1] Summary by Relevant Sections - **Interest Rate Expectations** - Traders predict a 91.8% chance that the Federal Reserve will keep the current interest rate range of 4.25% to 4.5% in June [1] - There is a 61.4% likelihood that the Fed will maintain the interest rate in July [1] - The probability of a 25 basis point rate cut in September is estimated at 52.4% [1]