美国利率——保持流动性持续充裕

您正在收听《At Any Rate》，这是摩根大通的全球研究播客，我们将深入探讨当前固定收益、货币和商品市场中一些最重要趋势和主题背后的故事。

You're listening to At Any Rate, JPMorgan's global research podcast where we take a look at the story behind some of the biggest trends and themes in fixed income, currency, and commodity markets today.

我是美国短期策略主管何思颖。

I'm Theresa Ho, head of US short duration strategy.

我们已经有几周没有讨论美国利率了。

It's been a couple weeks since we've talked about US rates.

上一次我们聚在一起，我记得是在感恩节前。

The last time we were all together, I think it was right before Thanksgiving.

自那以后，发生了许多事情。

And since then, lots have happened.

我们举办了年度美国固定收益展望会议，我强烈推荐今年未能参加的人明年务必参加。

We've had our annual US Fixed Income Outlook Conference, which I highly recommend for those who didn't get to attend this year to attend next year.

我们举行了一次美联储会议，正如预期的那样，会议宣布降息，但同时还意外宣布了储备管理购买（RMP）。

We had a Fed meeting, which, as expected, delivered a rate cut, but also unexpectedly delivered reserve management purchases or RMPs.

此外，由于政府停摆，我们未能及时获得10月和11月的一系列数据，现在这些数据终于公布了。

And also, we had a string of data for the month of October and November that we didn't get because of the government shutdown and that we are getting now.

因此，国债收益率略有下降，市场尚未预期在2026年6月之前再次全面降息。

As a result, treasury yields are slightly lower with markets not pricing yet another full cut until June 2026.

TIPS盈亏平衡通胀率有所收窄，尤其是在短期端，而互换利差则扩大。

TIPS breakevens have narrowed, particularly at the front end, and swap spreads are wider.

与此同时，SOFR继续高于IORB，但仍处于联邦基金利率走廊之内。

Meanwhile, SOFR continues to trade elevated above IORB, but still inside the Fed funds corridor.

所以今天有很多内容要讨论。

So lots to talk about today.

为了帮助我深入探讨这些话题，我邀请了摩根大通的高级美国利率与通胀策略师菲比·怀特，以及美国利率衍生品负责人伊佩克·奥齐尔。

And to help me dig into these topics, I'm joined by Phoebe White, senior US rates and inflation strategist at JPMorgan, and Ipek Ozil, head of US interest rates derivatives.

欢迎，菲比和伊佩克。

Welcome, Phoebe and Ipek.

那么我们直接进入正题。

So let's dive right in.

菲比，我先从你开始。

Phoebe, let me start with you.

请为我们梳理一下国债收益率的现状。

Take us through what's happening with treasury yields.

曲线的两年期部分相对于中期似乎出现了显著的反弹。

The two year part of the curve seems to have rallied quite a bit relative to the belly.

你认为这是为什么？还有进一步下行的空间吗？

Why do you think that is, and do you think there's still more room to go?

当然。

Sure.

谢谢，特蕾莎。

Thanks, Theresa.

你说得对。

So you're right.

前端收益率一路下行，尤其是过去一周半左右。

The front end has led the way lower, especially over the past week and a half or so.

两年期收益率已下降了约15个基点。

Two year yields are down about 15 basis points or so.

两到五年期收益率曲线显著变陡。

The two's fives curve is sharply steeper.

我认为这里有几个因素可以解释，其中一些你在开场时已经提到过。

I think there are a few factors to point to here, some of which you've touched on in the intro.

那么我们先来看数据。

So let's first turn to the data.

本周是关键的数据发布周，但数据确实很混乱。

This week was a key week of data, but the data was definitely messy.

数据受到了停摆的影响。

It was distorted by the shutdown.

首先，在劳动力市场方面，我们在周二收到了就业数据。

First, on the labor market, we got the employment data on Tuesday.

总体而言，这份报告与我们的预期基本相符。

Generally, the report came in fairly close to our expectations.

我们10月份的总就业人数受到了较大拖累。

We had a big drag on the headline payrolls number for October.

这主要是由于政府职位因延迟离职而大幅减少所致。

That was driven by the the big drop in government jobs due to deferred resignations.

但在私营部门，招聘步伐确实仍然较弱，但令人稍感安心的是，最近几个月私营部门招聘的三个月平均增速有所上升。

But on the private side, we still had a a weak pace of of hiring for sure, but somewhat reassuring that the three month average pace of private hiring has moved up in recent months.

它并没有放缓。

It hasn't slowed.

失业率上升至4.6%。

The unemployment rate did move up to 4.6%.

我认为这一数字可能因政府停摆而被人为推高。

This number was probably distorted higher due to the shutdown.

我认为我们需要等待12月的报告，才能更清晰地了解劳动力市场的松弛程度。

I think we will need to wait for the December report to get a cleaner reading on how much slack there is in the labor market.

至于通胀数据，今天的CPI远低于预期。

And then on the inflation data, CPI today was much weaker than expected.

11月的核心CPI同比上涨2.6%。

Core CPI came in at 2.6% over a year ago in November.

这低于九月份的3.0%。

That's down from three point zero in September.

我们确实认为，由于shutdown，这份报告在多个方面被人为压低了。

We do think, again, this report was distorted lower due to the shutdown for a couple of reasons.

我认为，从更技术性的角度来看，在通常的月份里，篮子中的大部分商品实际上并未重新定价。

I think first on the more technical side, in a typical month, a large portion of the basket is actually not repriced.

这些项目会沿用上个月的数据，而这对十一月的指数造成了问题，因为大多数商品在十月都没有重新定价。

Those items are carried forward from the prior month, and this created issues for the November index because for most items, there was no repricing in October.

其次，十一月的价格采集工作在月内严重后置。

And then the second piece is price collection in November was quite backloaded in the month.

数据收集甚至直到11月14日才开始，因此我们认为抽样可能包含了比平时更多的折扣价格。

Data collection did not even start until November 14, so we think that sampling probably included more discounted prices than normal.

所以，再次强调，这些数据非常混乱，但我认为它压低了短期利率。

So, again, the data was quite messy, but I think that it has weighed on rates at the front end.

除了数据之外，市场显然高度关注下一任美联储主席的人选。

And then away from the data, there's obviously been a lot of focus on who the next Fed chair will be.

上周初，Polymarket上哈塞特的胜率仍约为80%。

Polymarket at the start of last week still had Hassett priced at about 80% odds or so.

他的胜率现在已降至接近50%，约52%。

His odds have now fallen to close to 50%, 52% or so.

沃勒和沃什现在仍被视为有力竞争者，尤其是沃什。

Waller and Worsch are now viewed as sort of still in the running, more notably Worsch.

我认为，正如你所指出的，特蕾莎，尽管短期利率下行，但1月份降息的概率仍仅约为25%，市场预计要到新任美联储主席上任后的6月才会完全降息。

And I think it's interesting, as you noted, Theresa, even though front end rates have moved lower, January is still priced for only about a 25% chance or so of a cut, and markets are not priced for a full cut until June when that new Fed chair is in place.

因此，这波走势似乎仍部分源于对美联储将出现更鸽派新领导层的预期。

So it does still seem like part of the move has to do with expectations of, you know, new, leadership at the Fed that is more dovish.

第三点，我认为，上周关于储备管理购买的公告发布后，短期利率被拖低。

And then the third piece, I think, is that the front end has been dragged lower in the aftermath of last week's announcement on reserve management purchases.

这些购买最初设定为每月400亿美元。

Those are initially set at a pace of 40,000,000,000 per month.

这一规模远高于原先的预期。

That was quite higher than was originally expected.

此外，纽约联储的实施说明指出，这些操作主要将在短期国库券中进行，但如有需要，也可购买期限在三年或以下的国债。

And then importantly, the implementation note from the New York Fed said that these operations would mostly be conducted in T bills, but if needed, treasury securities with maturities of three years or less could also be purchased.

我认为这一表述推动了该领域的利差扩大。

I think that statement has contributed to the richening in the sector.

当然，这种利差扩大也伴随着短期互换利差的扩大。

Of course, the richening has also come with a widening in front end swap spreads.

我认为我们应当理解，目前正处于短期国库券偿还期。

I think we should, understand, of course, that, we are in a T bill pay down period.

我们认为，加入这一表述的主要动机是为了保留灵活性，以避免国库券市场出现扭曲。

We think that the motivation for including the statement was primarily to retain flexibility to avoid distortions in the bills market.

我认为这里的关键点是，我们不认为这应被视为量化宽松。

And I think the key point here is we don't think that this should be perceived as QE.

因此，综合考虑这三个因素，我认为这一走势已经略微走得太远。

So taking all those three factors in combination, I think this move has extended a bit too far.

再次强调，两年期收益率已回到今年迄今的最低水平。

Again, two year yields are back near their year to date lows.

我们认为，在近期收益率不太可能突破当前区间。

We don't think that yields are likely to break out of the range in the near term.

因此，我认为在未来几周前端收益率的任何回升，都可能使两到五年期收益率曲线从当前水平进一步变平。

So I think any rebound higher in front end yields in coming weeks would likely push that two's fives curve somewhat flatter from current levels.

谢谢，菲比。

Thanks, Phoebe.

我很高兴你提到了RMP，因为在货币市场，这一直是人们问我最多的问题之一。

And I'm glad you brought up RMPs because, you know, in the money markets that has been, one of the questions that I've been getting a lot.

正如你所说，这并不被视为量化宽松，关键在于他们通过你的票息进行购买，这实际上是为避免TPO市场出现扭曲而进行三年期票息购买的主要动因。

And as you said, it is not considered QE, just the fact, you know, that they're buying through your coupons is really the the driver behind the the three year coupon purchases is really a desire to not have distortions in the TPO market.

但我确实想进一步扩展一下RMP这个话题，因为它不仅影响国债发行，还影响美联储资产负债表、互换利差和回购市场，你之前也提到了这些。

But I do wanna expand expand the RMP topic a little bit more because it does have implications for not only treasury issuance, but also the Fed balance sheets, swap spreads, the repo markets, which you kind of alluded to earlier.

所以从你的角度来看，从财政部的角度来看，有什么变化吗？

So I guess from your perspective, you know, what has changed from the treasury's perspective?

所以我提到，美联储最初每月的购买速度为400亿美元。

So I mentioned the Fed is starting with a pace of 40,000,000,000 per month in terms of purchases.

指导方针是，这一节奏将保持在高位，直至四月中旬，以抵消纳税日前后储备金的急剧暂时下降。

The guidance is that the pace will remain elevated through mid April to offset the sharp temporary drop in reserves around tax day.

因此，根据这一指导，我们假设在四月中旬之前每月维持400亿美元的购买节奏，之后降至每月约200亿美元。

So based on that guidance, we assume a 40,000,000,000 per month pace through mid April and then a pace that steps down to about 20,000,000,000 per month thereafter.

此外，我们知道美联储每月将通过二级市场购买，将约150亿美元的MBS本金偿还再投资于国库券。

On top of that, we know the Fed will be reinvesting roughly 15,000,000,000 of MBS paydowns per month into T Bills via secondary market purchases.

因此，总体而言，我们现在预测美联储将在2026年通过二级市场购买约4900亿美元的国库券。

So in total, we now project the Fed will purchase about 490,000,000,000 of T Bills in the secondary market in 2026.

这将仅留下约2740亿美元的净国库券发行量需要由公众吸收。

That would leave just 274,000,000,000 or so of net T Bill issuance to be absorbed by the public.

所以我认为这一点受到了广泛关注。

So I think there's a lot of focus on this.

当然，有人可能会认为，财政部现在可以更长时间地依赖国库券，而无需扩大票息债券的拍卖规模。

You know, certainly, one could make the argument that treasury can now lean more on bills for longer before having to increase coupon auction sizes.

我们并未改变我们的预测。

We haven't changed our forecast.

我们仍认为财政部将在明年十一月增加拍卖规模。

We still see treasury increasing auction sizes next November.

我认为关键在于，即使美联储吸收了大部分这种发行，国债中短期国库券占比上升仍会增加融资成本的波动性。

And I think the key thing is that even if the Fed is absorbing much of this issuance, a rising T Bill share of outstanding debt would still add to increased volatility of financing costs.

这仍要求财政部保持更高的现金余额，以应对市场准入丧失的风险。

It still would require treasury to hold a higher cash balance to protect against the loss of market access.

因此，我们认为审慎的债务管理策略仍应避免让国库券占比过高，因此我们的预测仍预计首次上调将在十一月进行。

So we think a prudent debt management strategy would still avoid letting that T Bill share climb too high, and hence, our forecast still calls for that first round of increases to come in November.

明白了。

Got it.

这非常有帮助。

That's very helpful.

Deepak，现在我想转给你。

Deepak, I wanna turn it to you now.

你一直在预测美联储的资产负债表。

You do a lot of work forecasting the Fed's balance sheet.

正如菲比所说，根据定期回购计划，美联储预计在四月前每月购买400亿美元，此后每月购买200亿美元。

And as Phoebe said, with the RMPs, the Fed is expected to buy $40,000,000,000 a month of purchases through April and then twenty billion dollars per month thereafter.

这对美联储资产负债表的资产端意味着什么？更重要的是，对负债端意味着什么？

What does that mean for the Fed's balance sheet from an asset side and more importantly from the liability side?

这将如何改变美联储资产负债表的构成？

How does that change kind of the composition of the Fed's balance sheet?

谢谢，特蕾莎。

Thanks, Theresa.

所以，资产端相对简单，对吧？

So the asset side is going to be relatively simple, right?

正如你所说，美联储计划通过定期回购计划来扩大其资产负债表。

Like, as you said, the Fed is looking to grow its balance sheet by the amount of the RMPs.

因此，我们预计其资产负债表将从当前水平增加约3万亿美元，到明年年底接近6.9万亿美元。

So we expect it to grow about $300,000,000,000 from current levels, reaching to near $6,900,000,000,000 by year end next year.

而负债端则会更有趣一些。

The liability side is what's going to be a bit more interesting.

因此，IMP的规模大于我们预期的货币增长。

So the size of IMPs is larger than the currency growth that we're expecting.

这大约相当于每年1000亿美元。

So that is roughly like $100,000,000,000 per year.

这意味着系统中的准备金规模也将增长。

So that means the size of the reserves in the system are going to grow as well.

我们预计准备金将接近3.2万亿美元，到年底将超过3万亿美元。

And we expect reserves to reach near $3,200,000,000,000 so over $3,000,000,000,000 by year end.

当然，四月纳税日前后由于TDGA规模扩大，会出现一些波动。

And of course, there will be some fluctuations around April tax day as TDGA grows in size.

但总体而言，这意味着对系统中的准备金和存款都是有利的。

But overall, what this means is it's supportive for reserves and is supportive for deposits in the system.

所以，我想跟进一下，你提到系统中准备金增加，显然意味着系统流动性增强，而这通常有利于扩大互换利差，过去几周我们确实看到了这一点。

So I guess just to follow-up on that, I mean, you have mentioned with more reserves in the system, clearly, then that means there's more liquidity in the system, and that is usually supportive of wider swap spreads, which we have seen in in spreads the past couple of weeks.

在这种背景下，你如何看待未来的互换利差？

In that context, I mean, how are you thinking about swap spreads going forward?

所以这完全正确。

So that's exactly right.

在其他条件相同的情况下，你会预期互换利差会扩大。

You would expect wider swap spreads, all else equal.

实际上，我们已经将2026年互换利差的预期略微上调，较之前的预测更宽一些。

And actually, we did revise our outlook for swap spreads for the 2026, slightly wider from our previous forecast.

因此，这会产生影响的两个方面是：第一，杠杆成本，我们将其定义为美联储SOMA投资组合之外的总可交易债务与流动性系统之间的差额，以及商业银行存款，我们用其作为银行需求的代理指标。

So the two places where this has an impact is, I guess, one, the cost of leverage, which we define as the total net marketable debt outside of the FEDSOMOR portfolio versus the liquidating system, and commercial bank deposits, which we use as a proxy for bank demand.

因此，RMP的影响体现在两者上：意味着美联储资产负债表规模更大，同时系统内流动性增加，这意味着这一因素（至少是第一个因素）在未来一年对互换利差的推动作用会减弱。

So RMP's impacts both like it means a larger Fed balance sheet and also more liquid in the system, which means this factor or at least the first factor will be less of a driver of swap spreads in the next year.

此外，更高的存款也有助于增强银行的需求。

And also with higher deposits, it is also supportive for bank demand.

因此，在其他条件相同的情况下，所有因素都指向互换利差将进一步扩大，但目前互换利差的基本面已经处于较宽水平。

So all else equal, everything points to wider revision to swap spreads, but swap spreads are already wider fundamentals.

因此，我们仍预计在明年上半年互换利差会略有收窄。

So we do expect a modest narrowing in swap spreads through the first half of next year still.

谢谢，迪帕克。

Thanks, Deepak.

也许我可以接着你刚才关于RMPs从融资角度所说的话补充一下，那就是RMPs显然对融资市场也非常有利。

And maybe I could just build on, you know, what you said about RMPs from the funding perspective, which is that the RMPs are clearly also very supportive of the funding markets.

因此，自上周宣布以来，我们看到了白银资金的显著上涨。

And and as a result, we've seen a pretty decent rally of silver funds since the announcement last week.

我们一直预期美联储会在明年早些时候重新开始储备管理购买，因为回购利率一直处于较高水平。

You know, we have been anticipating that the Fed was going to re begin reserve management purchases as early as next year given where repo was trading, which was elevated.

但它们提前了RMPs的实施时间和规模，这让我们觉得美联储希望采取谨慎态度，以缓解货币市场的波动，尤其是在年底和明年年初纳税季来临之际，考虑到2019年9月发生的情况，这种做法完全可以理解。

But the fact that they brought forward the timing and the sizing of the RMPs felt like to us that the Fed wanted to on the side of caution and temper any volatility in the money markets, especially heading into year end and into tax season earlier early next year, which is completely understandable given what happened in September 2019.

我认为，这隐含地表明美联储内部普遍承认，现有的回购操作（原称常设回购便利）虽然在运行并被使用，但可能并未达到他们预期的效果。

I think implicitly, it also suggests that there's some acknowledgment across the Fed that the standing repo operations, formerly known as the standing repo facility, while it was working and seeing usage, was probably not working as well as they hoped.

而要使其改善到更好的状态，还需要时间。

And to get it to a better place will take time.

因此，对他们而言，更稳妥的做法是在后台继续改进常设回购操作的同时，向系统中增加储备和流动性。

So, you know, the more conservative thing for them to do is just to add reserves and liquidity back into the system while also continue to try to improve the standing repo operations in the coming months in the background.

所以在十月会议纪要中，美联储并不知道他们未来某时会考虑集中清算这些回购操作。

And so, you know, in the October meeting minutes, the Fed didn't know that they were looking at, you know, the centrally clearing those repo operations at some point in the future.

所以希望我们在2026年能听到更多相关信息。

So hopefully, we'll hear more about that in 2026.

但我想说的是，虽然RMPs确实向系统注入了流动性，但并不能完全消除我们在回购市场中一直看到的压力。

But I guess the one thing I will say about the RMPs is that while it does add liquidity back into the system, it's also not going to completely take away all the pressures that we have been seeing in the repo markets.

我的意思是，我们仍将面对回购市场——尽管有序，但依然碎片化且容易受到摩擦影响，特别是考虑到我们预计明年回购供应量还将增加。

I mean, we're still going to be dealing with repo markets that, while orderly, continues to be fragmented and exposed to frictions, especially considering that we estimate that there is going to be more repo supply next year.

因此，我预计回购利率至少在明年上半年将继续维持在较高水平并更具波动性，即使波动幅度可能不会像过去几个月那样剧烈。

And so I do anticipate repo to continue to trade elevated and more volatile at least in the first half of next year as reserves build back up to a higher level, even if the volatility may not be, you know, as high as we have seen over the past few months.

好了，我们就说到这里。

And with that, let's leave it there.

我想今天我们已经讨论了很多内容。

I think we covered a lot today.

感谢您的收听。

Thank you for listening.

这是今年我们的最后一期美国利率播客。

This will be our last US rates podcast this year.

敬请关注2026年更多《Any Rate》——摩根大通全球研究播客系列的节目。

Stay tuned for more episodes of the Any Rate, JPMorgan's global research podcast series in 2026.

本通讯仅作信息参考之用。

This communication is provided for information purposes only.

如需更多信息，包括重要披露内容，请阅读摩根大通相关的研究报告。

Please read JPMorgan research reports related to its contents for more information, including important disclosures.

版权所有2025年。

Copyright 2025.

摩根大通公司。

JPMorgan Chase and Co.

保留所有权利。

All rights reserved.

本节目录制于2025年12月18日。

This episode was recorded on 12/18/2025.