固定收益周报（美债）：如何看待联储逆回购工具规模持续下行

2023-12-032023-12-03重要提示：本报告非期货交易咨询业务项下如何看待联储逆回购工具规模持续下行？...2.CFTC报告..如何看待联储逆回购工具规模持续下行？万亿，增加规模与ONRRP下降的规模基本一致。由于财政部将继续投资咨询业务资格：证监许可【2012】669号 3 8 9 3 4 4 5 6 6 8 8 9 9 于美债观点，我们维持明年美债收益率5.3%-5.5%的区间点位判断。本周美债周报我们关注近期联储逆回购工具规模持续快速下行的原因与后联储隔夜逆回购（ONRRP）使用量/10亿美元250020001500100050002021-01-042021-05-042021-09-042022-01-042022-05-042022-09-042023-01-042023-05-042023-09-04联邦基金利率的稳定。逆回购是指美联储出售国债等证券货币市场基金资产规模/10亿美元2023/11/29,5836.0860005836.0855005000450040003500300025002019/1/22020/1/22021/1/22022/1/22023/1/2逆回购账户（ONRRP）以及财政部的存款逆回购协议（ONRRP,国内）银行储备余额（Reserve）财政部TGA账户400000035000003000000250000020000001500000100000050000002019/11/292020/4/292020/9/292021/2/282021/7/312021/12/312022/5/312022/10/312023/3/312023/8/3130002500200015001000500-500-1000短期国库券净供给附息国债净供给对私人部门的净供给（国库券&附息国债)2018Q42019Q22019Q42020Q22020Q42021Q22021Q42022Q22022Q42023Q22023Q4冲垫作用仍维持稳定。持续至2025年年中（具体参见《曲线熊陡影响6543654321010年2年655443322022-04-082022-08-082022-12-082023-04-082023-08-08 10年风险中性利率_预期短期利率 10年期美债利率10年期限溢价（右轴）5.554.543.532023/6/12023/8/12023/10/10.60.40.20-0.2-0.4-0.6-0.8-1-1.2期限利差（bp）-10-30-50-70-90-110-130-15030y-10y10y-2y30y-2y2y-3m2023-01-022023-04-022023-07-022023-10-02收益率曲线变动(右轴，bp)2023-12-01 2023-11-161m3m1y2y5y10y30y50-5-10-15-20-25-30-350-1-2-3-4-5-6-7已定价加息/降息次数隐含政策利率（%，右轴）12/13/202301/31/202403/20/202405/01/202406/12/202407/31/202409/18/202411/07/202412/18/202401/29/20255.55.35.14.94.74.54.34.13.93.73.5i-share7-10年ETF期权Skew（25delta）i-share20年以上ETF期权Skew（25delta）0.150.10.050-0.05-0.1-0.152022/12/22023/2/22023/4/22023/6/22023/8/22023/10/22Y美债期货多头持仓资管杠杆基金交易商250000020000001500000100000050000002020-01-072021-01-072022-01-072023-01-072Y美债期货空头持仓资管杠杆基金交易商3000000250000020000001500000100000050000002020-01-072021-01-072022-01-072023-01-075Y美债期货多头持仓资管杠杆基金交易商35000003000000250000020000001500000100000050000002020-01-072021-01-072022-01-072023-01-075Y美债期货空头持仓资管杠杆基金交易商35000003000000250000020000001500000100000050000002020-01-072021-01-072022-01-072023-01-07资管杠杆基金交易商3000000250000020000001500000100000050000002020-01-072021-01-072022-01-072023-01-07资管杠杆基金交易商20000001800000160000014000001200000100000080000060000040000020000002020-01-072021-01-072022-01-072023-01-07超长10Y美债期货多头持仓资管杠杆基金交易商1200000100000080000060000040000020000002020-01-072021-01-072022-01-072023-01-07超长10Y美债期货空头持仓资管杠杆基金交易商70000060000050000040000030000020000010000002020-01-072021-01-072022-01-072023-01-07资管杠杆基金交易商90000080000070000060000050000040000030000020000010000002020-01-072021-01-072022-01-072023-01-07资管杠杆基金交易商60000050000040000030000020000010000002020-01-072021-01-072022-01-072023-01-07超长期美债期货多头持仓资管杠杆基金交易商100000090000080000070000060000050000040000030000020000010000002020-01-072021-01-072022-01-072023-01-07超长期美债期货空头持仓资管杠杆基金交易商90000080000070000060000050000040000030000020000010000002020-01-072021-01-072022-01-072023-01-077000000600000050000007000000600000050000004000000300000020000001000000035000003000000250000020000001500000100000050000002年期美债期货成交量 2212230323062309231212011310699928578716457504336292215814500000400000035000003000000250000020000001500000100000050000002年期美债期货持仓量 2212230323062309231212011310699928578716457504336292215815年期美债期货成交量 221223032306230923127000000600000050000004000000300000020000001000000012011310699928578716457504336292215815年期美债期货持仓量 221223032306230923121201131069992857871645750433629221581500000045000004000000350000030000002500000200000015000001000000500000010年期美债期货成交量 22122303230623092312120113106999285787164575043362922158110年期美债期货持仓量 2212230323062309231260000005000000400000030000002000000100000001201131069992857871645750433629221581180000018000001600000140000012000001000000800000600000400000200000016000001400000120000010000008000006000004000002000000超长10年期美债期货成交量 221223032306230923121201131069992857871645750433629221581超长10年期美债期货持仓量 22122303230623092312250000020000001500000100000050000001201131069992857871645750433629221581120000010000008000006000004000002000000长期美债期货成交量 22122303230623092312120113106999285787164575043362922158116000001400000120000010000008000006000004000002000000长期美债期货持仓量 221223032306230923121201131069992857871645750433629221581超长期美债期货成交量 221223032306230923121200000100000080000060000040000020000001201131069992857871645750433629221581超长期美债期货持仓量 2212230323062309231212011310699928578716457504336292215812.52.00.50.0-0.5-1.0美债期货基差运行特征 2Y5Y10Y超10Y长期超长期2015/01/022016/01/022017/01/022018/01/022019/01/022020/01/022021/01/022022/01/022023/01/02美债期货净基差运行特征 2Y5Y10Y超10Y长期超长期0.80.60.40.20.0-0.2-0.4-0.62015/01/022016/01/022017/01/022018/01/022019/01/022020/01/022021/01/022022/01/022023/01/02美债期货持有收益运行特征2.00.50.0-0.5-1.0 2Y5Y10Y超10Y长期超长期有效联邦基金利率(EFFR,右轴)6543210-1-2-32015/01/022016/01/022017/01/022018/01/022019/01/022020/01/022021/01/022022/01/022023/01/024039383736353433323130292827262524232221204039383736353433323130292827262524232221204039383736353433323130292827262524232221204039383736353433323130292827262524232221204038363432302826242220403938373635343340393837363534333231302928272625242322212040393837363534333231302928272625242322212040393837363534333231302928272625242322212040393837363534333231302928272625242322212040383634323028262422204039383736353433323130292827262524232221200.50-0.5-12年期美债期货跨期价差2206-22032209-22062212-22092303-22122306-23032309-23060.62312-23092403-23120.40.20-0.2-0.4-0.6-0.85年期美债期货跨期价差2206-22032209-22062212-22092303-22122306-23032309-23062312-23092312-23092403-23120.50-0.5-110年期美债期货跨期价差2206-22032209-22062212-22092306-23032309-23061.52303-22122306-23032309-23061.52312-23092403-23120.50-0.5-1-1.5超长10年期美债期货跨期价差2206-22032209-22062212-22092303-22122306-23032309-23062312-23092403-23122312-230920-1-2-3长期美债期货跨期价差2206-22032209-22062212-22092306-23032309-230612303-22122306-23032309-230612312-23092403-23120.50-0.5-1-1.5-2-2.5超长期美债期货跨期价差2206-22032209-22062212-220923