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mengseng
2021-08-08

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CICC Overseas: What if US Treasury yields goes up again?

摘要周五公布的7月非农（94.3万）超出预期和前值，呈现出局部受变异病毒复发影响放缓甚至停滞、但整体依然持续改善的态势。在此基础上，我们更新了对于就业市场何时达到美联储门槛的测算，发现大概还需要5个

CICC Overseas: What if US Treasury yields goes up again?

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老八公
·2021-08-08
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{"i18n":{"language":"en_US"},"data":{"magic":2,"id":891466099,"tweetId":"891466099","gmtCreate":1628413014211,"gmtModify":1703506035456,"author":{"id":3579764409572228,"idStr":"3579764409572228","authorId":3579764409572228,"authorIdStr":"3579764409572228","name":"mengseng","avatar":"https://static.tigerbbs.com/fa459e0d8e39660281c1567ec5207287","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":4,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body>???</body></html>","htmlText":"<html><head></head><body>???</body></html>","text":"???","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":1,"repostSize":0,"favoriteSize":0,"link":"https://ttm.financial/post/891466099","repostId":1183188196,"repostType":4,"repost":{"id":"1183188196","kind":"news","weMediaInfo":{"introduction":"市场策略研究、热点问题观察、分享最新观点：美国与海外市场、H股、及中概股市场","home_visible":1,"media_name":"Kevin策略研究","id":"1090746012","head_image":"https://static.tigerbbs.com/54c3f16355434883aa8d30b4dc5a7d90"},"pubTimestamp":1628405337,"share":"https://ttm.financial/m/news/1183188196?lang=en_US&edition=fundamental","pubTime":"2021-08-08 14:48","market":"us","language":"zh","title":"CICC Overseas: What if US Treasury yields goes up again?","url":"https://stock-news.laohu8.com/highlight/detail?id=1183188196","media":"Kevin策略研究","summary":"摘要\n周五公布的7月非农（94.3万）超出预期和前值，呈现出局部受变异病毒复发影响放缓甚至停滞、但整体依然持续改善的态势。在此基础上，我们更新了对于就业市场何时达到美联储门槛的测算，发现大概还需要5个","content":"SUMMARYThe July non-agricultural revenue (943,000) announced on Friday exceeded expectations and the previous value, showing a partial slowdown or even stagnation due to the recurrence of mutated viruses, but the overall trend of continued improvement. On this basis, we updated our calculation of when the job market will reach the Fed's threshold, and found that it will take about five months to reach the threshold of 64% employment recovery similar to the official reduction in 2013. Therefore,December FOMC officially cuts volumes、The revised statement in September suggested that it still seems to be a high probability event。In addition, the non-agricultural data itself may not have many circles.But data that didn't exceed expectations drove US Treasury yields and the US Dollar Index sharply higher, the reasons behind it are worth thinking about, which may indicate that the previous continued low interest rates and the suppressed short rebound only need an introduction.We believe that the trend of interest rates in the past period is not incomprehensible in direction, but the decline is even more surprising。 In this context, it is necessary to pay attention to or even guard against the possibility that the interest rate, which is continuously suppressed like a spring for whatever reason, will be induced by some catalysts.What may become a catalyst for rising interest rates in the future?1) Recovery of growth expectations: If the key growth data improves or the epidemic situation of mutated viruses falls back. Biden's new round of infrastructure progress currently being promoted is also worthy of attention.2）Policy exit expectations heat up: For example, the FOMC hinted at a reduction in volume in September or the Jackson Hole meeting in August began to blow. Since changes in interest rates will reflect expectations in advance, it is more important to start hinting at reductions than formal implementation. In addition, after the debt ceiling issue is resolved, the Ministry of Finance can issue bonds again, and the rising supply of Treasury Bond may also increase the upward pressure on interest rates.The impact of another rise in interest rates?1）Velocity: Excessively rapid rise in interest rates means increased volatility in bond assets, which will bring about cross-asset volatility contagion, which will in turn have an impact on U.S. stocks and other markets, especiallyRelatively high valuation sectorsBring greater disturbance;2）Orientation and structure: Rising long-term interest rates, especially widening interest rate spreads, are beneficialFinanceThe performance of the sector;3）Drivers: Rising real interest rates are not conducive to interest rate-sensitive assets, such asGold, may also push updollar。 In terms of style performance,ValueAlso relatively better thangrow up, but high-quality growth with reasonable valuations is still attractive.This week's focus: Possible triggers for another rise in interest rates and their impact1. Non-agricultural data and its impact on monetary policy? Reductions at the end of the year and September hints are still a high probabilityThe July non-agricultural revenue (943,000) announced on Friday exceeded expectations (870,000) and the previous value (938,000), showing that some parts (such as retail, leisure hotels and other service industries) have slowed down or even stagnated due to the recurrence of mutated viruses. However, overall employment continues to improve (Charts 1 ~ 2). On this basis, we updated our calculation of when the job market will reach the Fed threshold (the so-called further substantial progress), and found that it will take about five months to reach a level similar to the 64% employment recovery during the official reduction in 2013 (Chart 3). Therefore,The FOMC officially reduced volumes in December and revised the statement in September suggested that it still seems to be a high probability event(Figure 4).<img src=\"https://static.tigerbbs.com/de929b3cb3fb6228e5e6c15e33c40852\" tg-width=\"941\" tg-height=\"366\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/7ca7a453adbea56310974439653b4fab\" tg-width=\"739\" tg-height=\"721\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/d50420cdf87bd41d7eca9eb86992c448\" tg-width=\"948\" tg-height=\"356\" referrerpolicy=\"no-referrer\">In addition to the characteristics mentioned above, the non-agricultural data itself may not have many circles, but the data that did not exceed expectations pushed US Treasury yields and the US Dollar Index up sharply (Chart 5). The reasons behind it are worth pondering. ThisCould indicate previously persistently lower interest rates and a suppressed short rally(Figure 6), just need an introduction.<img src=\"https://static.tigerbbs.com/5bf8a204aa021f702ba2aea0f056cdf6\" tg-width=\"950\" tg-height=\"730\" referrerpolicy=\"no-referrer\">2. What are the reasons and enlightenments for the fall in interest rates in the past period? The direction is understandable, but the level does not matchThe 10-year U.S. bond has continued to decline since mid-May, once falling to a low of 1.17%, with a maximum drop of more than 50bp from the high point. First, the fall in inflation expectations dominated (\"Monthly Report on Overseas Asset Allocation (2021-7) Re-Fall in Inflation Trading\"). After the FOMC meeting in June, the real interest rate took over and hit a record low (\"What is the recent rise in the US dollar and the decline in long-term bonds?\" June 14 ~ June 20, 2021 \"). During this period, the Fed's dot plot and technical adjustments to Interest Rate Corridor triggered \"selling short and buying long\" (\"What is the US Treasury yields trading downward? July 5-July 11, 2021\"), short covering, and Chinese unexpected RRR cuts triggered growth concerns, the surge in reverse repurchases actually increased demand for Treasury Bond (\"How to understand the Fed's reverse repurchase surge and the Interest Rate Corridor mechanism?\" June 28-July 4, 2021 \",\" The Fed has actually \"shrinking balance sheet\"? July 19-July 25, 2021 \").We believe that the trend of interest rates over the past period is not incomprehensible in that directionAfter all, we reminded in the previous stage of rapid interest rate rise that the rise in interest rates is intermittent and requires new catalysts; At the same time, it is relatively certain that long-term inflation expectations will gradually fall, and the disturbance of short-term growth momentum caused by the recurrence of mutant viruses cannot be completely ignored.In contrast, its decline is even more surprising and puzzling, especially the trend of real interest rates hitting new lows is more trading expectations of an economic recession than an immediate slowdown in growth momentum。In this context,We believe that we need to pay attention to and even guard against the possibility that interest rates, which are continuously suppressed like a spring for whatever reason, will pump back under some catalyst, the performance of long-term interest rates after Friday's non-farm payrolls data may be an example.3. What may be a catalyst for rising interest rates? Pandemic, FOMC, infrastructure package and debt ceilingAdmittedly, in many cases, the short-term trend of interest rates will be affected by trading factors and it is difficult to completely explain by fundamentals, but some inflection points still have rules to follow, especially some key event catalysts. Referring to the forces that led to the downward trend of interest rates in the previous period, we believe that the following events or time points are worthy of attention:► Growth expectations are repaired: If key growth data improves or the epidemic situation of mutated viruses peaks and falls.We once analyzed in the \"Overseas Asset Allocation Monthly Report (2021-8): Short-term Stagflation-like Trading\" that we believe that the market may have overestimated the impact of mutated viruses and the pressure of declining growth, which in turn has led to continued new lows in interest rates in the near future. Although the market is worried that the real interest rate may not return to the previous level because the long-term growth prospect is still unstable, it is obviously a mismatch to be at such a low position.What's more, this round of recurrence of mutated viruses may not be as severe as it appears for countries that have achieved large-scale vaccination。 Large-scale vaccination ensures that the number of hospitalizations and deaths can remain low while the number of new confirmed cases continues to rise, thus eliminating the need for strict blockades at the policy level to avoid a run on medical resources (Figure 11). This epidemic prevention path seems to have gradually achieved results in the UK (\"Inspiration from the UK's Phased Anti-epidemic Achievements Weekly Tracking of Epidemic Resumption (July 31)\"), and may then become a model for the future epidemic prevention path of other similar countries such as the United States (Figure 12 ~ 13). If so, there may be too much concern reflected by the market in the near future, especially through real interest rates,In the future, if the epidemic falls from its high point, it may become an inflection point for interest rates to rise。 Of course, some key data, such as the better-than-expected non-agricultural data released on Friday, can also have the effect of dispelling growth concerns.Furthermore,Biden's new round of infrastructure progress currently being promoted is also worthy of attention, will usher in a key vote in the Senate next week. Although the scale is significantly smaller than previously expected (Chart 29), the expected changes that may be brought about by achieving breakthrough progress are still worthy of attention.<img src=\"https://static.tigerbbs.com/eaa4d382044f3e8091819910e06a8978\" tg-width=\"955\" tg-height=\"767\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/7fcb63bcf80933f46eb1bf53cfa78c8c\" tg-width=\"931\" tg-height=\"516\" referrerpolicy=\"no-referrer\">► Policy exit expectations are heating up: for example, the FOMC hinted at a reduction in September or the Jackson Hole meeting in August began to blow.Since changes in interest rates will reflect expectations in advance, it is more important to start hinting at reductions than formal implementation.This was the case before the official reduction in 2013. At the FOMC meeting in October of that year, the Federal Reserve maintained its September statement to establish that the reduction was coming, and interest rates bottomed out and rebounded until they peaked after the official reduction started in December. During this period, real interest rates were the main driver (Exhibit 17). Considering that the current real interest rate is at a historically low level, and the long-term inflation expectation is expected to fall with the expectation of policy tightening and the marginal easing of the contradiction between supply and demand (such as second-hand car production capacity and inventory repair, Figures 14 ~ 15), it is still possible that the real interest rate rises mainly.<img src=\"https://static.tigerbbs.com/96521f1df2184a69d1284a5913ba39ab\" tg-width=\"737\" tg-height=\"572\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/bb6eb34dcb6f4964753daf3320fd0df3\" tg-width=\"940\" tg-height=\"511\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/fdd2633cef77af2bb7189a51246cd314\" tg-width=\"936\" tg-height=\"368\" referrerpolicy=\"no-referrer\">Furthermore,After the debt ceiling issue is resolved, the Ministry of Finance can issue bonds again, and rising Treasury Bond supply may also increase upward pressure on interest rates。 In the early stage, the TGA account of the Ministry of Finance released a large amount of liquidity and returned it to the Federal Reserve account through reverse repurchase, which not only \"locked\" some liquidity, but also substantially increased the demand for Treasury Bond. Looking ahead, after the debt ceiling is resolved (the emergency measures of the Ministry of Finance can last until the end of September) (Chart 19), the Ministry of Finance can issue bonds again and is expected to replenish part of TGA cash reserves (Chart 20), and the increase in Treasury Bond supply may also increase the upward pressure on interest rates.<img src=\"https://static.tigerbbs.com/eaeb4ca9f250bc987b71070d1466d870\" tg-width=\"946\" tg-height=\"357\" referrerpolicy=\"no-referrer\">4. What is the impact of interest rate rising again? Speed, Construction and DriveBased on the above analysis, under the catalysis of some future growth and liquidity events or policies,Long-term interest rates do not rule out another upward trend, especially real interest rates. Among them, the signal of the Federal Reserve's September FOMC meeting on reductions deserves close attention, but it does not rule out gradual peaking after the official reduction starts(Exhibit 21).So, if interest rates go up again, what impact will it have? We believe that it is mainly reflected in the following aspects:1) velocity,Excessive rise in interest rates means increased volatility in bond assets, which will bring cross-asset volatility contagion, which will in turn bring greater disturbance to U.S. stocks and other markets, especially relatively high-valuation sectors (Figure 22);2) Orientation and structure:The rise in long-term interest rates, especially the widening of interest rate spreads, is conducive to the performance of the financial sector (Charts 23 ~ 24), as was the case after the non-agricultural data on Friday;3) Drivers:The rise in real interest rates is not conducive to interest rates, especially interest-sensitive assets, such asGold(Chart 25), and may also push updollar(Exhibit 26). In addition, in terms of style performance, value is relatively better than growth (Chart 27). However, it should be noted that since it is no longer in the acceleration stage of increase and the launch of liquidity is gradually approaching, although we expect another round of rising interest rates, it may also be the last wave.Therefore, high-quality growth with reasonable valuation is still attractive.<img src=\"https://static.tigerbbs.com/c183194b4ae3baec72aa317f1d9adbf6\" tg-width=\"954\" tg-height=\"397\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/5be2ba7872bac80f04056c66510b1587\" tg-width=\"955\" tg-height=\"360\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/d7e9f3df9445122220011f3aee999981\" tg-width=\"956\" tg-height=\"704\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/f076f1627a7036f0f36d5a4ad308acf1\" tg-width=\"956\" tg-height=\"360\" referrerpolicy=\"no-referrer\">Market dynamics: Non-farm payrolls exceeded expectations, pushing US Treasury yields and the US dollar to soar, with banks leading the gains; Emerging bulls decrease, U.S. bond bulls plummet► Asset Performance: Leading. Stocks > Bonds > Bulk; US Treasury yields Picks Up, Banks Lead GainsNon-farm employment data in July exceeded expectations. Although repeated epidemics have dragged down the recovery of some service industries, the overall job market is still strong. The U.S. dollar and US Treasury yields factors have risen sharply, with banks leading the gains. Overall, among the world's major assets, stocks > bonds > bulk, natural gas, Bitcoin, Indian and Korean stock markets led the gains, while crude oil, VIX bulls, copper, and gold led the losses. In terms of sectors, financial sectors including banking, comprehensive finance, and insurance led the gains last week. The 10-year US Treasury yields closed at 1.30%, an increase of about 7bps, real interest rates rose by 11bps, and inflation expectations fell by 4bp.<img src=\"https://static.tigerbbs.com/e6b3202772105670fdedf25ab5c8ac22\" tg-width=\"943\" tg-height=\"431\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"><img src=\"https://static.tigerbbs.com/eb5793ee0f835fc4399a6147905be212\" tg-width=\"948\" tg-height=\"355\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/df48633b96eef4a3abe734c7ea22f16c\" tg-width=\"950\" tg-height=\"361\" referrerpolicy=\"no-referrer\">► Sentiment positions: Emerging bulls plummet, long-term U.S. bond bulls decreaseIn the past week, the ratio of bearish/bullish options in U.S. stocks continued to fall compared with last week. In terms of positions, the net long position of U.S. stocks rose slightly, and the net long position of the US Dollar Index continued to increase; The net long position of 10-year U.S. bonds has decreased significantly, and the net short position of 2-year U.S. bonds has turned into net long.<img src=\"https://static.tigerbbs.com/91a118885ec9541cd261cae8154362a7\" tg-width=\"951\" tg-height=\"728\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/8307269123bdf4233f4abd11fbcd767f\" tg-width=\"955\" tg-height=\"346\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/061f59624c4e22c051463b05dcf577d3\" tg-width=\"952\" tg-height=\"708\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/57c5b8402a85ace1675a182495a2a6ef\" tg-width=\"944\" tg-height=\"365\" referrerpolicy=\"no-referrer\">► Funds Flow: Stock market inflows slow, emerging turns to outflowsIn the past week, bond market inflows have slowed slightly, stock market inflows have slowed significantly, and money market funds have continued to flow in. Looking at different markets, the inflow of U.S. stocks slowed down sharply, Europe and Japan continued to flow in but also slowed down, and emerging markets turned into outflows.<img src=\"https://static.tigerbbs.com/18276a69b2614b955d4a258055c1724a\" tg-width=\"946\" tg-height=\"766\" referrerpolicy=\"no-referrer\">► Fundamentals and policies: July non-agricultural payrolls exceeded expectations, ISM manufacturing PMI fellThe ISM manufacturing PMI fell in July, and prices and customer inventories fell significantly.The July ISM manufacturing PMI fell to 59.5 in July from 60.6 in June, missing expectations of 61.0. In terms of sub-items, the price index fell the largest since March 2020, indicating to a certain extent that inflationary pressures have eased. The employment index and orders on hand index rose, and the customer inventory index hit a record low.Furthermore,Non-farm payrolls remained strong in July, and leisure hotels remained the main source。 In July, 943,000 new non-agricultural jobs were created, higher than the revised previous value (938,000) and expectations (870,000); In terms of sub-items, leisure hotels are still the main source of new jobs, with an increase of 380,000 in July. Health, transportation and warehousing, financial activities, and information improved the most compared with the previous month. The unemployment rate also fell to 5.4% in July from 5.9% in the previous month, lower than the expected 5.7%. At the same time, the month-on-month wage growth rate in July remained at the level of June, reaching 0.4%, higher than the expected 0.3%.<img src=\"https://static.tigerbbs.com/4b7c8e39876fbe05cefc701f4fe09d69\" tg-width=\"949\" tg-height=\"320\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/08e6eb406a515a108821959e2ea4ccb2\" tg-width=\"952\" tg-height=\"362\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/ce204e743bdd4bbac9e90b8c6e3a91d9\" tg-width=\"413\" tg-height=\"315\" referrerpolicy=\"no-referrer\">► U.S. stock valuations above growth and interest rate environment support levelsWith the 10-year US Treasury yields rising and the ISM manufacturing PMI falling, the current S&P 500 index's 27.1 times static P/E is higher than the reasonable level that growth (July PMI = 59.5) and liquidity (10-year US Treasury yields 1.30%) can support (~ 26.8 times).<img src=\"https://static.tigerbbs.com/7f99f376902d96742c5fab1597b79804\" tg-width=\"945\" tg-height=\"353\" referrerpolicy=\"no-referrer\">","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>CICC Overseas: What if US Treasury yields goes up again?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nCICC Overseas: What if US Treasury yields goes up again?\n</h2>\n<h4 class=\"meta\">\n<a class=\"head\" href=\"https://laohu8.com/wemedia/1090746012\">\n\n<div class=\"h-thumb\" style=\"background-image:url(https://static.tigerbbs.com/54c3f16355434883aa8d30b4dc5a7d90);background-size:cover;\"></div>\n\n<div class=\"h-content\">\nKevin策略研究 \n2021-08-08 14:48\n</div>\n</a>\n</h4>\n</header>\n<article>\nSUMMARYThe July non-agricultural revenue (943,000) announced on Friday exceeded expectations and the previous value, showing a partial slowdown or even stagnation due to the recurrence of mutated viruses, but the overall trend of continued improvement. On this basis, we updated our calculation of when the job market will reach the Fed's threshold, and found that it will take about five months to reach the threshold of 64% employment recovery similar to the official reduction in 2013. Therefore,December FOMC officially cuts volumes、The revised statement in September suggested that it still seems to be a high probability event。In addition, the non-agricultural data itself may not have many circles.But data that didn't exceed expectations drove US Treasury yields and the US Dollar Index sharply higher, the reasons behind it are worth thinking about, which may indicate that the previous continued low interest rates and the suppressed short rebound only need an introduction.We believe that the trend of interest rates in the past period is not incomprehensible in direction, but the decline is even more surprising。 In this context, it is necessary to pay attention to or even guard against the possibility that the interest rate, which is continuously suppressed like a spring for whatever reason, will be induced by some catalysts.What may become a catalyst for rising interest rates in the future?1) Recovery of growth expectations: If the key growth data improves or the epidemic situation of mutated viruses falls back. Biden's new round of infrastructure progress currently being promoted is also worthy of attention.2）Policy exit expectations heat up: For example, the FOMC hinted at a reduction in volume in September or the Jackson Hole meeting in August began to blow. Since changes in interest rates will reflect expectations in advance, it is more important to start hinting at reductions than formal implementation. In addition, after the debt ceiling issue is resolved, the Ministry of Finance can issue bonds again, and the rising supply of Treasury Bond may also increase the upward pressure on interest rates.The impact of another rise in interest rates?1）Velocity: Excessively rapid rise in interest rates means increased volatility in bond assets, which will bring about cross-asset volatility contagion, which will in turn have an impact on U.S. stocks and other markets, especiallyRelatively high valuation sectorsBring greater disturbance;2）Orientation and structure: Rising long-term interest rates, especially widening interest rate spreads, are beneficialFinanceThe performance of the sector;3）Drivers: Rising real interest rates are not conducive to interest rate-sensitive assets, such asGold, may also push updollar。 In terms of style performance,ValueAlso relatively better thangrow up, but high-quality growth with reasonable valuations is still attractive.This week's focus: Possible triggers for another rise in interest rates and their impact1. Non-agricultural data and its impact on monetary policy? Reductions at the end of the year and September hints are still a high probabilityThe July non-agricultural revenue (943,000) announced on Friday exceeded expectations (870,000) and the previous value (938,000), showing that some parts (such as retail, leisure hotels and other service industries) have slowed down or even stagnated due to the recurrence of mutated viruses. However, overall employment continues to improve (Charts 1 ~ 2). On this basis, we updated our calculation of when the job market will reach the Fed threshold (the so-called further substantial progress), and found that it will take about five months to reach a level similar to the 64% employment recovery during the official reduction in 2013 (Chart 3). Therefore,The FOMC officially reduced volumes in December and revised the statement in September suggested that it still seems to be a high probability event(Figure 4).<img src=\"https://static.tigerbbs.com/de929b3cb3fb6228e5e6c15e33c40852\" tg-width=\"941\" tg-height=\"366\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/7ca7a453adbea56310974439653b4fab\" tg-width=\"739\" tg-height=\"721\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/d50420cdf87bd41d7eca9eb86992c448\" tg-width=\"948\" tg-height=\"356\" referrerpolicy=\"no-referrer\">In addition to the characteristics mentioned above, the non-agricultural data itself may not have many circles, but the data that did not exceed expectations pushed US Treasury yields and the US Dollar Index up sharply (Chart 5). The reasons behind it are worth pondering. ThisCould indicate previously persistently lower interest rates and a suppressed short rally(Figure 6), just need an introduction.<img src=\"https://static.tigerbbs.com/5bf8a204aa021f702ba2aea0f056cdf6\" tg-width=\"950\" tg-height=\"730\" referrerpolicy=\"no-referrer\">2. What are the reasons and enlightenments for the fall in interest rates in the past period? The direction is understandable, but the level does not matchThe 10-year U.S. bond has continued to decline since mid-May, once falling to a low of 1.17%, with a maximum drop of more than 50bp from the high point. First, the fall in inflation expectations dominated (\"Monthly Report on Overseas Asset Allocation (2021-7) Re-Fall in Inflation Trading\"). After the FOMC meeting in June, the real interest rate took over and hit a record low (\"What is the recent rise in the US dollar and the decline in long-term bonds?\" June 14 ~ June 20, 2021 \"). During this period, the Fed's dot plot and technical adjustments to Interest Rate Corridor triggered \"selling short and buying long\" (\"What is the US Treasury yields trading downward? July 5-July 11, 2021\"), short covering, and Chinese unexpected RRR cuts triggered growth concerns, the surge in reverse repurchases actually increased demand for Treasury Bond (\"How to understand the Fed's reverse repurchase surge and the Interest Rate Corridor mechanism?\" June 28-July 4, 2021 \",\" The Fed has actually \"shrinking balance sheet\"? July 19-July 25, 2021 \").We believe that the trend of interest rates over the past period is not incomprehensible in that directionAfter all, we reminded in the previous stage of rapid interest rate rise that the rise in interest rates is intermittent and requires new catalysts; At the same time, it is relatively certain that long-term inflation expectations will gradually fall, and the disturbance of short-term growth momentum caused by the recurrence of mutant viruses cannot be completely ignored.In contrast, its decline is even more surprising and puzzling, especially the trend of real interest rates hitting new lows is more trading expectations of an economic recession than an immediate slowdown in growth momentum。In this context,We believe that we need to pay attention to and even guard against the possibility that interest rates, which are continuously suppressed like a spring for whatever reason, will pump back under some catalyst, the performance of long-term interest rates after Friday's non-farm payrolls data may be an example.3. What may be a catalyst for rising interest rates? Pandemic, FOMC, infrastructure package and debt ceilingAdmittedly, in many cases, the short-term trend of interest rates will be affected by trading factors and it is difficult to completely explain by fundamentals, but some inflection points still have rules to follow, especially some key event catalysts. Referring to the forces that led to the downward trend of interest rates in the previous period, we believe that the following events or time points are worthy of attention:► Growth expectations are repaired: If key growth data improves or the epidemic situation of mutated viruses peaks and falls.We once analyzed in the \"Overseas Asset Allocation Monthly Report (2021-8): Short-term Stagflation-like Trading\" that we believe that the market may have overestimated the impact of mutated viruses and the pressure of declining growth, which in turn has led to continued new lows in interest rates in the near future. Although the market is worried that the real interest rate may not return to the previous level because the long-term growth prospect is still unstable, it is obviously a mismatch to be at such a low position.What's more, this round of recurrence of mutated viruses may not be as severe as it appears for countries that have achieved large-scale vaccination。 Large-scale vaccination ensures that the number of hospitalizations and deaths can remain low while the number of new confirmed cases continues to rise, thus eliminating the need for strict blockades at the policy level to avoid a run on medical resources (Figure 11). This epidemic prevention path seems to have gradually achieved results in the UK (\"Inspiration from the UK's Phased Anti-epidemic Achievements Weekly Tracking of Epidemic Resumption (July 31)\"), and may then become a model for the future epidemic prevention path of other similar countries such as the United States (Figure 12 ~ 13). If so, there may be too much concern reflected by the market in the near future, especially through real interest rates,In the future, if the epidemic falls from its high point, it may become an inflection point for interest rates to rise。 Of course, some key data, such as the better-than-expected non-agricultural data released on Friday, can also have the effect of dispelling growth concerns.Furthermore,Biden's new round of infrastructure progress currently being promoted is also worthy of attention, will usher in a key vote in the Senate next week. Although the scale is significantly smaller than previously expected (Chart 29), the expected changes that may be brought about by achieving breakthrough progress are still worthy of attention.<img src=\"https://static.tigerbbs.com/eaa4d382044f3e8091819910e06a8978\" tg-width=\"955\" tg-height=\"767\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/7fcb63bcf80933f46eb1bf53cfa78c8c\" tg-width=\"931\" tg-height=\"516\" referrerpolicy=\"no-referrer\">► Policy exit expectations are heating up: for example, the FOMC hinted at a reduction in September or the Jackson Hole meeting in August began to blow.Since changes in interest rates will reflect expectations in advance, it is more important to start hinting at reductions than formal implementation.This was the case before the official reduction in 2013. At the FOMC meeting in October of that year, the Federal Reserve maintained its September statement to establish that the reduction was coming, and interest rates bottomed out and rebounded until they peaked after the official reduction started in December. During this period, real interest rates were the main driver (Exhibit 17). Considering that the current real interest rate is at a historically low level, and the long-term inflation expectation is expected to fall with the expectation of policy tightening and the marginal easing of the contradiction between supply and demand (such as second-hand car production capacity and inventory repair, Figures 14 ~ 15), it is still possible that the real interest rate rises mainly.<img src=\"https://static.tigerbbs.com/96521f1df2184a69d1284a5913ba39ab\" tg-width=\"737\" tg-height=\"572\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/bb6eb34dcb6f4964753daf3320fd0df3\" tg-width=\"940\" tg-height=\"511\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/fdd2633cef77af2bb7189a51246cd314\" tg-width=\"936\" tg-height=\"368\" referrerpolicy=\"no-referrer\">Furthermore,After the debt ceiling issue is resolved, the Ministry of Finance can issue bonds again, and rising Treasury Bond supply may also increase upward pressure on interest rates。 In the early stage, the TGA account of the Ministry of Finance released a large amount of liquidity and returned it to the Federal Reserve account through reverse repurchase, which not only \"locked\" some liquidity, but also substantially increased the demand for Treasury Bond. Looking ahead, after the debt ceiling is resolved (the emergency measures of the Ministry of Finance can last until the end of September) (Chart 19), the Ministry of Finance can issue bonds again and is expected to replenish part of TGA cash reserves (Chart 20), and the increase in Treasury Bond supply may also increase the upward pressure on interest rates.<img src=\"https://static.tigerbbs.com/eaeb4ca9f250bc987b71070d1466d870\" tg-width=\"946\" tg-height=\"357\" referrerpolicy=\"no-referrer\">4. What is the impact of interest rate rising again? Speed, Construction and DriveBased on the above analysis, under the catalysis of some future growth and liquidity events or policies,Long-term interest rates do not rule out another upward trend, especially real interest rates. Among them, the signal of the Federal Reserve's September FOMC meeting on reductions deserves close attention, but it does not rule out gradual peaking after the official reduction starts(Exhibit 21).So, if interest rates go up again, what impact will it have? We believe that it is mainly reflected in the following aspects:1) velocity,Excessive rise in interest rates means increased volatility in bond assets, which will bring cross-asset volatility contagion, which will in turn bring greater disturbance to U.S. stocks and other markets, especially relatively high-valuation sectors (Figure 22);2) Orientation and structure:The rise in long-term interest rates, especially the widening of interest rate spreads, is conducive to the performance of the financial sector (Charts 23 ~ 24), as was the case after the non-agricultural data on Friday;3) Drivers:The rise in real interest rates is not conducive to interest rates, especially interest-sensitive assets, such asGold(Chart 25), and may also push updollar(Exhibit 26). In addition, in terms of style performance, value is relatively better than growth (Chart 27). However, it should be noted that since it is no longer in the acceleration stage of increase and the launch of liquidity is gradually approaching, although we expect another round of rising interest rates, it may also be the last wave.Therefore, high-quality growth with reasonable valuation is still attractive.<img src=\"https://static.tigerbbs.com/c183194b4ae3baec72aa317f1d9adbf6\" tg-width=\"954\" tg-height=\"397\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/5be2ba7872bac80f04056c66510b1587\" tg-width=\"955\" tg-height=\"360\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/d7e9f3df9445122220011f3aee999981\" tg-width=\"956\" tg-height=\"704\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/f076f1627a7036f0f36d5a4ad308acf1\" tg-width=\"956\" tg-height=\"360\" referrerpolicy=\"no-referrer\">Market dynamics: Non-farm payrolls exceeded expectations, pushing US Treasury yields and the US dollar to soar, with banks leading the gains; Emerging bulls decrease, U.S. bond bulls plummet► Asset Performance: Leading. Stocks > Bonds > Bulk; US Treasury yields Picks Up, Banks Lead GainsNon-farm employment data in July exceeded expectations. Although repeated epidemics have dragged down the recovery of some service industries, the overall job market is still strong. The U.S. dollar and US Treasury yields factors have risen sharply, with banks leading the gains. Overall, among the world's major assets, stocks > bonds > bulk, natural gas, Bitcoin, Indian and Korean stock markets led the gains, while crude oil, VIX bulls, copper, and gold led the losses. In terms of sectors, financial sectors including banking, comprehensive finance, and insurance led the gains last week. The 10-year US Treasury yields closed at 1.30%, an increase of about 7bps, real interest rates rose by 11bps, and inflation expectations fell by 4bp.<img src=\"https://static.tigerbbs.com/e6b3202772105670fdedf25ab5c8ac22\" tg-width=\"943\" tg-height=\"431\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"><img src=\"https://static.tigerbbs.com/eb5793ee0f835fc4399a6147905be212\" tg-width=\"948\" tg-height=\"355\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/df48633b96eef4a3abe734c7ea22f16c\" tg-width=\"950\" tg-height=\"361\" referrerpolicy=\"no-referrer\">► Sentiment positions: Emerging bulls plummet, long-term U.S. bond bulls decreaseIn the past week, the ratio of bearish/bullish options in U.S. stocks continued to fall compared with last week. In terms of positions, the net long position of U.S. stocks rose slightly, and the net long position of the US Dollar Index continued to increase; The net long position of 10-year U.S. bonds has decreased significantly, and the net short position of 2-year U.S. bonds has turned into net long.<img src=\"https://static.tigerbbs.com/91a118885ec9541cd261cae8154362a7\" tg-width=\"951\" tg-height=\"728\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/8307269123bdf4233f4abd11fbcd767f\" tg-width=\"955\" tg-height=\"346\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/061f59624c4e22c051463b05dcf577d3\" tg-width=\"952\" tg-height=\"708\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/57c5b8402a85ace1675a182495a2a6ef\" tg-width=\"944\" tg-height=\"365\" referrerpolicy=\"no-referrer\">► Funds Flow: Stock market inflows slow, emerging turns to outflowsIn the past week, bond market inflows have slowed slightly, stock market inflows have slowed significantly, and money market funds have continued to flow in. Looking at different markets, the inflow of U.S. stocks slowed down sharply, Europe and Japan continued to flow in but also slowed down, and emerging markets turned into outflows.<img src=\"https://static.tigerbbs.com/18276a69b2614b955d4a258055c1724a\" tg-width=\"946\" tg-height=\"766\" referrerpolicy=\"no-referrer\">► Fundamentals and policies: July non-agricultural payrolls exceeded expectations, ISM manufacturing PMI fellThe ISM manufacturing PMI fell in July, and prices and customer inventories fell significantly.The July ISM manufacturing PMI fell to 59.5 in July from 60.6 in June, missing expectations of 61.0. In terms of sub-items, the price index fell the largest since March 2020, indicating to a certain extent that inflationary pressures have eased. The employment index and orders on hand index rose, and the customer inventory index hit a record low.Furthermore,Non-farm payrolls remained strong in July, and leisure hotels remained the main source。 In July, 943,000 new non-agricultural jobs were created, higher than the revised previous value (938,000) and expectations (870,000); In terms of sub-items, leisure hotels are still the main source of new jobs, with an increase of 380,000 in July. Health, transportation and warehousing, financial activities, and information improved the most compared with the previous month. The unemployment rate also fell to 5.4% in July from 5.9% in the previous month, lower than the expected 5.7%. At the same time, the month-on-month wage growth rate in July remained at the level of June, reaching 0.4%, higher than the expected 0.3%.<img src=\"https://static.tigerbbs.com/4b7c8e39876fbe05cefc701f4fe09d69\" tg-width=\"949\" tg-height=\"320\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/08e6eb406a515a108821959e2ea4ccb2\" tg-width=\"952\" tg-height=\"362\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/ce204e743bdd4bbac9e90b8c6e3a91d9\" tg-width=\"413\" tg-height=\"315\" referrerpolicy=\"no-referrer\">► U.S. stock valuations above growth and interest rate environment support levelsWith the 10-year US Treasury yields rising and the ISM manufacturing PMI falling, the current S&P 500 index's 27.1 times static P/E is higher than the reasonable level that growth (July PMI = 59.5) and liquidity (10-year US Treasury yields 1.30%) can support (~ 26.8 times).<img src=\"https://static.tigerbbs.com/7f99f376902d96742c5fab1597b79804\" tg-width=\"945\" tg-height=\"353\" referrerpolicy=\"no-referrer\">\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/a82005fdd5a20870413111b3adc1a547","relate_stocks":{"GOVT":"iShares安硕核心美国国债ETF","SHY":"债券指数ETF-iShares Barclays 1-3年国债","TLT":"20+年以上美国国债ETF-iShares","BND":"债券指数ETF-Vanguard美国","IEF":"债券指数ETF-iShares Barclays 7-10年","IEI":"iShares Barclays 3-7 Year Trea"},"is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1183188196","content_text":"摘要\n周五公布的7月非农（94.3万）超出预期和前值，呈现出局部受变异病毒复发影响放缓甚至停滞、但整体依然持续改善的态势。在此基础上，我们更新了对于就业市场何时达到美联储门槛的测算，发现大概还需要5个月达到类似2013年正式减量时就业修复至64%的门槛。因此，12月FOMC正式减量、9月份修改声明暗示目前看来依然是大概率事件。\n除此之外，此次非农数据本身可能并无太多圈点之处，但并未太超预期的数据却推动美债利率和美元指数大幅走高，背后原因值得寻味，这可能说明此前持续走低的利率和被压制的空头反弹，只需要一个引子而已。\n我们认为，过去一段时间利率走向在方向上并非不能理解，但回落幅度更让人意外。在这一背景下，需要关注甚至防范，不管因为何种原因像弹簧一样被持续压制的利率在一些催化剂诱发下反抽的可能性。\n后续有什么可能成为利率上行的催化剂？\n1）增长预期修复：如关键增长数据向好或者变异病毒疫情回落。当前正在推进的拜登新一轮基建进展也值得关注。\n2）政策退出预期升温：如9月FOMC暗示减量或者8月Jackson Hole会议开始吹风。由于利率变化会提前反应预期，因此比起正式执行，开始暗示减量的时点更为重要。此外，债务上限问题解决后财政部可以再度发债，国债供给上升也可能增加利率上行压力。\n利率再度上行的影响？\n1）速度：利率过快上行意味着债券资产波动加大，将会带来跨资产的波动传染，进而对美股和其他市场、特别是相对高估值板块带来较大扰动；2）方向和结构：长端利率上行特别是利差走阔有利于金融板块的表现；3）驱动因素：实际利率上行不利于利率敏感型资产，例如黄金，同时也可能推升美元。从风格表现上，价值也相对好于成长，但估值合理的优质成长仍具吸引力。\n本周焦点：利率再度上行的可能触发因素及其影响\n1. 非农数据及其对货币政策的影响？年底减量、9月暗示仍是大概率\n周五公布的7月非农（94.3万）超出预期（87.0万）和前值（93.8万），呈现出局部（如零售、休闲酒店等服务业）受变异病毒复发影响步伐放缓甚至停滞、但整体就业依然持续改善的态势（图表1~2）。在此基础上，我们更新了对于就业市场何时达到美联储门槛（所谓进一步重大进展further substantial progress）的测算，发现大概还需要5个月达到类似2013年正式减量时就业修复64%的水平（图表3）。因此，12月FOMC正式减量、9月份修改声明暗示目前看来依然是大概率事件（图表4）。\n\n除了上文中提到的特征外，此次非农数据本身可能并无太多圈点之处，但并未太超预期的数据却推动美债利率和美元指数大幅走高（图表5），背后原因值得寻味，这可能说明此前持续走低的利率和被压制的空头反弹（图表6），只需要一个引子而已。\n\n2. 过去一段时间利率回落的原因与启示？方向可以理解，水平并不匹配\n10年美债自5月中旬以来持续下行，一度降至1.17%的低位，从高点计最多降幅超过50bp。先是通胀预期回落主导（《海外资产配置月报（2021-7）再通胀交易的回落》），6月FOMC会议后实际利率接棒下行并创历史新低（《近期美元涨长债跌为哪般？2021年6月14日~6月20日》）。这期间，美联储点阵图和对利率走廊的技术调整引发“卖短买长”（《美债利率下行在交易什么？2021年7月5日~7月11日》）、空头回补、中国意外降准引发增长担忧、逆回购激增实质上增加对国债需求（《如何理解美联储逆回购激增与利率走廊机制？2021年6月28日~7月4日》、《美联储已经事实上“缩表”？2021年7月19日~7月25日》）以及近期Delta变异病毒复发（《引发市场大跌的变种疫情有多严重？》），虽然可能存在巧合，但却给了多头不断看多债券一环扣一环的理由，进而促成了长达3个月且幅度超预期的利率下行（图表9~10）。\n我们认为，过去一段时间利率走向在方向上并非不能理解，毕竟我们在此前利率快速上行阶段就提示利率上行是间歇性的、且需要新的催化剂；同时，长端通胀预期逐步回落较为确定，变异病毒复发对短期增长动能的扰动也不能完全无视。相比之下，其回落幅度更让人意外和费解，特别是实际利率创新低的走势更多是在交易经济衰退而非眼下增长动能放缓的预期。\n在这一背景下，我们认为就需要关注甚至防范，不管因为何种原因像弹簧一样被持续压制的利率在一些催化剂诱发下反抽的可能性，周五非农数据后长端利率的表现可能就是一个例子。\n3. 什么可能成为利率上行的催化剂？疫情、FOMC、基建方案和债务上限\n诚然，很多时候，利率的短期走势会受交易因素影响而难以完全用基本面来解释，但是一些拐点依然有规律可循，特别是一些关键的事件性催化剂。参考前期导致利率下行的力量，我们认为以下事件或时间点值得关注：\n►增长预期修复：如关键增长数据向好或者变异病毒疫情见顶回落。\n我们在《海外资产配置月报（2021-8）：短暂的类滞胀交易》中曾经分析到，我们认为市场可能高估了变异病毒的影响和增长回落的压力，进而导致近期利率持续新低。虽然市场担心因为长期增长前景依然不稳固可能使得实际利率回不到此前水平，但处于这么低的位置显然是不匹配的。更何况，此轮变异病毒复发对已经实现大规模疫苗接种的国家而言可能也没有表面上显现的那么严峻。大规模疫苗接种保证了新增确诊不断攀升时住院和死亡人数却能维持低位，进而无需采取从政策层面严格封锁以避免对对医疗资源的挤兑（图表11）。这一防疫路径似乎在英国已经逐渐成效（《英国阶段性抗疫成果的启示疫情复工周度追踪（7月31日）》），进而可能成为其他类似国家如美国未来防疫路径的样板（图表12~13）。如果是这样的话，近期市场特别是通过实际利率所反映的担忧可能就过多，未来疫情从高点回落就有可能成为利率回升的拐点。当然，一些关键数据，例如周五公布的非农数据好于预期也可以起到打消增长担忧的效果。\n此外，当前正在推进的拜登新一轮基建进展也值得关注，下周将在参议院迎来关键投票。尽管规模明显小于此前预期（图表29），但实现突破性进展可能带来的预期变化依然值得关注。\n\n►政策退出预期升温：如9月FOMC暗示减量或者8月Jackson Hole会议开始吹风。\n由于利率变化会提前反应预期，因此比起正式执行，开始暗示减量的时点更为重要。2013年正式减量之前就是如此，当年10月FOMC会议美联储维持9月声明确立减量即将到来后利率见底回升，直到12月正式减量开启后见顶。这一期间，实际利率是主要驱动力（图表17）。考虑到当前实际利率处于历史低位，而长端通胀预期随着政策收紧预期和供需矛盾边际缓解有望回落（如二手车产能和库存修复，图表14~15），因此依然可能是以实际利率上行为主。\n\n此外，债务上限问题解决后财政部可以再度发债，国债供给上升也可能增加利率上行压力。前期财政部TGA账户释放大量流动性通过逆回购又回到美联储账上，在“锁住”部分流动性的同时、也实质上增加了国债的需求。往前看，待债务上限得到解决后（财政部紧急措施可以持续到9月末）（图表19），财政部可以再度发债并预计补充部分TGA现金储备（图表20），而国债供给增加也可能会增加利率上行的压力。\n\n4. 利率再度上行的影响？速度、结构和驱动\n综合上文分析，在未来一些增长和流动性事件或政策的催化下，长端利率不排除再度上行、特别是实际利率，这其中美联储9月FOMC会议关于减量的信号值得密切关注，但待正式减量开启后不排除逐步筑顶（图表21）。\n那么，如果利率再度上行，会带来什么影响呢？我们认为主要体现在以下几个方面：\n1）速度，利率过快上行意味着债券资产波动加大，将会带来跨资产的波动传染，进而对美股和其他市场、特别是相对高估值板块带来较大扰动（图表22）；\n2）方向和结构：长端利率上行特别是利差走阔有利于金融板块的表现（图表23~24），周五非农数据后的情形便是如此；\n3）驱动因素：实际利率的上行不利于对利率特别是利率敏感型资产，例如黄金（图表25），同时也可能推升美元（图表26）。此外，从风格表现上，价值也相对好于成长（图表27）。不过，需要说明的是，由于当前已经不处于增加加速阶段且流动性推出逐步临近，同时我们虽然预期利率还有一轮上行但也有可能是最后一波，因此估值合理的优质成长依然具有吸引力。\n\n市场动态：非农超预期，推动美债利率和美元大涨，银行领涨；新兴多头减少，美债多头骤降\n►资产表现：领先。股>债>大宗；美债利率回升，银行领涨\n7月非农就业数据超预期，虽然疫情反复对于部分服务行业的修复产生拖累，但整体就业市场依然强劲，美元和美债利率因素大幅抬升，银行领涨。整体看，全球主要资产中，股>债>大宗，天然气、比特币、印度及韩国股市领涨，原油、VIX多头、铜、黄金领跌。分板块看，包括银行、综合金融、保险在内的金融板块上周领涨。10年美债利率收于1.30%，抬升约7bps，实际利率抬升11bps，通胀预期回落4bp。\n\n►情绪仓位：新兴多头骤降，长端美债多头减少\n过去一周，美股看空/看多期权比例较上周继续回落。仓位方面，美股净多头仓位略有抬升，美元指数净多头仓位继续增加；10年美债净多头仓位大幅减少，2年美债净空头转为净多头。\n\n►资金流向：股市流入放缓、新兴转为流出\n过去一周，债市流入略有放缓，股市流入大幅放缓，货币市场基金持续流入。分市场看，美股流入大幅放缓，欧洲和日本继续流入但同样放缓，新兴市场转为流出。\n\n►基本面与政策：7月非农超预期，ISM制造业PMI下滑\n7月ISM制造业PMI下滑，物价及客户库存回落明显。7月ISM制造业PMI从6月的60.6降至7月的59.5，不及预期的61.0。分项看，物价指数降幅创2020年3月以来最大，一定程度上说明通胀压力有所缓解。就业指数及在手订单指数抬升，客户库存指数创历史新低。\n此外，7月非农依旧强劲，休闲酒店仍是主要来源。7月非农新增就业94.3万，高于修正后前值（93.8万）和预期（87.0万）；分项看，休闲酒店依然是新增就业的主要来源，7月新增38.0万。教育健康、运输仓储业、金融活动、信息业较前月改善最多。7月失业率也从前月5.9%回落至5.4%，低于预期的5.7%。与此同时，7月工资环比增速维持6月水平，达0.4%，高于预期的0.3%。\n\n►美股估值高于增长和利率环境支撑水平\n伴随10年美债利率抬升及ISM制造业PMI回落，当前标普500指数27.1倍静态P/E高于增长（7月PMI=59.5）和流动性（10年美债利率1.30%）能够支撑的合理水平（~26.8倍）。","news_type":1,"symbols_score_info":{"ZBmain":0.9,"ZNmain":0.9,"UBmain":0.9,"ZTmain":0.9,"GOVT":0.9,"SHY":0.9,"IEF":0.9,"BND":0.9,"TLT":0.9,"TNmain":0.9,"IEI":0.9,"ZFmain":0.9}},"isVote":1,"tweetType":1,"viewCount":3095,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":3,"xxTargetLangEnum":"ORIG"},"commentList":[{"id":5462372,"commentId":"5462372","gmtCreate":1628413782988,"gmtModify":1663232086646,"authorId":4087300025751020,"author":{"id":4087300025751020,"idStr":"4087300025751020","authorId":4087300025751020,"name":"老八公","avatar":"https://static.tigerbbs.com/e27256ede8324832365cde987fa4cf48","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":891466099,"objectIdStr":"891466099","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"好","text":"好","html":"好","likeSize":0,"commentSize":0,"subComments":[],"verified":10,"allocateAmount":0,"commentType":"invalid","coins":0,"score":0,"disclaimerType":0}],"hasMoreComment":true,"orderType":2}