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2021-07-21
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haruharu
2021-07-21
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What is the real reason for the sharp decline in US long-term interest rates?
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14:33","market":"us","language":"zh","title":"What is the real reason for the sharp decline in US long-term interest rates?","url":"https://stock-news.laohu8.com/highlight/detail?id=1146283458","media":" 张忆东策略世界","summary":"摘要\n引言：近期10年期美债收益率一度下探至1.1%-1.2%区间，我们认为：\n一、近期疫情变数并非美长端利率大幅下行的核心原因\n诚然，上周开始，美国出现单日新增确诊病例数再次超过4万例的情况，加重了","content":"<p><b>Abstract</b></p><p><b>Introduction: The yield on 10-year US Treasury bonds recently fell to the 1.1%-1.2% range. We believe:</b></p><p><b>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</b></p><p>Admittedly, starting last week, the number of new confirmed cases in the United States exceeded 40,000 again, exacerbating market concerns about the economic outlook and boosting the decline in US long-term interest rates, but this is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting since June;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines;</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates.</p><p></li></ul><b>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</b></p><p><ul><li>First, short-term interest rates are more significantly affected by liquidity, but during the period when the 10-year US Treasury yield fell sharply, the decline in the 2-year short-term yield was relatively moderate.</p><p></li><li>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves. The increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve, and the transmission to the US Treasury market is not direct.</p><p></li></ul><b>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</b></p><p><ul><li>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields.</p><p></li><li>Secondly, due to debt ceiling constraints, the Ministry of Finance's bond issuance pace slowed significantly in July. From July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p></li><li>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates.</p><p></li><li>Fourth, the Federal Reserve's bond purchases are not a market activity. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices under the same scale.</p><p></li><li>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. As of the latest disclosure on July 14, based on debt ceiling constraints, a balance of up to $207.5 billion remains to be spent.</p><p></li></ul><b>Fourth, the Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but it will not repeat the surge in February and March. Low US interest rates will be the norm in the medium to long term.</b></p><p><ul><li>According to the third-quarter financing plan, the U.S. Treasury Department will raise $805 billion in bonds from July to September, double the amount in the second quarter. Furthermore, the current scaled-down bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the US Treasury's bond issuance plan will be concentrated in August and September. Coupled with the increase in market expectations for the Fed's Taper in August and September, there will be pressure for a rebound in US long-term interest rates at that time.</p><p></li><li>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p></li><li>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt.</p><p></li></ul><b>Risk warning: Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; Risks of great power competition</b></p><p><b>text</b></p><p>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</p><p>Are the recent pandemic variables the core variables driving the decline in long-term US Treasury yields? No. Admittedly, the number of new confirmed cases in the United States exceeded 40,000 again last week, exacerbating market concerns about the economic outlook. While this has contributed to the decline in US long-term interest rates, it is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting for a long time. As early as June, the number of newly confirmed cases in countries such as the UK and Russia rose sharply again;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines. The mortality rate shown by the average number of deaths in 7 days / the average number of newly confirmed cases in 7 days 2 weeks ago has continued to decline since 2021, which shows that resistance to severe illness has shown the effect of vaccines.</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates. The 10-year inflation expectation fell by only 10 basis points from 2.35% to 2.24%. From July 7 to July 19, the 10-year inflation expectation fell by only 11 basis points from 2.35% to 2.24%, while the nominal yield on 10-year US Treasury bonds fell sharply by 29 basis points from 1.48% to 1.19% during the same period.</p><p></li></ul><img src=\"https://static.tigerbbs.com/185d62da04d9a7f2268a7b887bb2e661\" tg-width=\"876\" tg-height=\"586\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p><img src=\"https://static.tigerbbs.com/69821188ad7f6718dcbd40093826c07a\" tg-width=\"872\" tg-height=\"519\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</p><p>Some interpreters believe that the recent decline in US Treasury yields is due to the Treasury Department's TGA spending releasing liquidity and returning it to the US Treasury market. We disagree.</p><p>First, short-term interest rates are more significantly affected by liquidity, but the decline in short-term interest rates is not obvious. If it was caused by the TGA \"flood release,\" then the allocation demand driven by ample liquidity will primarily focus on short-term interest rates. In fact, during the period of sharp decline in long-term interest rates, the decline in 2-year short-term interest rates was relatively moderate. Between July 1 and July 19, the yield on 2-year US Treasury bonds fell by only 4 basis points from 0.25% to 2.21%. Furthermore, from a high-frequency perspective, long-term interest rates often outpace short-term interest rates in their decline.</p><p>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves, and the increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve. Between 0407 and 0714, the TGA account decreased by $297.4 billion; During the same period, bank reserves actually decreased by $29.9 billion, while we saw a significant increase in O/N RRP usage. Therefore, the decrease and increase in the use of TGA accounts and ON RRP indicate that the Treasury Department's liquidity is flowing back to the Federal Reserve, while bank reserves have not increased, and the transmission to the US Treasury market is not direct.</p><p><img src=\"https://static.tigerbbs.com/cf3e7e28b1bd11250edea7bc5b843510\" tg-width=\"870\" tg-height=\"477\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</p><p>Due to debt ceiling constraints, the Treasury Department's pace of bond issuance slowed significantly in July, while the Federal Reserve maintained a monthly bond-buying pace of $120 billion (approximately $80 billion in Treasury Bond + $40 billion in MBS), which may be the core reason for lowering long-term US Treasury yields in July. Looking ahead to the remainder of July, the TGA account will still have a surplus, the Treasury's demand for bond issuance will remain weak, and US long-term interest rates will continue to hover at low levels.</p><p>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields. In 2020, the U.S. government issued a net $4.54 trillion in Treasury Bond, with the increase in U.S. Treasury Bond accounting for 52% of the net issuance that year. Currently, the proportion of foreign ownership of U.S. Treasury Bond has decreased from 47% at the end of 2015 to 34% at the end of 2020. As of June 30, 2021, the Federal Reserve's holdings of U.S. Treasury Bond further increased to 24%.</p><p><img src=\"https://static.tigerbbs.com/ce12a31c1aa3b901bc1ca327e15376b5\" tg-width=\"883\" tg-height=\"571\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Secondly, the net issuance of Treasury Bond by the Ministry of Finance has turned negative since July. As of the latest period from July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates. For example, from April to June this year, the Federal Reserve added $72.5 billion, $72.4 billion, and $96.2 billion to its monthly holdings. Between July 1 and July 4, the Federal Reserve added $39.2 billion to its Treasury Bond holdings.</p><p>Fourth, from a micro-trading perspective, the Fed's bond purchases are not a market behavior. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices on the same scale.</p><p>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. According to the U.S. Treasury Department's financing plan disclosed on May 3, the TGA account is expected to be reduced to $450 billion by July 31, the debt ceiling maturity date. However, as of the latest disclosure on July 14, the Treasury Department's TGA account still had $657.5 billion, with a balance of $207.5 billion to be spent.</p><p><img src=\"https://static.tigerbbs.com/0a6a2990771c8a9070cdabcbeca18f47\" tg-width=\"876\" tg-height=\"506\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>IV. The Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but a repeat of the surge in February and March is unlikely. Low US interest rates will be the norm in the medium to long term.</p><p>Given that the Treasury Department will issue bonds intensively in August and September to raise funds, coupled with expectations of Taper at that time, US Treasury yields may face pressure for a temporary rebound in August and September.</p><p>First, according to the third-quarter financing plan, the U.S. Treasury Department will issue bonds to raise $805 billion from July to September, double the amount in the second quarter. Furthermore, the current reduced bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the U.S. Treasury Department's subsequent bond issuance plans will be concentrated in August and September, thereby putting pressure on a rebound in U.S. long-term interest rates.</p><p>Secondly, the US CPI in June exceeded expectations, inflation may remain high in July, the economic slowdown will not be significant, and with the decline in the savings rate, the US unemployment rate may improve slightly. Therefore, the bond market's expectations for the Fed's Taper will also increase in August and September.</p><p>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt. US Treasury yields will remain low and fluctuate. This is an inevitable choice for the US to practice MMT (Modern Monetary Theory), an inevitable result of the US's reliance on debt-driven economic stimulus, and a prerequisite for fabricating a new \"American Dream\" to \"win economic competition\" against the backdrop of great power rivalry.</p><p><img src=\"https://static.tigerbbs.com/e5c84bd8f5c84ba1756f2447f601fbab\" tg-width=\"884\" tg-height=\"537\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>V. Risk Warning</p><p>Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; The risks of great power competition.</p>","source":"zydcl","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>What is the real reason for the sharp decline in US long-term interest rates?</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\">\nWhat is the real reason for the sharp decline in US long-term interest rates?\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\"> 张忆东策略世界</strong><span class=\"h-time small\">2021-07-21 14:33</span>\n</p>\n</h4>\n</header>\n<article>\n<p><b>Abstract</b></p><p><b>Introduction: The yield on 10-year US Treasury bonds recently fell to the 1.1%-1.2% range. We believe:</b></p><p><b>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</b></p><p>Admittedly, starting last week, the number of new confirmed cases in the United States exceeded 40,000 again, exacerbating market concerns about the economic outlook and boosting the decline in US long-term interest rates, but this is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting since June;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines;</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates.</p><p></li></ul><b>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</b></p><p><ul><li>First, short-term interest rates are more significantly affected by liquidity, but during the period when the 10-year US Treasury yield fell sharply, the decline in the 2-year short-term yield was relatively moderate.</p><p></li><li>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves. The increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve, and the transmission to the US Treasury market is not direct.</p><p></li></ul><b>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</b></p><p><ul><li>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields.</p><p></li><li>Secondly, due to debt ceiling constraints, the Ministry of Finance's bond issuance pace slowed significantly in July. From July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p></li><li>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates.</p><p></li><li>Fourth, the Federal Reserve's bond purchases are not a market activity. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices under the same scale.</p><p></li><li>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. As of the latest disclosure on July 14, based on debt ceiling constraints, a balance of up to $207.5 billion remains to be spent.</p><p></li></ul><b>Fourth, the Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but it will not repeat the surge in February and March. Low US interest rates will be the norm in the medium to long term.</b></p><p><ul><li>According to the third-quarter financing plan, the U.S. Treasury Department will raise $805 billion in bonds from July to September, double the amount in the second quarter. Furthermore, the current scaled-down bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the US Treasury's bond issuance plan will be concentrated in August and September. Coupled with the increase in market expectations for the Fed's Taper in August and September, there will be pressure for a rebound in US long-term interest rates at that time.</p><p></li><li>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p></li><li>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt.</p><p></li></ul><b>Risk warning: Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; Risks of great power competition</b></p><p><b>text</b></p><p>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</p><p>Are the recent pandemic variables the core variables driving the decline in long-term US Treasury yields? No. Admittedly, the number of new confirmed cases in the United States exceeded 40,000 again last week, exacerbating market concerns about the economic outlook. While this has contributed to the decline in US long-term interest rates, it is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting for a long time. As early as June, the number of newly confirmed cases in countries such as the UK and Russia rose sharply again;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines. The mortality rate shown by the average number of deaths in 7 days / the average number of newly confirmed cases in 7 days 2 weeks ago has continued to decline since 2021, which shows that resistance to severe illness has shown the effect of vaccines.</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates. The 10-year inflation expectation fell by only 10 basis points from 2.35% to 2.24%. From July 7 to July 19, the 10-year inflation expectation fell by only 11 basis points from 2.35% to 2.24%, while the nominal yield on 10-year US Treasury bonds fell sharply by 29 basis points from 1.48% to 1.19% during the same period.</p><p></li></ul><img src=\"https://static.tigerbbs.com/185d62da04d9a7f2268a7b887bb2e661\" tg-width=\"876\" tg-height=\"586\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p><img src=\"https://static.tigerbbs.com/69821188ad7f6718dcbd40093826c07a\" tg-width=\"872\" tg-height=\"519\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</p><p>Some interpreters believe that the recent decline in US Treasury yields is due to the Treasury Department's TGA spending releasing liquidity and returning it to the US Treasury market. We disagree.</p><p>First, short-term interest rates are more significantly affected by liquidity, but the decline in short-term interest rates is not obvious. If it was caused by the TGA \"flood release,\" then the allocation demand driven by ample liquidity will primarily focus on short-term interest rates. In fact, during the period of sharp decline in long-term interest rates, the decline in 2-year short-term interest rates was relatively moderate. Between July 1 and July 19, the yield on 2-year US Treasury bonds fell by only 4 basis points from 0.25% to 2.21%. Furthermore, from a high-frequency perspective, long-term interest rates often outpace short-term interest rates in their decline.</p><p>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves, and the increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve. Between 0407 and 0714, the TGA account decreased by $297.4 billion; During the same period, bank reserves actually decreased by $29.9 billion, while we saw a significant increase in O/N RRP usage. Therefore, the decrease and increase in the use of TGA accounts and ON RRP indicate that the Treasury Department's liquidity is flowing back to the Federal Reserve, while bank reserves have not increased, and the transmission to the US Treasury market is not direct.</p><p><img src=\"https://static.tigerbbs.com/cf3e7e28b1bd11250edea7bc5b843510\" tg-width=\"870\" tg-height=\"477\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</p><p>Due to debt ceiling constraints, the Treasury Department's pace of bond issuance slowed significantly in July, while the Federal Reserve maintained a monthly bond-buying pace of $120 billion (approximately $80 billion in Treasury Bond + $40 billion in MBS), which may be the core reason for lowering long-term US Treasury yields in July. Looking ahead to the remainder of July, the TGA account will still have a surplus, the Treasury's demand for bond issuance will remain weak, and US long-term interest rates will continue to hover at low levels.</p><p>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields. In 2020, the U.S. government issued a net $4.54 trillion in Treasury Bond, with the increase in U.S. Treasury Bond accounting for 52% of the net issuance that year. Currently, the proportion of foreign ownership of U.S. Treasury Bond has decreased from 47% at the end of 2015 to 34% at the end of 2020. As of June 30, 2021, the Federal Reserve's holdings of U.S. Treasury Bond further increased to 24%.</p><p><img src=\"https://static.tigerbbs.com/ce12a31c1aa3b901bc1ca327e15376b5\" tg-width=\"883\" tg-height=\"571\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Secondly, the net issuance of Treasury Bond by the Ministry of Finance has turned negative since July. As of the latest period from July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates. For example, from April to June this year, the Federal Reserve added $72.5 billion, $72.4 billion, and $96.2 billion to its monthly holdings. Between July 1 and July 4, the Federal Reserve added $39.2 billion to its Treasury Bond holdings.</p><p>Fourth, from a micro-trading perspective, the Fed's bond purchases are not a market behavior. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices on the same scale.</p><p>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. According to the U.S. Treasury Department's financing plan disclosed on May 3, the TGA account is expected to be reduced to $450 billion by July 31, the debt ceiling maturity date. However, as of the latest disclosure on July 14, the Treasury Department's TGA account still had $657.5 billion, with a balance of $207.5 billion to be spent.</p><p><img src=\"https://static.tigerbbs.com/0a6a2990771c8a9070cdabcbeca18f47\" tg-width=\"876\" tg-height=\"506\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>IV. The Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but a repeat of the surge in February and March is unlikely. Low US interest rates will be the norm in the medium to long term.</p><p>Given that the Treasury Department will issue bonds intensively in August and September to raise funds, coupled with expectations of Taper at that time, US Treasury yields may face pressure for a temporary rebound in August and September.</p><p>First, according to the third-quarter financing plan, the U.S. Treasury Department will issue bonds to raise $805 billion from July to September, double the amount in the second quarter. Furthermore, the current reduced bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the U.S. Treasury Department's subsequent bond issuance plans will be concentrated in August and September, thereby putting pressure on a rebound in U.S. long-term interest rates.</p><p>Secondly, the US CPI in June exceeded expectations, inflation may remain high in July, the economic slowdown will not be significant, and with the decline in the savings rate, the US unemployment rate may improve slightly. Therefore, the bond market's expectations for the Fed's Taper will also increase in August and September.</p><p>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt. US Treasury yields will remain low and fluctuate. This is an inevitable choice for the US to practice MMT (Modern Monetary Theory), an inevitable result of the US's reliance on debt-driven economic stimulus, and a prerequisite for fabricating a new \"American Dream\" to \"win economic competition\" against the backdrop of great power rivalry.</p><p><img src=\"https://static.tigerbbs.com/e5c84bd8f5c84ba1756f2447f601fbab\" tg-width=\"884\" tg-height=\"537\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>V. Risk Warning</p><p>Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; The risks of great power competition.</p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s/XoB95_kyeOt28iAV8ER8wA\"> 张忆东策略世界</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/a8fca69a364eb1ccaf6e9078f1721480","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://mp.weixin.qq.com/s/XoB95_kyeOt28iAV8ER8wA","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1146283458","content_text":"摘要\n引言：近期10年期美债收益率一度下探至1.1%-1.2%区间，我们认为：\n一、近期疫情变数并非美长端利率大幅下行的核心原因\n诚然，上周开始，美国出现单日新增确诊病例数再次超过4万例的情况，加重了市场对经济前景的担忧，对美长端利率下行形成助推，但其并非核心原因。\n\n首先，Delta病毒变种所引发的疫情变数自6月便已开始发酵；\n其次，以英国为例，虽然Delta病毒变种导致了新增确诊病例数走高，但是其未改变疫苗带来的新冠致死率下降的趋势；\n第三，7月以来，长端利率大幅下行的同时，通胀预期下行相对较为温和，这显示出经济前景因素并非长端利率下行的核心主导因素。\n\n二、TGA账户“泄洪”流入债市拉低利率的解释存疑\n\n首先，短端利率受流动性影响更为显著，但是在10年期美债利率大幅下行的时间段，2年期短端利率下行的幅度比较温和；\n其次， 4月以后，财政部TGA“泄洪”并未带动银行储备金增加，O/N RRP用量走高显示资金回流美联储，对美债市场的传导并不直接。\n\n三、由于债务上限约束，7月财政部发债节奏明显放缓，联储或是压低美长端利率的主要力量，预计7月剩下的时间美债收益率继续维持低位\n\n首先，正如我们在20210318《美债之谜》里提到的，美债的持有者结构发生了质变。践行MMT（现代货币理论），美联储为新增美债的主要购买方，这使得财政部的发债节奏成为影响美债收益率的重要变量。\n其次，基于债务上限约束，财政部7月的发债节奏明显放缓。0701至0716期间财政部净发型额为-64亿美元；而今年4-6月，美国国债月度净发行分别为420亿美元，240亿美元，3300亿美元。\n第三，与此同时，联储依旧按照每个月1200亿美元购债规模（约800亿美元国债+400亿美元MBS），分摊到每个星期约200亿美元购买国债的步伐，不间断、持续地买债压低长端利率。\n第四，联储购债并非市场行为，因此相比于配置机构而言，其不计成本地购入美债，在同等规模下，对于美债价格影响也更显著。\n最后，预计7月接下来的时间，TGA账户“余粮”依旧过剩，财政部的发债需求将继续维持低迷，美债收益率继续维持低位；截至最新披露7月14日，基于债务上限约束，高达2075亿美元的余额有待支出。\n\n四、8-9月财政部密集发债或给美长端利率带来反弹压力，但不会重演2、3月式飙升，中长期美国低利率将是常态。\n\n根据3季度融资计划，美国财政部将在7月至9月发债融资8050亿美元，是2季度的两倍，并且当下两党缩减版的基建协议达成，还可能增加财政部实际融资需求。据此推算，后续美国财政部的发债计划将会集中在8月和9月，叠加8-9月市场对于联储Taper的预期也会有所提升，从而届时美国长端利率存在反弹的压力。\n但是考虑到这一轮美国经济增长和通胀动能的峰值很可能在二季度，所以，中长期美国低利率将保持，下半年不会重演2、3月式飙升。\n最后，再次强调美国大国博弈背景下，中长期保持低利率、刺激经济增长将是美国走出高债务泥潭的必由之路。\n\n风险提示：全球经济增速下行；中、美货币政策宽松不达预期；大国博弈风险\n正文\n一、近期疫情变数并非美长端利率大幅下行的核心原因\n近期疫情变数是美债长端收益率下行的核心变量吗？不是。诚然，上周开始美国出现单日新增确诊病例数再次超过4万例的情况，加重了市场对经济前景的担忧，其对美长端利率下行有助推，但并非核心原因。\n\n首先，Delta病毒变种所引发的疫情变数发酵已久。早在6月份，英国、俄罗斯等国的新增确诊病例数便再度大幅走高；\n其次，以英国为例，虽然Delta病毒变种导致了新增确诊病例数走高，但是其未改变疫苗带来的新冠致死率下降的趋势。7日死亡病例数均值/2周前的7日新增确诊病例数均值所显示的死亡率自从2021年以来持续下降，这说明了对重症的抵御显示了疫苗的作用。\n第三，7月以来，长端利率大幅下行的同时，通胀预期下行相对较为温和，这显示出经济前景因素并非长端利率下行的核心主导因素。10年期通胀预期仅从2.35%仅下降10bp至2.24%，从0707-0719期间，10年期通胀预期仅从2.35%仅下降11bp至2.24%，而同时期10年期美债名义利率从1.48%大幅下降29bp至1.19%。\n\n\n\n二、TGA账户“泄洪”流入债市拉低利率的解释存疑\n有解读认为，近期美债收益率下行是财政部TGA支出释放流动性，回流美债市场导致。我们持不同意见。\n首先，短端利率受流动性影响更为显著，但是短端利率下行并不明显。如果是TGA“泄洪”导致的，那么因为流动性充裕所驱动的配置需求首先聚焦短端利率。事实上，在长端利率大幅下行的时间段，2年期短端利率下行的幅度比较温和，在0701-0719期间，2年期美债收益从0.25%仅下行4bp至2.21%。并且，如果从高频视角下，长端利率很多情况下是领先短端利率下行的。\n其次， 4月以后，财政部TGA“泄洪”并未带动银行储备金增加，O/N RRP用量走高显示资金回流美联储。在0407-0714期间，TGA账户下降了2974亿美元；同时期，银行储备金反而减少了299亿美元，同时期，我们看到O/N RRP用量的大幅走高。因此TGA账户和ON RRP用量的一降一升，显示的是财政部流动性回流美联储，银行准备金并未增加，对美债市场的传导并不直接。\n\n三、由于债务上限约束，7月财政部发债节奏明显放缓，联储或是压低美长端利率的主要力量，预计7月剩下的时间美债收益率继续维持低位\n基于债务上限约束，财政部7月的发债步伐明显放缓，而联储依旧维持每个月1200亿规模（约800亿美元国债+400亿美元MBS）的购债节奏，或是压低7月份美债长端利率的核心原因。展望7月剩下的时间，TGA账户“余粮”依旧过剩，财政部发债需求将继续低迷，美长端利率将继续维持低位徘徊。\n首先，正如我们在20210318《美债之谜》里提到的，美债的持有者结构发生了质变。践行MMT（现代货币理论），美联储为新增美债的主要购买方，这使得财政部的发债节奏成为影响美债收益率的重要变量。2020年美国政府净发行了4.54万亿美元的国债，美国国债增量占当年净发行量的52%。当下，外资持有美国国债的比重由2015年底的47%下降至2020年底的34%。截至2021年6月30日，联储持有占美国国债规模占比进一步升高至24%。\n\n其次，7月至今财政部国债净发行额转负。截至最新从0701至0716期间财政部净发型额为-64亿美元；而今年4-6月，美国国债月度净发行分别为420亿美元，240亿美元，3300亿美元。\n第三，与此同时，联储依旧按照每个月1200亿美元购债规模（约800亿美元国债+400亿美元MBS），分摊到每个星期约200亿美元购买国债的步伐，不间断、持续地买债压低长端利率。比如今年4-6月联储对应当月新增持有为725亿美元，724亿美元，962亿美元。在0701至0704期间，联储新增持有国债规模为392亿美元。\n第四，从微观交易角度，联储购债并非市场行为，因此相比于配置机构而言，其不计成本地购入美债，在同等规模下，对于美债价格影响也更显著。\n最后，预计7月接下来的时间，TGA账户“余粮”依旧过剩，财政部的发债需求将继续维持低迷，美债收益率继续维持低位。根据5月3日披露美国财政部融资计划，预计在债务上限到期日7月31日将TGA账户下降至4500亿美元。但是截至最新披露7月14日，财政部TGA账户还有6575亿美元，高达2075亿美元的余额有待支出。\n\n四、8-9月财政部密集发债或给美长端利率带来反弹压力，但不会重演2、3月式飙升，中长期美国低利率将是常态\n基于财政部将会在8-9月密集发债融资，以及叠加届时的Taper预期，美债收益率在8-9月或存在阶段性反弹的压力。\n首先，根据3季度融资计划，美国财政部将在7月至9月发债融资8050亿美元，是2季度的两倍，并且当下两党缩减版的基建协议达成，还可能增加财政部实际融资需求。据此推算，后续美国财政部的发债计划将会集中在8月和9月，从而带来美国长端利率反弹的压力。\n其次，6月份美国CPI超预期，7月份通胀或仍会高位徘徊，经济回落不明显，且随着储蓄率回落，美国失业率或有望小幅改善，所以，8、9月份债券市场对于联储Taper的预期也会有所提升。\n但是考虑到这一轮美国经济增长和通胀动能的峰值很可能在二季度，所以，中长期美国低利率将保持，下半年不会重演2、3月式飙升。\n最后，再次强调美国大国博弈背景下，中长期保持低利率、刺激经济增长将是美国走出高债务泥潭的必由之路。美债收益率将维持低位震荡，这是美国实践MMT（现代货币理论）的必然选择，是美国依赖债务扩张型经济刺激之路的必然结果，是大国博弈背景下编造“赢得经济竞争”的新“美国梦”的前提条件。\n\n五、风险提示\n全球经济增速下行；中、美货币政策宽松不达预期；大国博弈风险。","news_type":1,"symbols_score_info":{".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":1285,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"hots":[{"id":176046061,"gmtCreate":1626849366953,"gmtModify":1703479246178,"author":{"id":"4089951304751690","authorId":"4089951304751690","name":"haruharu","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"4089951304751690","idStr":"4089951304751690"},"themes":[],"title":"","htmlText":"?","listText":"?","text":"?","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/176046061","repostId":"1198728322","repostType":4,"isVote":1,"tweetType":1,"viewCount":889,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":176048541,"gmtCreate":1626849339383,"gmtModify":1703479245512,"author":{"id":"4089951304751690","authorId":"4089951304751690","name":"haruharu","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"4089951304751690","idStr":"4089951304751690"},"themes":[],"title":"","htmlText":"?","listText":"?","text":"?","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/176048541","repostId":"1146283458","repostType":4,"repost":{"id":"1146283458","kind":"news","pubTimestamp":1626849210,"share":"https://ttm.financial/m/news/1146283458?lang=en_US&edition=fundamental","pubTime":"2021-07-21 14:33","market":"us","language":"zh","title":"What is the real reason for the sharp decline in US long-term interest rates?","url":"https://stock-news.laohu8.com/highlight/detail?id=1146283458","media":" 张忆东策略世界","summary":"摘要\n引言：近期10年期美债收益率一度下探至1.1%-1.2%区间，我们认为：\n一、近期疫情变数并非美长端利率大幅下行的核心原因\n诚然，上周开始，美国出现单日新增确诊病例数再次超过4万例的情况，加重了","content":"<p><b>Abstract</b></p><p><b>Introduction: The yield on 10-year US Treasury bonds recently fell to the 1.1%-1.2% range. We believe:</b></p><p><b>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</b></p><p>Admittedly, starting last week, the number of new confirmed cases in the United States exceeded 40,000 again, exacerbating market concerns about the economic outlook and boosting the decline in US long-term interest rates, but this is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting since June;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines;</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates.</p><p></li></ul><b>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</b></p><p><ul><li>First, short-term interest rates are more significantly affected by liquidity, but during the period when the 10-year US Treasury yield fell sharply, the decline in the 2-year short-term yield was relatively moderate.</p><p></li><li>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves. The increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve, and the transmission to the US Treasury market is not direct.</p><p></li></ul><b>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</b></p><p><ul><li>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields.</p><p></li><li>Secondly, due to debt ceiling constraints, the Ministry of Finance's bond issuance pace slowed significantly in July. From July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p></li><li>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates.</p><p></li><li>Fourth, the Federal Reserve's bond purchases are not a market activity. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices under the same scale.</p><p></li><li>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. As of the latest disclosure on July 14, based on debt ceiling constraints, a balance of up to $207.5 billion remains to be spent.</p><p></li></ul><b>Fourth, the Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but it will not repeat the surge in February and March. Low US interest rates will be the norm in the medium to long term.</b></p><p><ul><li>According to the third-quarter financing plan, the U.S. Treasury Department will raise $805 billion in bonds from July to September, double the amount in the second quarter. Furthermore, the current scaled-down bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the US Treasury's bond issuance plan will be concentrated in August and September. Coupled with the increase in market expectations for the Fed's Taper in August and September, there will be pressure for a rebound in US long-term interest rates at that time.</p><p></li><li>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p></li><li>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt.</p><p></li></ul><b>Risk warning: Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; Risks of great power competition</b></p><p><b>text</b></p><p>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</p><p>Are the recent pandemic variables the core variables driving the decline in long-term US Treasury yields? No. Admittedly, the number of new confirmed cases in the United States exceeded 40,000 again last week, exacerbating market concerns about the economic outlook. While this has contributed to the decline in US long-term interest rates, it is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting for a long time. As early as June, the number of newly confirmed cases in countries such as the UK and Russia rose sharply again;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines. The mortality rate shown by the average number of deaths in 7 days / the average number of newly confirmed cases in 7 days 2 weeks ago has continued to decline since 2021, which shows that resistance to severe illness has shown the effect of vaccines.</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates. The 10-year inflation expectation fell by only 10 basis points from 2.35% to 2.24%. From July 7 to July 19, the 10-year inflation expectation fell by only 11 basis points from 2.35% to 2.24%, while the nominal yield on 10-year US Treasury bonds fell sharply by 29 basis points from 1.48% to 1.19% during the same period.</p><p></li></ul><img src=\"https://static.tigerbbs.com/185d62da04d9a7f2268a7b887bb2e661\" tg-width=\"876\" tg-height=\"586\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p><img src=\"https://static.tigerbbs.com/69821188ad7f6718dcbd40093826c07a\" tg-width=\"872\" tg-height=\"519\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</p><p>Some interpreters believe that the recent decline in US Treasury yields is due to the Treasury Department's TGA spending releasing liquidity and returning it to the US Treasury market. We disagree.</p><p>First, short-term interest rates are more significantly affected by liquidity, but the decline in short-term interest rates is not obvious. If it was caused by the TGA \"flood release,\" then the allocation demand driven by ample liquidity will primarily focus on short-term interest rates. In fact, during the period of sharp decline in long-term interest rates, the decline in 2-year short-term interest rates was relatively moderate. Between July 1 and July 19, the yield on 2-year US Treasury bonds fell by only 4 basis points from 0.25% to 2.21%. Furthermore, from a high-frequency perspective, long-term interest rates often outpace short-term interest rates in their decline.</p><p>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves, and the increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve. Between 0407 and 0714, the TGA account decreased by $297.4 billion; During the same period, bank reserves actually decreased by $29.9 billion, while we saw a significant increase in O/N RRP usage. Therefore, the decrease and increase in the use of TGA accounts and ON RRP indicate that the Treasury Department's liquidity is flowing back to the Federal Reserve, while bank reserves have not increased, and the transmission to the US Treasury market is not direct.</p><p><img src=\"https://static.tigerbbs.com/cf3e7e28b1bd11250edea7bc5b843510\" tg-width=\"870\" tg-height=\"477\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</p><p>Due to debt ceiling constraints, the Treasury Department's pace of bond issuance slowed significantly in July, while the Federal Reserve maintained a monthly bond-buying pace of $120 billion (approximately $80 billion in Treasury Bond + $40 billion in MBS), which may be the core reason for lowering long-term US Treasury yields in July. Looking ahead to the remainder of July, the TGA account will still have a surplus, the Treasury's demand for bond issuance will remain weak, and US long-term interest rates will continue to hover at low levels.</p><p>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields. In 2020, the U.S. government issued a net $4.54 trillion in Treasury Bond, with the increase in U.S. Treasury Bond accounting for 52% of the net issuance that year. Currently, the proportion of foreign ownership of U.S. Treasury Bond has decreased from 47% at the end of 2015 to 34% at the end of 2020. As of June 30, 2021, the Federal Reserve's holdings of U.S. Treasury Bond further increased to 24%.</p><p><img src=\"https://static.tigerbbs.com/ce12a31c1aa3b901bc1ca327e15376b5\" tg-width=\"883\" tg-height=\"571\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Secondly, the net issuance of Treasury Bond by the Ministry of Finance has turned negative since July. As of the latest period from July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates. For example, from April to June this year, the Federal Reserve added $72.5 billion, $72.4 billion, and $96.2 billion to its monthly holdings. Between July 1 and July 4, the Federal Reserve added $39.2 billion to its Treasury Bond holdings.</p><p>Fourth, from a micro-trading perspective, the Fed's bond purchases are not a market behavior. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices on the same scale.</p><p>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. According to the U.S. Treasury Department's financing plan disclosed on May 3, the TGA account is expected to be reduced to $450 billion by July 31, the debt ceiling maturity date. However, as of the latest disclosure on July 14, the Treasury Department's TGA account still had $657.5 billion, with a balance of $207.5 billion to be spent.</p><p><img src=\"https://static.tigerbbs.com/0a6a2990771c8a9070cdabcbeca18f47\" tg-width=\"876\" tg-height=\"506\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>IV. The Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but a repeat of the surge in February and March is unlikely. Low US interest rates will be the norm in the medium to long term.</p><p>Given that the Treasury Department will issue bonds intensively in August and September to raise funds, coupled with expectations of Taper at that time, US Treasury yields may face pressure for a temporary rebound in August and September.</p><p>First, according to the third-quarter financing plan, the U.S. Treasury Department will issue bonds to raise $805 billion from July to September, double the amount in the second quarter. Furthermore, the current reduced bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the U.S. Treasury Department's subsequent bond issuance plans will be concentrated in August and September, thereby putting pressure on a rebound in U.S. long-term interest rates.</p><p>Secondly, the US CPI in June exceeded expectations, inflation may remain high in July, the economic slowdown will not be significant, and with the decline in the savings rate, the US unemployment rate may improve slightly. Therefore, the bond market's expectations for the Fed's Taper will also increase in August and September.</p><p>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt. US Treasury yields will remain low and fluctuate. This is an inevitable choice for the US to practice MMT (Modern Monetary Theory), an inevitable result of the US's reliance on debt-driven economic stimulus, and a prerequisite for fabricating a new \"American Dream\" to \"win economic competition\" against the backdrop of great power rivalry.</p><p><img src=\"https://static.tigerbbs.com/e5c84bd8f5c84ba1756f2447f601fbab\" tg-width=\"884\" tg-height=\"537\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>V. Risk Warning</p><p>Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; The risks of great power competition.</p>","source":"zydcl","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>What is the real reason for the sharp decline in US long-term interest rates?</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\">\nWhat is the real reason for the sharp decline in US long-term interest rates?\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\"> 张忆东策略世界</strong><span class=\"h-time small\">2021-07-21 14:33</span>\n</p>\n</h4>\n</header>\n<article>\n<p><b>Abstract</b></p><p><b>Introduction: The yield on 10-year US Treasury bonds recently fell to the 1.1%-1.2% range. We believe:</b></p><p><b>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</b></p><p>Admittedly, starting last week, the number of new confirmed cases in the United States exceeded 40,000 again, exacerbating market concerns about the economic outlook and boosting the decline in US long-term interest rates, but this is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting since June;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines;</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates.</p><p></li></ul><b>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</b></p><p><ul><li>First, short-term interest rates are more significantly affected by liquidity, but during the period when the 10-year US Treasury yield fell sharply, the decline in the 2-year short-term yield was relatively moderate.</p><p></li><li>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves. The increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve, and the transmission to the US Treasury market is not direct.</p><p></li></ul><b>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</b></p><p><ul><li>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields.</p><p></li><li>Secondly, due to debt ceiling constraints, the Ministry of Finance's bond issuance pace slowed significantly in July. From July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p></li><li>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates.</p><p></li><li>Fourth, the Federal Reserve's bond purchases are not a market activity. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices under the same scale.</p><p></li><li>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. As of the latest disclosure on July 14, based on debt ceiling constraints, a balance of up to $207.5 billion remains to be spent.</p><p></li></ul><b>Fourth, the Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but it will not repeat the surge in February and March. Low US interest rates will be the norm in the medium to long term.</b></p><p><ul><li>According to the third-quarter financing plan, the U.S. Treasury Department will raise $805 billion in bonds from July to September, double the amount in the second quarter. Furthermore, the current scaled-down bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the US Treasury's bond issuance plan will be concentrated in August and September. Coupled with the increase in market expectations for the Fed's Taper in August and September, there will be pressure for a rebound in US long-term interest rates at that time.</p><p></li><li>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p></li><li>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt.</p><p></li></ul><b>Risk warning: Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; Risks of great power competition</b></p><p><b>text</b></p><p>I. Recent pandemic variables are not the core reason for the sharp decline in US long-term interest rates.</p><p>Are the recent pandemic variables the core variables driving the decline in long-term US Treasury yields? No. Admittedly, the number of new confirmed cases in the United States exceeded 40,000 again last week, exacerbating market concerns about the economic outlook. While this has contributed to the decline in US long-term interest rates, it is not the core reason.</p><p><ul><li>First, the variables of the epidemic caused by the Delta virus variant have been fermenting for a long time. As early as June, the number of newly confirmed cases in countries such as the UK and Russia rose sharply again;</p><p></li><li>Secondly, taking the UK as an example, although the Delta virus variant has led to a rise in the number of newly confirmed cases, it has not changed the downward trend in the COVID-19 fatality rate brought about by vaccines. The mortality rate shown by the average number of deaths in 7 days / the average number of newly confirmed cases in 7 days 2 weeks ago has continued to decline since 2021, which shows that resistance to severe illness has shown the effect of vaccines.</p><p></li><li>Third, since July, while long-term interest rates have fallen sharply, the decline in inflation expectations has been relatively moderate, indicating that economic outlook factors are not the core dominant factor in the decline in long-term interest rates. The 10-year inflation expectation fell by only 10 basis points from 2.35% to 2.24%. From July 7 to July 19, the 10-year inflation expectation fell by only 11 basis points from 2.35% to 2.24%, while the nominal yield on 10-year US Treasury bonds fell sharply by 29 basis points from 1.48% to 1.19% during the same period.</p><p></li></ul><img src=\"https://static.tigerbbs.com/185d62da04d9a7f2268a7b887bb2e661\" tg-width=\"876\" tg-height=\"586\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p><img src=\"https://static.tigerbbs.com/69821188ad7f6718dcbd40093826c07a\" tg-width=\"872\" tg-height=\"519\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>II. The explanation for the \"flooding\" of TGA accounts into the bond market, which lowered interest rates, is questionable.</p><p>Some interpreters believe that the recent decline in US Treasury yields is due to the Treasury Department's TGA spending releasing liquidity and returning it to the US Treasury market. We disagree.</p><p>First, short-term interest rates are more significantly affected by liquidity, but the decline in short-term interest rates is not obvious. If it was caused by the TGA \"flood release,\" then the allocation demand driven by ample liquidity will primarily focus on short-term interest rates. In fact, during the period of sharp decline in long-term interest rates, the decline in 2-year short-term interest rates was relatively moderate. Between July 1 and July 19, the yield on 2-year US Treasury bonds fell by only 4 basis points from 0.25% to 2.21%. Furthermore, from a high-frequency perspective, long-term interest rates often outpace short-term interest rates in their decline.</p><p>Secondly, after April, the Treasury Department's TGA \"flood release\" did not lead to an increase in bank reserves, and the increase in O/N RRP usage indicates that funds are flowing back to the Federal Reserve. Between 0407 and 0714, the TGA account decreased by $297.4 billion; During the same period, bank reserves actually decreased by $29.9 billion, while we saw a significant increase in O/N RRP usage. Therefore, the decrease and increase in the use of TGA accounts and ON RRP indicate that the Treasury Department's liquidity is flowing back to the Federal Reserve, while bank reserves have not increased, and the transmission to the US Treasury market is not direct.</p><p><img src=\"https://static.tigerbbs.com/cf3e7e28b1bd11250edea7bc5b843510\" tg-width=\"870\" tg-height=\"477\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Third, due to debt ceiling constraints, the pace of Treasury bond issuance slowed significantly in July. The Federal Reserve may be the main force in lowering long-term US interest rates, and US Treasury yields are expected to remain low for the remainder of July.</p><p>Due to debt ceiling constraints, the Treasury Department's pace of bond issuance slowed significantly in July, while the Federal Reserve maintained a monthly bond-buying pace of $120 billion (approximately $80 billion in Treasury Bond + $40 billion in MBS), which may be the core reason for lowering long-term US Treasury yields in July. Looking ahead to the remainder of July, the TGA account will still have a surplus, the Treasury's demand for bond issuance will remain weak, and US long-term interest rates will continue to hover at low levels.</p><p>First, as we mentioned in \"The Mystery of US Treasury Bonds\" on March 18, 2021, the structure of US Treasury holders has undergone a qualitative change. Practicing MMT (Modern Monetary Theory), the Federal Reserve is the main buyer of newly issued US Treasury bonds, which makes the Treasury Department's bond issuance pace an important variable affecting US Treasury yields. In 2020, the U.S. government issued a net $4.54 trillion in Treasury Bond, with the increase in U.S. Treasury Bond accounting for 52% of the net issuance that year. Currently, the proportion of foreign ownership of U.S. Treasury Bond has decreased from 47% at the end of 2015 to 34% at the end of 2020. As of June 30, 2021, the Federal Reserve's holdings of U.S. Treasury Bond further increased to 24%.</p><p><img src=\"https://static.tigerbbs.com/ce12a31c1aa3b901bc1ca327e15376b5\" tg-width=\"883\" tg-height=\"571\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>Secondly, the net issuance of Treasury Bond by the Ministry of Finance has turned negative since July. As of the latest period from July 1st to July 16th, the Treasury's net outflow was -$6.4 billion; From April to June this year, the net monthly issuance of US Treasury Bond was $42 billion, $24 billion, and $330 billion, respectively.</p><p>Third, at the same time, the Federal Reserve continues to purchase Treasury Bond at a rate of approximately $20 billion per month (approximately $80 billion in Treasury Bond + $40 billion in MBS), thus continuously and continuously buying bonds to lower long-term interest rates. For example, from April to June this year, the Federal Reserve added $72.5 billion, $72.4 billion, and $96.2 billion to its monthly holdings. Between July 1 and July 4, the Federal Reserve added $39.2 billion to its Treasury Bond holdings.</p><p>Fourth, from a micro-trading perspective, the Fed's bond purchases are not a market behavior. Therefore, compared to allocation institutions, its purchase of US Treasury bonds regardless of cost has a more significant impact on US Treasury bond prices on the same scale.</p><p>Finally, it is expected that there will still be a surplus in the TGA account for the rest of July, the Treasury's demand for bond issuance will remain weak, and US Treasury yields will remain low. According to the U.S. Treasury Department's financing plan disclosed on May 3, the TGA account is expected to be reduced to $450 billion by July 31, the debt ceiling maturity date. However, as of the latest disclosure on July 14, the Treasury Department's TGA account still had $657.5 billion, with a balance of $207.5 billion to be spent.</p><p><img src=\"https://static.tigerbbs.com/0a6a2990771c8a9070cdabcbeca18f47\" tg-width=\"876\" tg-height=\"506\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>IV. The Treasury's intensive bond issuance in August and September may put rebound pressure on US long-term interest rates, but a repeat of the surge in February and March is unlikely. Low US interest rates will be the norm in the medium to long term.</p><p>Given that the Treasury Department will issue bonds intensively in August and September to raise funds, coupled with expectations of Taper at that time, US Treasury yields may face pressure for a temporary rebound in August and September.</p><p>First, according to the third-quarter financing plan, the U.S. Treasury Department will issue bonds to raise $805 billion from July to September, double the amount in the second quarter. Furthermore, the current reduced bipartisan infrastructure agreement may increase the Treasury's actual financing needs. Based on this, it is estimated that the U.S. Treasury Department's subsequent bond issuance plans will be concentrated in August and September, thereby putting pressure on a rebound in U.S. long-term interest rates.</p><p>Secondly, the US CPI in June exceeded expectations, inflation may remain high in July, the economic slowdown will not be significant, and with the decline in the savings rate, the US unemployment rate may improve slightly. Therefore, the bond market's expectations for the Fed's Taper will also increase in August and September.</p><p>However, considering that the peak of this round of US economic growth and inflationary momentum is likely to occur in the second quarter, low US interest rates will remain low in the medium to long term, and the second half of the year will not see a repeat of the surge in February and March.</p><p>Finally, it should be emphasized once again that in the context of the great power rivalry between the United States, maintaining low interest rates and stimulating economic growth in the medium to long term will be the only way for the United States to get out of the quagmire of high debt. US Treasury yields will remain low and fluctuate. This is an inevitable choice for the US to practice MMT (Modern Monetary Theory), an inevitable result of the US's reliance on debt-driven economic stimulus, and a prerequisite for fabricating a new \"American Dream\" to \"win economic competition\" against the backdrop of great power rivalry.</p><p><img src=\"https://static.tigerbbs.com/e5c84bd8f5c84ba1756f2447f601fbab\" tg-width=\"884\" tg-height=\"537\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"></p><p>V. Risk Warning</p><p>Global economic growth slows down; Monetary policy easing in China and the US fell short of expectations; The risks of great power competition.</p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s/XoB95_kyeOt28iAV8ER8wA\"> 张忆东策略世界</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/a8fca69a364eb1ccaf6e9078f1721480","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://mp.weixin.qq.com/s/XoB95_kyeOt28iAV8ER8wA","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1146283458","content_text":"摘要\n引言：近期10年期美债收益率一度下探至1.1%-1.2%区间，我们认为：\n一、近期疫情变数并非美长端利率大幅下行的核心原因\n诚然，上周开始，美国出现单日新增确诊病例数再次超过4万例的情况，加重了市场对经济前景的担忧，对美长端利率下行形成助推，但其并非核心原因。\n\n首先，Delta病毒变种所引发的疫情变数自6月便已开始发酵；\n其次，以英国为例，虽然Delta病毒变种导致了新增确诊病例数走高，但是其未改变疫苗带来的新冠致死率下降的趋势；\n第三，7月以来，长端利率大幅下行的同时，通胀预期下行相对较为温和，这显示出经济前景因素并非长端利率下行的核心主导因素。\n\n二、TGA账户“泄洪”流入债市拉低利率的解释存疑\n\n首先，短端利率受流动性影响更为显著，但是在10年期美债利率大幅下行的时间段，2年期短端利率下行的幅度比较温和；\n其次， 4月以后，财政部TGA“泄洪”并未带动银行储备金增加，O/N RRP用量走高显示资金回流美联储，对美债市场的传导并不直接。\n\n三、由于债务上限约束，7月财政部发债节奏明显放缓，联储或是压低美长端利率的主要力量，预计7月剩下的时间美债收益率继续维持低位\n\n首先，正如我们在20210318《美债之谜》里提到的，美债的持有者结构发生了质变。践行MMT（现代货币理论），美联储为新增美债的主要购买方，这使得财政部的发债节奏成为影响美债收益率的重要变量。\n其次，基于债务上限约束，财政部7月的发债节奏明显放缓。0701至0716期间财政部净发型额为-64亿美元；而今年4-6月，美国国债月度净发行分别为420亿美元，240亿美元，3300亿美元。\n第三，与此同时，联储依旧按照每个月1200亿美元购债规模（约800亿美元国债+400亿美元MBS），分摊到每个星期约200亿美元购买国债的步伐，不间断、持续地买债压低长端利率。\n第四，联储购债并非市场行为，因此相比于配置机构而言，其不计成本地购入美债，在同等规模下，对于美债价格影响也更显著。\n最后，预计7月接下来的时间，TGA账户“余粮”依旧过剩，财政部的发债需求将继续维持低迷，美债收益率继续维持低位；截至最新披露7月14日，基于债务上限约束，高达2075亿美元的余额有待支出。\n\n四、8-9月财政部密集发债或给美长端利率带来反弹压力，但不会重演2、3月式飙升，中长期美国低利率将是常态。\n\n根据3季度融资计划，美国财政部将在7月至9月发债融资8050亿美元，是2季度的两倍，并且当下两党缩减版的基建协议达成，还可能增加财政部实际融资需求。据此推算，后续美国财政部的发债计划将会集中在8月和9月，叠加8-9月市场对于联储Taper的预期也会有所提升，从而届时美国长端利率存在反弹的压力。\n但是考虑到这一轮美国经济增长和通胀动能的峰值很可能在二季度，所以，中长期美国低利率将保持，下半年不会重演2、3月式飙升。\n最后，再次强调美国大国博弈背景下，中长期保持低利率、刺激经济增长将是美国走出高债务泥潭的必由之路。\n\n风险提示：全球经济增速下行；中、美货币政策宽松不达预期；大国博弈风险\n正文\n一、近期疫情变数并非美长端利率大幅下行的核心原因\n近期疫情变数是美债长端收益率下行的核心变量吗？不是。诚然，上周开始美国出现单日新增确诊病例数再次超过4万例的情况，加重了市场对经济前景的担忧，其对美长端利率下行有助推，但并非核心原因。\n\n首先，Delta病毒变种所引发的疫情变数发酵已久。早在6月份，英国、俄罗斯等国的新增确诊病例数便再度大幅走高；\n其次，以英国为例，虽然Delta病毒变种导致了新增确诊病例数走高，但是其未改变疫苗带来的新冠致死率下降的趋势。7日死亡病例数均值/2周前的7日新增确诊病例数均值所显示的死亡率自从2021年以来持续下降，这说明了对重症的抵御显示了疫苗的作用。\n第三，7月以来，长端利率大幅下行的同时，通胀预期下行相对较为温和，这显示出经济前景因素并非长端利率下行的核心主导因素。10年期通胀预期仅从2.35%仅下降10bp至2.24%，从0707-0719期间，10年期通胀预期仅从2.35%仅下降11bp至2.24%，而同时期10年期美债名义利率从1.48%大幅下降29bp至1.19%。\n\n\n\n二、TGA账户“泄洪”流入债市拉低利率的解释存疑\n有解读认为，近期美债收益率下行是财政部TGA支出释放流动性，回流美债市场导致。我们持不同意见。\n首先，短端利率受流动性影响更为显著，但是短端利率下行并不明显。如果是TGA“泄洪”导致的，那么因为流动性充裕所驱动的配置需求首先聚焦短端利率。事实上，在长端利率大幅下行的时间段，2年期短端利率下行的幅度比较温和，在0701-0719期间，2年期美债收益从0.25%仅下行4bp至2.21%。并且，如果从高频视角下，长端利率很多情况下是领先短端利率下行的。\n其次， 4月以后，财政部TGA“泄洪”并未带动银行储备金增加，O/N RRP用量走高显示资金回流美联储。在0407-0714期间，TGA账户下降了2974亿美元；同时期，银行储备金反而减少了299亿美元，同时期，我们看到O/N RRP用量的大幅走高。因此TGA账户和ON RRP用量的一降一升，显示的是财政部流动性回流美联储，银行准备金并未增加，对美债市场的传导并不直接。\n\n三、由于债务上限约束，7月财政部发债节奏明显放缓，联储或是压低美长端利率的主要力量，预计7月剩下的时间美债收益率继续维持低位\n基于债务上限约束，财政部7月的发债步伐明显放缓，而联储依旧维持每个月1200亿规模（约800亿美元国债+400亿美元MBS）的购债节奏，或是压低7月份美债长端利率的核心原因。展望7月剩下的时间，TGA账户“余粮”依旧过剩，财政部发债需求将继续低迷，美长端利率将继续维持低位徘徊。\n首先，正如我们在20210318《美债之谜》里提到的，美债的持有者结构发生了质变。践行MMT（现代货币理论），美联储为新增美债的主要购买方，这使得财政部的发债节奏成为影响美债收益率的重要变量。2020年美国政府净发行了4.54万亿美元的国债，美国国债增量占当年净发行量的52%。当下，外资持有美国国债的比重由2015年底的47%下降至2020年底的34%。截至2021年6月30日，联储持有占美国国债规模占比进一步升高至24%。\n\n其次，7月至今财政部国债净发行额转负。截至最新从0701至0716期间财政部净发型额为-64亿美元；而今年4-6月，美国国债月度净发行分别为420亿美元，240亿美元，3300亿美元。\n第三，与此同时，联储依旧按照每个月1200亿美元购债规模（约800亿美元国债+400亿美元MBS），分摊到每个星期约200亿美元购买国债的步伐，不间断、持续地买债压低长端利率。比如今年4-6月联储对应当月新增持有为725亿美元，724亿美元，962亿美元。在0701至0704期间，联储新增持有国债规模为392亿美元。\n第四，从微观交易角度，联储购债并非市场行为，因此相比于配置机构而言，其不计成本地购入美债，在同等规模下，对于美债价格影响也更显著。\n最后，预计7月接下来的时间，TGA账户“余粮”依旧过剩，财政部的发债需求将继续维持低迷，美债收益率继续维持低位。根据5月3日披露美国财政部融资计划，预计在债务上限到期日7月31日将TGA账户下降至4500亿美元。但是截至最新披露7月14日，财政部TGA账户还有6575亿美元，高达2075亿美元的余额有待支出。\n\n四、8-9月财政部密集发债或给美长端利率带来反弹压力，但不会重演2、3月式飙升，中长期美国低利率将是常态\n基于财政部将会在8-9月密集发债融资，以及叠加届时的Taper预期，美债收益率在8-9月或存在阶段性反弹的压力。\n首先，根据3季度融资计划，美国财政部将在7月至9月发债融资8050亿美元，是2季度的两倍，并且当下两党缩减版的基建协议达成，还可能增加财政部实际融资需求。据此推算，后续美国财政部的发债计划将会集中在8月和9月，从而带来美国长端利率反弹的压力。\n其次，6月份美国CPI超预期，7月份通胀或仍会高位徘徊，经济回落不明显，且随着储蓄率回落，美国失业率或有望小幅改善，所以，8、9月份债券市场对于联储Taper的预期也会有所提升。\n但是考虑到这一轮美国经济增长和通胀动能的峰值很可能在二季度，所以，中长期美国低利率将保持，下半年不会重演2、3月式飙升。\n最后，再次强调美国大国博弈背景下，中长期保持低利率、刺激经济增长将是美国走出高债务泥潭的必由之路。美债收益率将维持低位震荡，这是美国实践MMT（现代货币理论）的必然选择，是美国依赖债务扩张型经济刺激之路的必然结果，是大国博弈背景下编造“赢得经济竞争”的新“美国梦”的前提条件。\n\n五、风险提示\n全球经济增速下行；中、美货币政策宽松不达预期；大国博弈风险。","news_type":1,"symbols_score_info":{".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":1285,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"lives":[]}
