美债收益率曲线变陡加剧，后续仍需美联储助力？

7 22 I2024 20111290 + 9 100% PMIPCE GDP GDP5% 5% 7.225-7.295 Z0017101 1..........................................................................................1 1.1..............................................................................1 1.2........................................................1 1.3..........................................................................2 1.3.1.............................................................................................2 1.3.2.............................................................................................3 1.3.3.............................................................................................3 2.................................................................................................4 2.1-..................................................................4 2.2.......................................................................4 2.2.1.....................................................................................4 2.2.2.....................................................................................5 2.2.3..................................................................................6 2.2.4..................................................................................6 2.3..................................................................................7 2.3.1...................................................................7 2.3.2...............................................................8 3..........................................................................................9 3.1...................................................................9 3.2............................................................................13 3.3..........................................................14 ...........................................................................................15 ..................................................................................................16 17 18 ......................................................................................................18 1.1.1 ..................................................................................................1 1.2.12024715719.2 1.2.2 .....................................................................2 2.1.1 ...............................................................................................4 2.2.1 ..........................................................4 2.2.2 ..............................................................4 2.2.3 ..........................................................5 2.2.4 % ..............................................................5 2.2.5 .....................................................................6 2.2.6 NDF USDCNH .........................................................................7 2.2.7 USDCNY 25Delta %..........................7 2.3.1 ...............................................7 2.3.2 .........................................................................7 2.3.3 ...............................................8 2.3.4 .........................................................................8 3.3.1 2024.7.22-7.26 ................................14 1 .................................15 2 % ..................................................................16 3 ...................................................17 4 Shibor %............................................................................17 5 SOFR % .............................................................................17 6 %.................................................................................18 7....................................................................................18 1. ( BIS 7.1315 7.1328 7.1285 7.1315 0.000% USDCNY7.2585 7.2672 7.2572 7.2672 0.120% USDCNH7.2770 7.2855 7.2738 7.2828 0.080% 157.9506 158.5730 156.5922 157.4175 -0.338% 1.0902 1.0930 1.0885 1.0888 -0.129% 1.2984 1.3003 1.2920 1.2920 -0.491% 104.1056 104.3801 103.7374 104.3801 0.264% CFETS99.24 —— —— 99.19 -0.050% 105.29 —— —— 105.25 -0.038% 93.94 —— —— 93.67 -0.287% 1.1 2024715719 71916:30 CFETSBISSDR 1.1.1 ) ( SDR iFinD ) 1.2 1.2.12024715 719 USDCNHUSDCNY Bloomberg 1.2.2 7.30108.00 7.28 107.00 7.26 7.24 7.22 7.20 106.00 105.00 104.00 103.00 102.00 7.18 2024-03-222024-04-222024-05-222024-06-22 101.00 : iFinD 1.3 1.3.1 + 9 100% PMIPCE GDP 5% GDP GDP 5% GDP GDP 7.225-7.295 1.3.2 1.3.3 2. - 2.1 719 7.1315 2.1.1 1 2 0 6544 105 -6649 26 RefinitivBloomberg 6951 339 -7274 2.2.1 2.2.2 0.100 0.050 0.000 (0.050) (0.100) (0.150) (0.200) (0.250) 0.14500 0.14000 0.13500 0.13000 0.12500 0.12000 0.11500 0.11000 7.33 7.28 7.23 7.18 7.13 7.08 7.03 0.00 (0.02) (0.04) (0.06) (0.08) (0.10) (0.12) (0.14) (0.16) (0.18) 5 USDCNY16:30 RefinitivBloombergRefinitivBloomberg 2.2 2.2.1 1“一篮子货币汇率贡献”根据Refinitiv调整后数据计算 2“逆周期因子贡献”根据Refini