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TIPS 正向分析

信息技术2024-08-12-德意志银行记***

AI智能总结

TIPS Forwards Analysis

Key Data Summary:

Trade Date: 25-Jul-24
CPI Data:
- NSA CPIM: 314.69 (as of 31-Jan-24), 314.83 (as of 25-Jul-24)
- Ref CPI: 316.51 (as of 1-Oct-24)
Repo Rate:
- 1m: 0.65%
- 3m: 0.39%
- 6m: -28.5%
- 1y: -48.0%
TIPS Forward Rates (Next Calendar Month):
- 1-May-24: 0.17%
- 26-Jul-24: 0.65%
- 26-Aug-24: 0.30%
- 26-Oct-24: 0.04%
- 26-Jan-25: 0.30%
- 26-Jul-25: 0.03%
- 26-Aug-24: 0.00%
- 26-Oct-24: -0.05%
- 26-Jan-25: -0.05%
TII Rates:
- Various maturities and dates showing rates ranging from -28.5% to 12.324%.
Real Yield:
- Various maturities and dates showing rates ranging from -6.9% to 2.230%.
Benchmark Snapshot:
- TII 1.750 01/28: 2.094%
- TII 0.500 01/28: 2.086%
Breakeven Real Yield:
- Various maturities and dates showing rates ranging from -6.9% to 17.2%.
Yield on Treasury Securities:
- 1m: 1.500%, 26-Jul-24: 5.298%
- 3m: 2.000%, 26-Jul-24: 4.554%
- 6m: 2.000%, 26-Jul-24: 4.313%
- 1y: 2.000%, 26-Jul-24: 4.313%
Iota Carry:
- Various maturities and dates showing carry values ranging from -26.9% to 20.11%.

Detailed Analysis:

CPI and Repo Rates:
- The NSA CPIM shows a slight increase from 314.69 to 314.83, while the repo rate has significantly decreased, indicating a shift in monetary policy.
TIPS Forward Rates:
- The forward rates show a range from negative to positive, with the 1-month rate at 0.17% and the 1-year rate at -0.05%.
TII Rates:
- TII rates vary widely, with some maturities showing significant negative yields.
Real Yield:
- Real yields also vary, with some maturities showing positive real yields while others are negative.
Benchmark Snapshot:
- The benchmark snapshot indicates that the 1.750 TII has a higher yield compared to the 0.500 TII.
Breakeven Real Yield:
- Breakeven real yields range from -6.9% to 17.2%, indicating a wide range of expected inflation outcomes.
Yield on Treasury Securities:
- Treasury yields show a range from 1.500% to 6.000%, with the 1-month and 3-month yields being the highest.
Iota Carry:
- Iota carry values range from -26.9% to 20.11%, reflecting the cost of holding TIPS versus Treasuries.

Conclusion:

The data highlights significant variability in both nominal and real yields across different maturities and dates. The repo rate decrease suggests a宽松的货币政策环境，而TIPS和Treasury收益率则反映了市场对通胀预期的不同看法。投资者在选择投资时需综合考虑这些因素。

Carry 关闭 1b 1m3m6m1y 1m 3m 6m 1y 下一个日历月 /Iota 24 25-Jul-24 26-Jul-24 26-Aug-24 26-Oct-24 26-Jan-25 26-Jul-25 26-Aug-2426-Oct-2426-Jan-2526-Jul-25 01/Aug/24-03/Sep 99.055 4.464% 4.180% -28.5 -48.0 206.0 98.797 4.991% 4.991% 5.394% 0.040.3 -4.3 272.2 97.816 5.007% 5.020% 5.462% 1.245.5 -2.8 215.7 97.145 4.185% 4.087% 3.958% 2.181% -9.8-22.7-200.4 -13.8 148.4 97.453 3.059% 2.880% 2.502% 0.904% -17.9-55.8-215.6 -21.9 13.6 96.727 2.872% 2.719% 2.414% 1.346% 2.426% -15.2-45.8-152.5-44.5 -18.4 5.2 98.703 2.907% 2.783% 2.544% 1.772% 2.760% -12.5-36.4-113.5-14.8 -15.0 29.3 96.766 2.888% 2.763% 2.523% 1.753% 2.712% -12.5-36.5-113.5-17.6 -15.0 4.7 95.605 2.757% 2.645% 2.435% 1.810% 2.461% -11.1-32.2-94.6-29.6 -13.3 0.8 95.766 2.337% 2.221% 1.998% 1.404% 1.681% -11.6-33.9-93.3-65.6 -13.6 3.7 95.383 2.268% 2.164% 1.965% 1.455% 1.691% -10.5-30.3-81.3-57.7 -12.2 4.6 100.121 2.324% 2.230% 2.053% 1.606% 1.865% -9.4-27.1-71.8-45.9 -11.0 24.8 95.363 2.317% 2.225% 2.051% 1.614% 1.869% -9.3-26.6-70.3-44.8 -10.8 5.1 94.383 2.265% 2.180% 2.023% 1.634% 1.854% -8.5-24.2-63.1-41.1 -9.9 0.7 95.270 2.024% 1.939% 1.780% 1.404% 1.540% -8.5-24.4-62.0-48.4 -9.8 1.8 98.762 2.024% 1.944% 1.796% 1.452% 1.583% -8.0-22.7-57.2-44.1 -9.2 4.9 98.855 2.094% 2.021% 1.888% 1.577% 1.725% -7.2-20.6-51.7-36.9 -8.4 6.8 94.719 2.086% 2.014% 1.883% 1.578% 1.723% -7.1-20.2-50.7-36.2 -8.2 2.8 105.387 2.112% 2.042% 1.916% 1.625% 1.769% -6.9-19.6-48.7-34.2 -8.0 17.2 97.016 2.087% 2.020% 1.898% 1.615% 1.753% -6.7-19.0-47.2-33.4 -7.8 3.6 95.578 1.912% 1.846% 1.724% 1.450% 1.549% -6.6-18.8-46.2-36.3 -7.6 2.3 101.754 1.940% 1.876% 1.760% 1.500% 1.601% -6.4-18.0-44.0-33.9 -7.3 6.9 102.168 1.991% 1.931% 1.824% 1.581% 1.690% -5.9-16.7-40.9-30.1 -6.8 14.2 95.316 1.975% 1.917% 1.812% 1.577% 1.681% -5.8-16.3-39.8-29.4 -6.7 4.1 108.367 2.008% 1.950% 1.847% 1.615% 1.722% -5.8-16.1-39.3-28.6 -6.6 13.6 100.582 1.995% 1.939% 1.838% 1.614% 1.717% -5.6-15.7-38.1-27.8 -6.4 6.2 92.387 1.861% 1.808% 1.711% 1.499% 1.579% -5.3-15.0-36.1-28.2 -6.1 6.9 90.668 1.931% 1.884% 1.799% 1.614% 1.697% -4.7-13.2-31.7-23.3 -5.4 4.6 90.223 1.863% 1.819% 1.740% 1.569% 1.639% -4.4-12.3-29.4-22.4 -5.0 6.4 89.055 1.933% 1.893% 1.822% 1.669% 1.742% -4.0-11.0-26.4-19.0 -4.5 10.4 88.473 1.898% 1.861% 1.795% 1.652% 1.718% -3.7-10.3-24.6-18.0 -4.3 9.8 87.270 1.966% 1.932% 1.872% 1.742% 1.810% -3.4-9.4-22.4-15.6 -3.9 10.1 109.977 1.975% 1.939% 1.874% 1.735% 1.806% -3.7-10.1-24.0-16.9 -4.2 23.1 90.324 1.941% 1.909% 1.851% 1.726% 1.789% -3.3-9.1-21.5-15.2 -3.7 13.4 93.199 2.002% 1.971% 1.917% 1.800% 1.865% -3.1-8.5-20.2-13.7 -3.5 16.1 95.055 1.979% 1.950% 1.898% 1.785% 1.846% -3.0-8.2-19.4-13.3 -3.4 16.1 97.648 2.024% 1.996% 1.946% 1.840% 1.902% -2.8-7.8-18.4-12.2 -3.2 17.0 98.965 1.990% 1.961% 1.914% 1.809% 1.873% -2.9-7.6-18.1-11.7 -3.1 18.7 99.848 2.137% 2.119% 2.088% 2.022% 2.068% -1.8-4.8-11.4-6.8 -2.0 16.4 100.055 2.121% 2.104% 2.075% 2.012% 2.056% -1.7-4.6-10.9-6.6 -1.9 11.7 78.691 2.223% 2.209% 2.185% 2.132% 2.174% -1.4-3.8-9.0-4.9 -1.6 9.2 75.613 2.238% 2.225% 2.203% 2.154% 2.193% -1.3-3.5-8.4-4.5 -1.5 5.7 86.293 2.245% 2.232% 2.209% 2.159% 2.199% -1.3-3.6-8.6-4.6 -1.5 5.6 75.535 2.242% 2.230% 2.209% 2.165% 2.201% -1.2-3.3-7.7-4.1 -1.4 3.5 78.520 2.265% 2.253% 2.233% 2.190% 2.226% -1.2-3.2-7.6-3.9 -1.4 5.2 75.527 2.267% 2.256% 2.237% 2.195% 2.230% -1.1-3.0-7.2-3.7 -1.3 5.1 77.012 2.265% 2.254% 2.235% 2.195% 2.228% -1.1-2.9-7.0-3.6 -1.3 4.0 76.465 2.253% 2.243% 2.225% 2.185% 2.218% -1.1-2.9-6.8-3.5 -1.2 3.8 61.551 2.233% 2.223% 2.207% 2.173% 2.201% -0.9-2.5-5.9-3.1 -1.1 4.1 58.285 2.210% 2.201% 2.186% 2.154% 2.180% -0.9-2.4-5.6-3.0 -1.0 4.5 57.285 2.201% 2.192% 2.178% 2.146% 2.171% -0.9-2.3-5.4-3.0 -1.0 6.4 84.539 2.235% 2.225% 2.208% 2.172% 2.201% -1.0-2.7-6.4-3.4 -1.2 13.2 1-Feb-24 NSACPIMTM 310.33 参考CPI314.69258314.83097314.39355316.51194321.77149 1-Mar-24 312.33 0.65% 1-Apr-24 313.55 0.39% 1-May-24 314.07 0.17% 1-Jun-24 314.18 0.03% TII0.12510/24 1-Jul-24 314.62 0.14% TII2.37501/25 1-Aug-24 314.71 0.03% TII0.25001/25 1-Sep-24 314.86 0.05% TII0.12504/25 1-Oct-24 314.70 -0.05% TII0.37507/25 1-Nov-24 314.32 -0.12% TII0.12510/25 1-Dec-24 314.24 -0.03% TII2.00001/26 1-Jan-25 315.52 0.41% TII0.62501/26 1-Feb-25 316.75 0.39% TII0.12504/26 1-Mar-25 318.28 0.48% TII0.12507/26 1-Apr-25 319.42 0.36% TII0.12510/26 基准快照 TII2.37501/27TII0.37501/27TII0.12504/27TII0.37507/27TII1.62510/27TII1.75001/28 盈亏平衡实际产量 TII0.50001/28TII3.62504/28 5Y 2.27 1.995% TII1.25004/28 10Y 2.24 1.990% TII0.75007/28 30Y 2.27 2.237% TII2.37510/28 5Y5Y 2.21 1.990% TII2.50001/29TII0.87501/29TII3.87504/29TII2.12504/29TII0.25007/29TII0.12501/30TII0.12507/30TII0.12501/31TII0.12507/31TII0.12501/32TII3.37504/32TII0.62507/32TII1.12501/33TII1.37507/33TII1.75001/34TII1.87507/34TII2.12502/40TII2.12502/41TII0.75002/42TII0.62502/43TII1.37502/44TII0.75002/45TII1.00002/46TII0.87502/47TII1.00002/48TII1.00002/49TII0.25002/50TII0.12502/51TII1.50002/53Tsy收益率 /24 T1.500%10/24T7.625%02/25T2.000%02/25T0.500%03/25T2.000%08/25T0.250%10/25T6.000%02/26T1

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