花旗-2026年美国利率展望

【价值目录】网整理：【价值目录】网整理：https://www.valuelis ■Rateshavebenefitedintherisk-offmovefollowingtechearningsandpost-midtermsentiment,butwedonotlikechasingtherallyhereandremaintacticallyneutral.–Termpremiumhascollapsedinthisrally,whichmeansthe10yand30ypartofthecurvecouldbeexposedtoasell-off.•CurveisatriskofsteepeninggivenChairWarshisunlikelyto‘crash’theeconomyandgrowthremainsstrong.–ThereshouldbealimittotheterminalratetheFedcanreachbyH2•WeenteredDec/JanFOMCflattenerstopositionforaDecemberhikeandfa–Inthemedium-termthereisvalueinthe3yto5ypartofthecurve.•ItwillbechallengingfortheFedtohikebeyondforwardsassu•Extendingdurationbeyondthebelly,though,ischallengingastermpremiumhascompressedsharplyinthepastcoupleofweeks.–Treasurydidnotreducelong-endcouponissuanceattheNovemberrefunding.•Themarketisstilltoobullishoninflationrisksin2027evenwhilethePCE/CPIwedgeremainswide.Ontheotherhand,longer-terminflationbreakevenslookcheapandhencewearelong30ybreakevens.–Inourview,thenextnarrativewillbehowcanregulatorsreducethedemandforbankreserves.•Weseescopefor~$500bnreductioninreservedemand,whichmayactlikealiquidityinjectionin2027/2028.•TheFedwouldneedtoseeevidencethatfuturepoliciesareworkingbeforerestartingQT.•Eventualclearingofstandingrepooperationswilllimitcheapnessinforwardspreadssuchas3y2y. YE2026forecastsUSTBaseUSTBaseBullBear2y4.305.304.802y4.305.305y5y4.854.455.304.654.655.055.005.305.305.5530y2©2026CitigroupInc.Noredistributio2-Thismeanstwoofthefourpartic31.50.5Jan-17Jan-18Jan-19lan-20laexpectationsandrisksentimentdeclin今0thoughgrowthwasDec-16DecDec-16Dec-103towardsthe2.5%isjustifu-17u-17steepeners(forcashinvefewweeks,buttherolldownco20y5y,soeffectivelycap20y5yrolldownandfairlycorrelatedtoshortrat1y088Q42025toQ12026."cheap"sellersforbuyback■Shrinkingopportunitysetsuggspreads,theincreased30y+IG0-STRIPSdemandwa-PlansmaytargetaTreasuryismonitoringSOMApurchasesofTreasuryblsandgrowinprivatesector.Lookingahead,TreasuryhasbeguntopreliminarilyconsiTreasuryismonitoringSOMApurchasesofTreasuryblsandgrowinprivatesector.Lookingahead,TreasuryhasbeguntopreliminarilyconsiTreasuryismonitoringSOMApurchasesoTreasuryismonitoringSOMApurchasesprivatesector.Lookingahead,TreasurycontinuestoevaluatepotentialfutcouponandFRNauctionsizes,withafocusontrTreasuryismonitoringSOMApurcprivatesector.Lookingahead,TreasurycontinuestoevaluatepotentialfuevolvingTreasurysupplyanddemanddynamics.Inconsidernganychangesobjectiveoffinancin0Treasury'sstatementchangesin2024and2025.TreasurydoesnotanticipatebeyondthosebeingannouncedTreasurydoesnotanticipateauctionsizes,beyondthosebeingannouncedtodaTreasurydoesnotanticipateneedinTreasurydoesnotanticpateneedingtoincreaseanticipateTreasuryantcipatesmaintainingnominalcouponandFRNaucLookingahead,Treasuryhasbeguntopreliminarilyconsiderfuturencreasestonomina■Privateandofficialholdingsofthe9yto10ysectorasapercentageoforiginalissue10yinthesectorare~60%(including■The20ybondhascontinuedtobeboughtbyforeignprivateinvestorsoverthelastfewyears,whileforeignofficialdemandforthelong-endwasbasicallyflatfrommid-2024tomid-2025.-Byourestimates,foreignbuyersown30%to60%of20yoriginalissuance,ofwhichroughly30%isheldbyofficialaccounts■FromJune2024toJune2025,totalforeignofficialholdingsdecreased$57bn,whileprivateholdingsincreased$612bn.0©2026CitigroupInc.NoredistributionwithoutCitigroup’swrittenperSource:CitiResearchrcombined,mostlikelyforcedtoselltoMonthlyChangeinLong-termUSTHoldingsbyCo©2026CitigroupInc.NoredistributionwithoutCitigroup’swrittenperCouponsupplyanddeficitforecasts2026FRN2yNominalTreasuries2yr3yr5yr7yr10yr20y30yrTIPS5y10y30yGrossSupplytoRedemption(frompvt)(B)NominalsTIPSFRNsIssuance(A-B)TreasuryBuybacks(C)Issuancebuybacks(A-B-C)LiquiditySupportCashManagementJan-263069587044391322021036640560270261Feb-262869587044421625361232084453328695870443913223623130049Apr-26306958704439132226003711843186706452869587044421625371288279Jun-2628695870443913222400367314005372521Jul-263069587044391322021036617339866858Aug-26286958704442162536022900Sep-262869587044391322362Oct-263069587044391322260037142440285290256Nov-262869587044421625371378086-93-110Dec-2628695870443913222400367Total3448286968405284801682764,3952,3731693421,5111,213viaregulatorychanges,alongwithdis-Fedofficialshavesegmentoftheliquid-First,regulatorswilllookatwaystoreduSource:CitiResearch,Fed,Bloo■TheimpactonreservedemandfromLCRchangescouldbesomewhatlimitedandmostlyimpactdomesticbanks.–Wethinkthata$200bnto$600bnreductionofreservesdemandislikelythemostfeasibleoutcomefordomesticbanks.■Alargerreductioninreserveswouldimplyasignificantlylowerreserves-to-assetsratio.–Weestimatethata$1tnreductioninreserveswouldbeconsistentwitha~3%reserves/assetsratioforalldomestics.■Separately,banks’capacitytodeleverageviaoutrightUSTsalesorbylettingthemmatureislimited,asbanksthathold–Weusebanks’FHLBadvances(i.eestimatedeleveragingcapacityastheminimumbetweenbanks’FHLBadvancesandUSTholdings.–Thesystem-wideUSTdeleveragingcapacityfordomesticbanksiscloseto$200bn.Wethinkdomesticbanks’dem637©2026CitigroupInc.NoredistributioSource:CitiResearch,Blo ■OverthepastcoupleofweelatestincreaseinT-billsupplyaswellasbytheincreaseintheTGAbalancetowardstheendofOctober.■TreasuryguidedcutsinT-billauctionsizesinDecember,soweexpectT-billoutstandingtopeakinearlyDecember.Inourview,SOFRcanonceagainfixbelowIORBintothesecondhalfofNovemberandearlyissuancebeginstomoderate.■TheTGAbalanceissettomovelowerbyyear-end,andTreasuryhasguidedtoan$850bnbalancefortheendofDecember.ThismovelowerinTGAwillincreasereserves,whichinturnwillbesupportiveofrepomarkets.■WeseealargerriskthatRMPsreturninthenextcycle,perhapsata$20bn/monthpacefortherestoftheyear.WhilewedonotexpectanychangestoFedbalancesheetpolicyuntilthebalancesheettaskforcepresentstheirresultinearly2027,wethinktheFedmightopttoincreasereservespreemptivelyintoyear-end.0■WeexpectTreasupointextraordinarymeasureswillbeexhaustedandTreasu■TheX-dateisthewoandtheTGAbalanceareexhauWethinkreserveswillmo20©2026CitigroupInc.Noredistributio20Swapspreads:Valueinfront-end/belly■Front-endspreadsshouldbeanchored.–Attractivecarryandrollshouldberealizedin2026.–Termrepo,moresothano/n,shoulddrivevaluationoffront-endspreads.•Hardtoseetermrepobecomingunboundedin20–3y2yforwardslookcheapiffront-endspreadsareasanchoredasweexpect.–RMPsanduncappedSRFcouldencouragebankportf■Wedonotfavorlong-endspreadsduetofiscalandsupply/demandimbalance.–Weexpect20ytoremainsupportedagainst10yand30y,andfor30ytotightenoutrightsomewhat.0-3y2yspreadsremaindeeplyc-In