这进一步加剧了美联储降息前景的不确定性。两项数据公布后，10年期美债收益率一度升至7月以来的最高水平，美银编制的追踪美债预期收益率的波动性指标Move指数也已飙升至1月以来的最高点。Due to the September CPI exceeding expectations across the board, the bond market expects the Fed to cut interest rates by only 45 basis points within the year, while the options market is betting that there will be only one rate cut left in the year, and even the possibility of a 25 basis point rate cut by the end of the year followed by a pause in rate cuts until early next year. The Move index, a volatility indicator measuring expected yields on U.S. bonds, has surged to its highest point since January.
The unexpected rise in inflation and the labor market's renewed weakness cast a shadow over the prospect of a rate cut by the Federal Reserve.
Data released in the US last week showed that CPI rose by 2.4% year-on-year in September, exceeding the expected 2.3%; core CPI rose by 3.3% year-on-year in September, also surpassing the expected 3.2%. At the same time, the number of initial jobless claims unexpectedly rose from 0.225 million to 0.258 million, indicating a renewed weakness in the labor market last week.
This further intensifies the uncertainty about the Fed's rate cut prospects. After the two data releases, the yield on 10-year US Treasury notes briefly rose to its highest level since July, and Move Index, compiled by Bank of America tracking expected yields on US Treasuries, has also surged to its highest point since January.
Bond traders' bets on rate cuts have also moderated. Traders are currently betting that the Fed's rate cuts at the two remaining FOMC meetings this year will only be 45 basis points, whereas previously, a 50 basis point cut before the September non-farm payroll report was seen as a "done deal".
Meanwhile, the options market is betting on only one more rate cut this year, and even a potential pause in rate cuts after a 25 basis point cut by the beginning of next year.
Some analysts point out that the volatility in the US bond market may continue for several weeks until the US Department of the Treasury releases its quarterly funding announcement, the October non-farm payroll report, and the Fed's November interest rate decision.
Citadel has warned its clients to prepare for 'significant future volatility' in the bond market.
Blackrock's fixed income department portfolio manager David Rogal said:
“As the election is factored into the options value window, (U.S. Treasury yield)Implied volatilitymay be higher.”
Media reports indicate that top asset management companies including BlackRock, The Pacific Asset Management, and UBS Group currently prefer to invest in relatively lower risk 5-year U.S. Treasury bonds.
Anmol Sinha, the investment director of Capital Group managing a $91.4 billion bond fund, said:
“The shorter term part of the yield curve (five years or shorter) currently seems more attractive to us.”
As of the time of publication, $U.S. 10-Year Treasury Notes Yield (US10Y.BD)$ Already reached 4.1%.
Editor/Somer
