机构认为，本轮加息预期尚未见顶，当下更多是对货政紧缩预期交易的一次阶段性缓和。进入8月后，美联储货政紧缩的交易或卷土重来，美债利率大概率会重新回归上行，绝对水平有望突破3.20%的前高。
本轮加息预期尚未见顶，当下更多是对货政紧缩预期交易的一次阶段性缓和，这一缓和来自近端非常清晰的货政路径信号与短期难以发酵的通胀风险。
进入8月后，美联储货政紧缩的交易或卷土重来，尤其是通胀风险的再度发酵对「通胀-紧缩」逻辑的二次强化。美债利率大概率会因调整流动性与通胀风险溢价而结束2.7-3.0%震荡并重新回归上行，绝对水平有望突破3.20%的前高。
当前市场计入了多少加息预期？
FFF/OIS与分析师一致预期目前均充分定价6、7月各50bps与11、12月各25bps的加息，更多分歧在9月的FOMC会议是否加息50bps（FFF/OIS预期50%、分析师一致预期25%）。相比之下，1年美债风险中性利率1.85%的水平显示出其对未来1年加息预期的计价明显偏低。
逼停美联储加息的关键要素是什么？
与1990s大缓和时代以来最大的不同在于，本轮逼停美联储加息的关键不在于经济本身是否陷入衰退，而是在于通胀风险是否得到确定性的缓释。总结来说，Fed Put是百慕大式而非美式期权，其行权区间是稳定的物价水平。
如果是过度加息让经济陷入衰退，那么及时反转货币紧缩政策的确可避免衰退。但如果是高通胀引发的经济衰退的话，那么宽松的货币政策只会助长高通胀，加速经济衰退。
后市海外交易的大致节奏：
①目前至7月底以交易衰退预期为主，但其中分歧仍然较大，尤其是对即期过热的经济环境与难以看到明确解决方案的各类风险（疫情、俄乌等）的博弈大概率将加剧各类资产价格波动率；
②8月开始至10月，高粘性的服务通胀将接棒高弹性的商品通胀，突破前期高基数效应带来的限制，逼停当前通胀的下行趋势，市场将开始新一轮的「通胀→紧缩」预期交易，对9月的加息预期逐步向50bps倾斜并最终确立，美债利率大概率会因调整流动性与通胀风险溢价而结束2.7-3.0%震荡并重新回归上行，绝对水平有望突破3.20%的前高；
③11月开始，市场基本可以明确经济（衰退风险是否因宽松退出与周期使然而实质化）与通胀（工资-通胀螺旋、供应链瓶颈等核心风险点是否解除，通胀风险是否能充分确定缓释）的未来路径。相对理想的情况是，通胀在衰退风险实质化前加速回落（商品通胀的牛鞭效应与Q4低环比的季节效应），市场与美联储一唱一和，Fed Put呼之欲出，经济衰退风险因货政紧缩的停滞而解除。
而更可能的剧情是，通胀难以在年内回到2%（PCE同比增速口径下），其背后的风险点亦迟迟未见让人信服的缓释，过度加息引发总需求收缩，进而通过经济衰退的方式让通胀加速回归至2%的政策目标区间。
风险提示
①俄乌战事升级，全球各类地缘政治摩擦加剧，市场再度进入避险交易模式；
②美国通胀彻底失控，美联储被迫采取更为激进的紧缩货币政策，进而带来全球宏观流动性的大幅收紧，离岸美元市场面临枯竭；
③新的变种毒株的出现或类似的疫情冲击，引发防疫政策升级，进而深化全球宏观经济的滞胀格局。
Institutions believe that the current round of interest rate hikes are not expected to peak, and now it is more of a phased relaxation of the expected transaction of freight tightening. After entering August, the Fed's tight trading may make a comeback, and there is a good chance that US bond interest rates will return to the upside, and the absolute level is expected to break through the previous high of 3.20%.
The expectation of this round of interest rate hikes has not yet peaked, and now it is more of a phased easing of the expected transaction of cargo policy tightening, which comes from the very clear signal of the near-end freight policy path and the inflation risk that is difficult to ferment in the short term.
After entering August, the Fed's tightening trade may make a comeback, especially the second strengthening of the "inflation-tightening" logic by the re-fermentation of inflation risk. Us bond interest rates are likely to end 2.7-3.0% volatility and return to the upside as a result of adjusting liquidity and inflation risk premiums, and absolute levels are expected to break through the previous high of 3.20%.
How many interest rate hikes are expected in the current market?
FFF/OIS and analysts are expected to fully price interest rate hikes for each 50bps in June and July and 25bps in November and December, with further disagreement over whether to raise 50bps at the FOMC meeting in September (50 per cent for FFF/OIS and 25 per cent for analysts). By contrast, the one-year risk-neutral interest rate of 1.85% shows that its expectations of raising interest rates over the next year are significantly undervalued.
What are the key elements that force the Fed to raise interest rates?
The biggest difference from the era of great relaxation is thatThe key to forcing the Fed to raise interest rates this time is not whether the economy itself falls into recession, but whether the risk of inflation is relieved with certainty.To sum up, Fed Put is a Bermuda option rather than an American option, and its exercise range is a stable price level.
If excessive interest rate hikes plunge the economy into recession, then a timely reversal of monetary tightening can indeed avoid a recession. But if the recession is caused by high inflation, then loose monetary policy will only fuel high inflation and accelerate the recession.
The general rhythm of overseas transactions in the future:
① is mainly expected to trade recession until the end of July, but there are still great differences, especially the high probability of the game between the immediate overheated economic environment and all kinds of risks (epidemic situation, Russia and Ukraine, etc.) that are difficult to see a clear solution will aggravate the volatility of various asset prices.
From August to October in ②, highly viscous service inflation will take over highly elastic commodity inflation, break through the restrictions brought about by the previous high base effect, and stop the current downward trend of inflation. The market will begin a new round of "inflation → tightening" expected trading, and the expectation of interest rate increase in September will gradually tilt to 50bps and finally established. Us bond interest rates are likely to end the 2.7-3.0% volatility and return to the upside due to adjusting liquidity and inflation risk premiums, and the absolute level is expected to break through the previous high of 3.20%.
Starting from ③ in November, the market can basically make clear the future path of the economy (whether recession risks are materialized due to loose withdrawal and cycles) and inflation (wage-inflation spiral, supply chain bottlenecks and other core risk points, and whether inflation risks can be fully determined to slow release). Ideally, inflation would fall faster before the recession risk becomes substantial (the bullwhip effect of commodity inflation and the seasonal effect of low Q4), the market is in tune with the Fed, Fed Put is about to emerge, and the risk of recession is lifted by the stagnation of monetary tightening.
The more likely scenario is that inflation will struggle to return to 2 per cent year-on-year growth this year, and the risk points behind it have not been convincingly released. Excessive interest rate increases trigger a contraction in aggregate demand, which in turn accelerates inflation back to the policy target range of 2 per cent through a recession.
Risk hint
The ① war between Russia and Ukraine has escalated, various geopolitical frictions around the world have intensified, and the market has once again entered the risk aversion trading mode.
② US inflation is completely out of control, the Federal Reserve is forced to tighten monetary policy more aggressively, which in turn leads to a sharp tightening of global macro liquidity, and the offshore dollar market is facing drying up.
The emergence of new variants of ③ or similar epidemic shocks lead to the upgrading of epidemic prevention policies, which in turn deepen the stagflation pattern of the global macro-economy.
