美国利率2026年展望：倾向看空

Rates US Rates Strategy Update US Rates 2026 Outlook: Leaning Bearish Matthew RaskinStrategist ▪We expect US rates to increasemodestlyin 2026 with 10y UST movingup to 4.45% by mid-year. This mildly bearish view is predicated onexpectations of a more hawkish Fed rate path than market pricing–withnominal neutral around 3.5% and the outlook not calling for material Steven Zeng, CFAStrategist Andrew FuStrategist Key risks to the forecastrelate to fiscal policy, oil prices, and AI, as wellaseconomicpolicies that impact the net public-sector supply of duration Markus HeiderMacro Strategist+44-20-754-52167 ▪We expect the FOMC to beginreserve-management purchases in bills inQ1, as it aims for a steady-state UST portfolio that matches the universeoutstanding.WithMBS reinvestments, bill purchaseswilltotal~ $400bn.We expect a 5bp reduction in IORB vs. the target range, also in Q1. Gabriele CozziStrategist Treasury is poised to lean more heavily on T-bills with greater structuralfront-end demand from the Fed and potential stablecoin growth. We see ▪Thetariff outlook will remain a key driver of front-end inflationcompensation. A positive fiscal and monetary impulse and resilientgrowth could mean sticky inflation even asfirst-roundtariff effects fade In swap spreads, we are mildly bullish, expecting 5-10bps of wideningwiththe long-end outperforming.We see support from ongoingderegulation, debt management policy, and calmer funding markets. ▪We see repo shifting to a more stable environmentnext yearas the Fedfocuses on maintaining ample reserves. We expect the fed funds andtriparty repo rates to trade at or slightly above IORB and SOFRto print Table of Contents UST and SOFR Forecast................................................................................................................................................................2Fed Balance Sheet & Policy Implementation..............................................................................................................................6Treasury Debt Management..........................................................................................................................................................9Bank Regulations...........................................................................................................................................................................12 UST and SOFRForecast We start with our forecast forTreasuryand SOFR rates through the end of 2026. We are mildly bearish on duration, with a forecast of the 10y UST peaking at4.45% and yields across the UST and SOFR curves projected to realizemodestlyabove current forward pricing. The view is driven by our expectation that:(1) theequilibrium short-term real interest rate–i.e., r-star–has risen materially from its ▪Nominal neutral:We put nominal neutral at 3.5%, broadly in-line with theaverage of therange of r-star measureswe track, and materially aboveitspost-GFC lows. Post-GFC, the decline in r-star was likely exacerbatedby the three main contributors to the balance of supply and demand forsavings: the private sector significantly reduced leverage; fiscal policy ▪Fed policy cycle: In-line with ourUS Economics team, we expecttheFOMC to reduce the fed funds rate at its upcoming (December) meetingand then remain on hold until H2 2026, when a more dovish leaningCommittee undertakes additional modest easing. In ourratesforecastthis takes the form of a 25bp cut below neutral in Q3, with the policy rateheld at this level before returning to neutral in late 2027. A single 25bpcutis relatively unlikely as a modal outcome–if the Committee ▪Term premia: We expect term premia (TP) to increase modestly nextyear. TP remain low relative to fundamentals, most notably the netpublic-sector supply of duration, which we measure via G4 free float (theshare of government bonds held by private price-sensitive investors).Key to our view is that the US budget deficit is likely to come in at 6.5-7% Swap spreads: Connecting our 10y SOFRand10y UST forecasts, weexpect modest widening inswap spreads,discussed in detail below. Source:Haver Analytics, Deutsche Bank Research Source:Haver Analytics, Deutsche Bank Research Source:FRBNY, Haver Analytics,Bloomberg Finance LP, Deutsche Bank Research Source:Bloomberg Finance LP, Federal Reserve, Deutsche Bank Research Source:Bloomberg Finance LP, Deutsche Bank Research Source:Bloomberg Finance LP, Deutsche Bank Research Combining these elements, our outlook for duration next year is mildly bearish,with yields across the SOFR and UST curves projected to realize above forwards,and 10y SOFR and UST peaking at 4.10% and 4.45%, respectively.(Note:rateshaverisen towardsour forecast sinceit wasfirst published in ourGlobal Rates There are three mainfundamentalrisks to the baseline forecast: (i) global fiscal First, the immediate risks around fiscal policy in the US are skewed towards largerdeficits.Revenues from tariffshave