花旗研究宏观智库：当前重点议题

Citi Research Macro Think Tank Citi Global Researchcitiinvestmentresearch@citi.com+44-20-7500-1400 Top of Mind US Economics: Softer Inflation, Cooling Labor MarketsUS Rates: Carry on with Carry TradesEuro Rates: EGB Supply – Catch-up Awaits in H2G10 FX: Can AUDNZD Downside Persist?Commodities: Conflict in the SoH Resumes, What Does This Mean for Oil?US Equity Strategy: Q3 Sign – Focus on Cyclical BroadeningGlobal Macro Strategy: Views and Trade Ideas – Growing pAIns US Economics ByAndrew Hollenhorst, Veronica Clark, Gisela Young •Core PCE rose 0.32% MoM in May, softer than our 0.37% expectation, though upward revisions pushed the YoY rate to 3.4%. Moreimportantly, upcoming BEA methodology changes to several PCE components could lower core PCE inflation by roughly 25bp, bringingour 3.1% Q4/Q4 tracking closer to 2.8%, well below the Fed’s 3.3% forecast and reinforcing our view that underlying inflation is softerthan currently measured. •Recent data continue to suggest that a reaccelerating labor market is not an inflation risk. While average hourly earnings edged up to3.5% YoY in June, the strength appears largely driven by compositional shifts toward higher-paid jobs. Wage growth for production andnonsupervisory workers has slowed more noticeably, pointing to a softer underlying trend. •Soft June job growth, downward revisions to prior months, and a participation-driven decline in unemployment to 4.2% strengthen ourview that labor market data is likely to remain soft in coming months. With headline inflation having peaked and core PCE set to berevised lower, the case for further rate hikes is fading. In our base case, rising unemployment leads the Fed to resume cuts in October. US Rates ByJason Williams In our view, the decline in front-end spreads in 2018through 2019 was driven by QT and not the Fed cycle We disagree with the large discount in forward swapspreads •With a Fed likely on pause through the rest of the summer, we remain heavily biased towards carry trades, including longs in thebelly of the spreads curve and receiving 10s against 5s and bonds. •We have received questions about risks to spreads from a Fed hiking cycle, however, we don’t think the Fed cycle has been a driverof spreads cheapening episodes. For example, the cheapening in 2018 to 2019 was driven by QT draining liquidity, which pushedrepo rates higher and therefore swap spreads lower. •We think today’s backdrop is not comparable to the 2022 hiking cycle. For example, the debate today is between a Fed on pause orminor ‘insurance hikes,’ while the Fed was much further behind the curve going into the 2022 cycle. As for future QT, we see little tono risk of the Fed accidently hitting scarcity in the future. Read More European RatesByJamie Searle& Team •Higher 2026 EGB funding needs relative to 2025 has yet tobe fully reflected in issuance. While annual EGB gross bond supply is around €100bn (+7%) higher than in 2025, H1 issuance wasonly c.€40bn higher above last year’s, leaving much of the incremental supply to be absorbed in H2. As a result, H2 gross issuanceis expected to reach €566bn, around 12% above H2’25, while net supply at €226bn (+5%). •Following an update to Germany’s long-term borrowing plans, we expect German gross bond supply torise from €349bn in 2026 to €375bn in 2027 (+7%) and to €459bn by 2030 (+32%). We do not expect a material shift inGermany's issuance WAM for 2027 at least, despite the higher borrowing trajectory. The borrowing news likely added to recentbear-steepening. Ahead, it likely acts as a long-term drag on valuations rather than a near-term catalyst for higher yields. G10 FX ByDaniel Tobon, Osamu Takashima, Brian Levine Positive revisions to GDP growth and supportive trendsaround net migration paint a constructive story for NZD With relative rates moving in favor of NZD, we watch forfollow-through if a break below the 100dma holds •In line with the base case of us and Citi Economics, the RBNZ hiked interest rates at its recent meeting. Given thisdecision was not fully priced, the result has been knee-jerk NZD strength and expectations that the RBNZ will continue hiking. •With peak RBA hawkishness in the rearview mirror, a notable buildup in leveraged AUD longs, andweak credit data out of China, we have turned more bearish AUD in recent weeks. •Collectively, we think AUDNZD could be in a peaking process. The latest RBNZ meeting, coupledwith positive trends around net migration, leaves scope for downside. We watch for follow-through if a break below the 100dmaholds. Read More Commodities ByMax Layton and team Oil product prices are off the highs, but spikedrecently on the rise in SoH tensions Our base case remains, with a deal ultimatelymaterializing and the Strait of Hormuz remaining open. We continue to forecast Brent averaging. Product premiums/cracks remain elevated as refinery capacity is being affected in the Middle East and Russia.Details of the main drivers of our b