> **来源：[研报客](https://pc.yanbaoke.cn)** # 固收专题报告 # 降息周期下的高息时代 2024年以来，美联储联邦基金目标利率共下调175个基点，然而，长端利率非但没有随之下降，反而逆势上行。这一现象说明了市场的通胀预期以及美国财政可持续性的担忧。降息本应降低整体融资成本，推动经济复苏，但长端利率高企室碍货币政策的传导，加剧了企业再融资压力和经济的不确定性。同时，日本国债收益率上升的外溢效应或进一步传导至美国债市，加大美债压力。2022年前几年较低息环境下发行的大量企业债即将在今明两年到期，企业正面临再融资成本上升的风险。为降低融资成本，企业或以较短期融资替代，但对短期融资的依赖将造成资产负债期限错配，增加营运不确定性。对市场而言，短期融资的需求增加，或收紧市场流动性，加剧金融市场的波动。 # 通胀预期和财政可持续性的担忧推动长端利率上升 2024年9月，美联储启动降息周期，经历六次降息后，美联储联邦基金目标利率共下调175个基点，到 $3.50\% - 3.75\%$ 的区间。然而，长端利率并没有跟随短端利率下行。10年期美国国债收益率目前处于约 $4.25\%$ 的水平，较2024年9月时的 $3.65\%$ 上升60个基点，20年和30年期的美国国债收益率呈现更大的升幅，美国国债收益率曲线出现明显的陡峭化。 美国的关税政策和地缘政治风险下，全球供应链重塑等因素推动市场通胀预期上升，这是其中一个导致长端利率高企的因素。另一关键因素是市场对美国财政可持续性的担忧。根据美国国会预算办公室，2024年7月通过的“大而美法案”(One Big Beautiful Bill Act)将在未来十年为美国带来额外4万亿美元的财政赤字，美国财政部将无可避免的需要增加债券发行以填补缺口，预计公共持有的联邦债务水平占GDP比例将从现在约 $100\%$ 上升至 $127\%$ 。市场对美国长期财政可持续性的担忧下，对长期美国国债索求更高的期限溢价。 美国联邦基金目标利率与美国国债收益率 资料来源：Wind、工银国际 美国10年期国债与2年期国债收益率利差 资料来源：Wind、工银国际 # 日本国债收益率上升的外溢效应 近期日本国债市场的波动对美国债市的外溢效应也值得我们关注。自2022年年中以来，日本的通胀水平长期高于日本央行的 $2\%$ 的目标，央行自2024年结束负利率后已四次上调政策利率。但同时，日本经济增长低迷，使日本央行在“稳通胀”和“稳经济”之间陷入两难的政策困局。近日，日本首相高市早苗宣布解散国会，提前举行大选。在货币政策受限的背景下，高市早苗主张以更积极的财政 2026年1月28日 涂振声，CFA (852) 2683 3227 angus.to@icbcci.com 李月 (852) 2683 3708 yue.li@icbci.com 政策，包括减税和加大投资等以提振经济。目前，日本国债水平占GDP比达到 $250\%$ ，高市早苗的政策主张也将导致日本政府财政赤字恶化，未来国债供应增加，从而增加日本长端国债利率的压力。过去五年，10年期日本国债收益率从接近零的水平上升到今年以来超过 $2\%$ 的水平。一方面，国债供给增长，日本金融系统将需要更多的资金消化额外的国债供应。日本作为最大的美国国债持有人，潜在资金流向的改变对美国国债产生的外溢效应值得关注。另一方面，更高的收益率可能会吸引更多的机构配置日本国债，也将影响全球资产配置。 # 企业面临再融资成本上升风险 长端利率高企，企业将面临再融资成本上升的风险。根据彭博数据，美国非金融企业债券余额中，超过4,600亿美元将在2026年内到期，2027年进一步上升至超过6,000亿美元。这些即将到期债券中，大部份是在2022年之前数年利率较低的环境下发行的。由于现时利率水平较当年有较大抬升，这些企业的再融资成本也将明显上升。同时，美国企业对人工智能领域的大规模投资也需要债券融资，对长端利率或构成进一步压力。 要应对长端利率上升，企业或将更多依赖较短期的融资以满足资金需求。这不仅仅发生在私人企业，美国财政部也正在加大短期限债券的发行以降低融资成本和避免刺激长端利率进一步上升。2021年，美国财政部发行短期债券14,000亿美元，占比约 $74\%$ ，2025年短债发行量升至25,000亿美元，占比升至 $84\%$ 。 美国财政部发行债券量 资料来源：Wind、工银国际 美国财政部发行债券占比 资料来源：Wind、工银国际 # 对经济和市场的影响 长债利率持续高企，对宏观经济和市场带来多方面的隐忧。第一，美联储持续降息但长端利率高企的情况下，降息未能有效降低融资成本，室碍货币政策对实体经济的传导。第二，企业为降低融资成本转而以较短期融资方案替代，未能有效锁定长期资金成本，资产负债期限错配，将增加营运不确定性。第三，市场对短期融资的需求增加，增加市场流动性压力，利率波动性上升，影响金融市场稳定。第四，美元作为全球资产定价的锚，长债利率高企或将影响市场对金融资产的估值。 # 重要披露 # 工银国际的股票评级 超越基准：预期未来12个月内股票总回报（包括股息）超越相应市场基准指数 $20\%$ 以上 中性：预期未来12个月内股票总回报（包括股息）对比相应市场基准指数在-20%至20%以内 落后基准：预期未来12个月内股票总回报（包括股息）落后相应市场基准指数 $20\%$ 以上 暂无评级 ：分析师目前对于预期未来 12 个月内股票总回报 (包括股息 ) 对比相应市场基准指数的变化幅度无法给出确信的判断 工银国际是中国工商银行的全资子公司 如有需要，可向工银国际索取进一步资料。 本报告所载的意见纯粹是分析员对有关证券或发行人的个人看法；彼以往、现在或未来并无就其研究报告所提供的特别建议或所表达的意见直接或间接收取任何报酬。 # 工银国际证券有限公司 地址：香港中环花园道3号中国工商银行大厦37楼 电话：(852)26833888 传真：(852)26833900 # 一般披露 主要负责撰写本研究报告全部或部份内容的分析师在此声明：(i)本研究报告的任何观点均精准地反映了上述(每位)分析师个人对目标证券和发行人的看法；及(ii）该分析师所得报酬的任何组成部分无论是在过去、现在及将来均不会直接或间接地与研究报告所表述的具体观点相联系。 本研究报告所载资料由工银国际证券有限公司编制和发表。 此研究报告并非针对或意图被居于或位于某些司法管辖范围之任何人士或市民或实体作派发或使用，而我们在该等司法管辖范围并无相关注册或牌照，且在该等司法管辖范围内分发、发布、提供或使用将会违反当地适用的法律或条例或会导致工银国际证券有限公司、集团成员及/或其联属方（统称“工银国际”或“我们”）需在该司法管辖范围内作出注册或领照之要求。仅就本文件而言，此研究报告不应被视为是一种邀约或邀请购入或出售任何文中引述之证券。 本研究报告 (i) 供阁下作个人参考之用；(ii) 若要约发行在任何司法管辖区为违法，本研究报告不应诠释为出售证券的要约或招揽购买证券的要约；(iii)本研究报告的资料可能基于来自我们认为可靠的第三方来源但并未获工银国际独立核实。本研究报告仅提供一般参考资料，并非为提供个人投资意见，也没有考虑个别人士的具体投资目的、财务状况和特定需要。在准备本研究报告时，工银国际并无进行任何确保本研究报告中提及的证券适合任一特定投资者的步骤。阁下应自行决定涉及本研究报告提及的证券的所有交易，并因应阁下的财务情况、投资经验及投资目的，衡量每一交易是否适合阁下。 本研究报告可能含有来自第三方的资料，包括信贷评级机构的评级；除非事先获第三方的书面许可，不得以任何形式分发该第三方材料。第三方材料供应者不保证任何资料(包括评级)的准确性、完整性、时间性或是否可以使用，工银国际和第三方材料供应者无论什么原因也不会就误差或遗漏（无论是不是因为疏忽）承担责任，同时也不会就因使用该材料而产生的结果承担责任。第三方材料供应者并无作出任何明确或隐含的保证，包括但不限于某一特殊目的或用途的可销性或适用性保证。第三方材料供应者毋须就使用这些材料（包括评级）负上任何直接、间接、附带、惩戒性、补偿性、惩罚性、特殊或相应损害赔偿、讼费、开支、法律费用或损失（包括失去的收入或利润及机会成本）的法律责任。信贷评级为意见陈述，并非事实陈述，或购买、持有或销售证券的推荐意见，也并非就证券的适当性或证券投资的适当的引导，不应作为第三方材料供应者的投资意见般倚赖。 本研究报告所载数据可能描述过往表现或根据过往表现作出的模拟情况，这些过往表现或模拟情况并非未来表现的可靠指标。若数据含有未来表现的指针，该预测不可作为未来表现的可靠指标。此外，模拟情况乃基于模型及简化的假设推断，当中可能有过份简化的情况，也不反映未来的回报的分派。 本研究报告所述的事实以及当中表达的观点、估计、预测和推测以本研究报告的日期为准，可以在没有通知的情况下有所更改。工银国际并无就本研究报告所载数据发表声明或作出明确或隐含的保证，除非另外获工银国际同意外，阁下亦不应倚赖本研究报告所载数据。在没有和适用于工银国际且不时修订、更改或替代的证券及期货事务监察委员会持牌人或注册人操守准则的义务不一致的情况下，工银国际概不就因使用或倚赖本研究报告或其材料而产生或引致的直接、间接或相应损失或损害赔偿承担法律责任。本研究报告并非为提供个人专业意见（包括但不限于会计、法律或税务意见或投资的推荐意见），阁下也不应作为专业意见般倚赖；不可取代阁下的判断。除非另外获工银国际同意外，工银国际非阁下的顾问，也不就财务或其它后果承担受信责任或法律责任。投资者须考虑本研究报告的资料或观点是否适合他的特定情况，若适用，应寻求专业意见，包括税务意见、投资限制意见或任何法律或监管意见。 本报告不应被视为阐明或建议与投资决定相关的所有直接或间接风险。工银国际出版很多不同种类的研究产品，其中包括基本面分析、计量分析和短期买卖点子；一类研究产品所含的观点有别于其它种类的研究产品所含的观点，不论是因为不同时间性、方法或其它因素。 准备本研究报告的分析师的报酬由研究部门的管理层及工银国际的高级管理层全权决定。分析师的报酬并不取决于工银国际的企业融资业务的收入，但可能和工银国际企业融资业务的整体总收入联系，而当中包含企业融资、销售及交易业务。 若工银国际以外的金融机构或实体(包括但不限于任何信息提供商)发送本研究报告，则由该金融机构或实体为此发送行为承担全部责任。该发送本研究报告的金融机构的客户应联系该机构如果他们决定进行相关证券的交易。该发送本研究报告的金融机构或实体的客户应直接联系该机构或实体以要求获悉本研究报告提及的证券更详细的信息。本研究报告不构成工银国际向发送本研究报告的金融机构或实体之客户(其并非工银国际的客户)提供的投资意见，工银国际及其各高级职员、董事和员工亦不为前述金融机构或实体之客户因使用本研究报告或其载明的内容产生的直接或间接损失承担任何责任。 工银国际透过其合规政策及程序（包括但不限于利益冲突、中国墙和保密政策）以及中国墙的维护及雇员培训管理有关其研究活动及研究报告发布的冲突。 本研究报告仅发送给阁下供参考，在没有工银国际的事先书面同意的情况下，不得以任何方式翻印或分发本研究报告的任何部份给其它人士。收到本研究报告即等同阁下知悉并同意以上条款。 工银国际证券有限公司2026版权所有。保留一切权利。 # 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