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图22SOFR的变化领先EFFR,且波动幅度更大(%)
图22SOFR的变化领先EFFR,且波动幅度更大(%)
行业数据
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图片属性
图片格式:PNG
图片大小:105KB
图片尺寸:1701*830
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所属报告:
宏观专题美联储货币政策系列:联储缩表从哪里来到哪里去?-241101(18页).pdf
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2025下半年以来美国有效联邦基金利率(EFFR)(%)
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行业数据
2026-07-03
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图19、EFFR自2001年初下调至1.0%左右
fCDml7bpl7QgICB8IEVGRlLvvIgl77yJIHwKfC0tLS0tLS0tfC0tLS0tLS0tLS0tfAp8IDIwMDEtMDEgfCA2LjUzICAgICAgfAp8IDIwMDItMDEgfCAxLjcyICAgICAgfAp8IDIwMDMtMDEgfCAxLjI2ICAgICAgfAoK6LWE5paZ5p2l5rqQ77yad2luZO+8jOWFtOS4muivgeWIuOe7j+a1juS4jumHkeiejeeglOeptumZouaVtOeQhg==
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行业数据
2026-06-25
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图表4.5 香港银行间拆息(HIBOR)与美元担保隔夜融资利率(SOFR)
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行业数据
2026-04-01
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私募信贷利率定价基准的2023年以来SOFR利率维持高位
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行业数据
2026-03-16
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SOFR-IORB(%)
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行业数据
2025-12-23
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SOFR-EFFR(%)
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行业数据
2025-12-23
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美国SOFR与o/nRRP利差
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行业数据
2025-12-15
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美国SOFR-IORB(%)
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行业数据
2025-12-12
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美国SOFR与o/nRRP利差
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行业数据
2025-12-01
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美国SOFR-IORB(%)
PHxiZWdpbl9vZl9ib3h8PuaVsOaNruihqOagvO+8mu+8iOWboOWbvuihqOacquaPkOS+m+WFt+S9k+aVsOaNrueCue+8jOaXoOazleeUn+aIkOeyvuehruihqOagvO+8iQoK6LWE5paZ5p2l5rqQ77yaRlJFRO+8jOi0oumAmuivgeWIuOeglOeptuaJgDx8ZW5kX29mX2JveHw+
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行业数据
2025-11-25
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美国SOFR-IORB(%)
PHxiZWdpbl9vZl9ib3h8Pnwg5oyH5qCHICAgICAgICAgfCDml7bpl7TojIPlm7QgICB8IOaVsOaNruadpea6kCAgICAgICB8CnwtLS0tLS0tLS0tLS0tLXwtLS0tLS0tLS0tLS18LS0tLS0tLS0tLS0tLS0tLXwKfCBTT0ZSLUlPUkIoJSkgfCAyMDIxLzExIC0gMjAyNS8xMSB8IEZSRUTvvIzotKLpgJror4HliLjnoJTnqbbmiYAgfAoK5pWw5o2u5p2l5rqQ77yaRlJFRO+8jOi0oumAmuivgeWIuOeglOeptuaJgDx8ZW5kX29mX2JveHw+
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行业数据
2025-11-18
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交易所交易基金持有的美国国债金额、EFFR和仓位(万亿美元,%)
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行业数据
2025-11-14
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商业银行的存款准备金和SOFR-IORB(万亿美元,%)
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行业数据
2025-11-14
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个人投资者国债投资额变动和EFFR(万亿美元,%)
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行业数据
2025-11-14
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图2、9月以来SOFR-OIS利差走阔,但幅度低于2019年和2023年
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2025-11-13
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(3)EFFR-IORB 利差波动性。地板利率体系下,EFFR 低于上限 IORB,并保持稳定距离代表流动性健康。EFFR-IORB 利差波动越小,流动性越强。反之,随着流动性收紧,EFFR 有向上突破 IORB 的风险,可以观察到 EFFR 与 IORB 利差波动加深。2023年 7 月以来,EFFR-IORB 基本维持在-7bp,尚未观察到流动性承压。但是,由于充足准备金框架下 FFR 市场交易不频繁,而回购市场规模日渐增加,为了更好地观察回购市场稳定性,美联储在 2018 年推出的隔夜抵押融资利率(SOFR;以国债或 MBS 为担保的回购市场利率)。一般来说,SOFR 能综合地反映市场各类金融机构的短期融资需求,因此波动性更大,对流动性紧张更为敏感。
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宏观专题美联储货币政策系列:联储缩表从哪里来到哪里去?-241101(18页).pdf
表1.9万亿美元,其中2022-06至2024-05共缩减1.6
图9充足准备金下的利率地板体系
图8有限准备金下的传统利率走廊
图7有限准备金与充足准备金框架对比
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