本报告讨论美国通胀挂钩债券（TIPS）及通胀市场策略。近两周盈亏平衡通胀率维持区间波动，风险偏好下降与汽油价格回落抵消了通胀数据走强的影响；CPI相对互换市场定价的超出幅度为2024年3月以来最大，供应链扰动以及住房和电话服务价格表明核心商品与服务通胀仍有持续性。摩根大通将9月核心PCE环比预测上调至0.30%，并认为美联储10月可能按兵不动，这或成为通胀市场走阔的催化剂。TIPS相对流动性降至年内最低，但报告认为风险厌恶定价过度，随着财报季推进将逐步消退。建议建立1年期对1年期零息通胀互换走阔头寸，目标位2.6%，止损2.45%。
Breakevens have stayed rangebound over the past two weeks, as rising risk aversion and declining gasoline prices offset firmer incoming inflation data. CPI delivered the largest positive surprise relative to swap market pricing since March 2024, and we see persistence in the firming signal in core goods amid supply-chain disruptions and in services across shelter and telephone plans. Firmer economic data have pushed our September core PCE forecast to 0.30% m/m; despite that, Chair Warsh's comments reinforce our view for patience in October, a potential widening catalyst for inflation markets. TIPS liquidity relative to nominal Treasury coupon liquidity has fallen to its lowest level year-to-date, but we believe the pricing of risk aversion is outsized and should fade as earnings season reassures risk takers. We initiate 1Yx1Y zero-coupon inflation swap wideners, with a 2.45% stop-loss and an exit above 2.6%, preferring swaps over breakevens given relative liquidity and IOTAs.