长端压力主要来自实际利率，属于折现率冲击

{
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     "2027": 4.3,
     "2028": 4.2,
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   "published_at": "2026-06-18T02:00:00+08:00",
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  "srf_rate": 3.75,
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    "The Federal Open Market Committee approved the following statement for release by a 9 – 3 vote: The Committee decided to maintain the target range for the federal funds rate at 3-1/2 to 3-3/4 percent, in support of the Federal Reserve's dual mandate.",
    "The Committee is continuing its policy of maintaining ample reserves in the banking system.",
    "Voting against the monetary policy action were Beth M. Hammack, Neel Kashkari, and Lorie K. Logan, who preferred to raise the target range for the federal funds rate by 1/4 percentage point at this meeting."
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  "delta_breakeven10_bp": 1.0,
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   "yoy_pct": 2.76
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   "ann_6m_pct": 4.12,
   "basis": "index_ratio_annualisation_not_summed_rounded_monthly_rates",
   "index_level": 334.131,
   "latest_period": "2026-08-01",
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   "yoy_pct": 3.71
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   "ann_6m_pct": 3.46,
   "basis": "index_ratio_annualisation_not_summed_rounded_monthly_rates",
   "index_level": 130.658,
   "latest_period": "2026-07-01",
   "mom_pct": 0.25,
   "yoy_pct": 3.34
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  "pce_headline": {
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   "ann_6m_pct": 4.13,
   "basis": "index_ratio_annualisation_not_summed_rounded_monthly_rates",
   "index_level": 131.659,
   "latest_period": "2026-07-01",
   "mom_pct": 0.16,
   "yoy_pct": 3.7
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  "cpi_headline": "mixed",
  "pce_core": "mixed",
  "pce_headline": "mixed"
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 "policy_constraint": "constraint_stable",
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 "credit_cross_check": {
  "bank_credit": {
   "sloos": null,
   "state": "unavailable"
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  "contradicting_evidence": [],
  "credit_state": "tail_credit_widening",
  "evidence_boundaries": [
   {
    "impact": "Long-cycle calibration is out of scope; percentiles use the available window only.",
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    "status": "roughly three-year FRED public window"
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   {
    "impact": "Bank lending standards are reported as a gap, not guessed.",
    "object": "SLOOS",
    "status": "declared, no automated connector"
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  ],
  "financial_conditions": {
   "anfci_change_4w": -0.001,
   "anfci_level": -0.588,
   "nfci_change_4w": -0.018,
   "nfci_level": -0.564,
   "note": "Summary layer, not a causal layer; the underlying evidence must explain where.",
   "state": "stable"
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  "information_cutoff_at": "2026-09-13T03:15:03.152182+00:00",
  "invalidation_conditions": [
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  "market_credit": {
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    "change_20d_bp": 0.0,
    "change_5d_bp": -2.0,
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    "label": "BBB OAS",
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    "level_pct": 0.98,
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    "label": "CCC OAS",
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    "percentile_of_latest_change_20d": 80.7,
    "percentile_of_latest_level": 99.2
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   "hy": {
    "change_1d_bp": -1.0,
    "change_20d_bp": -1.0,
    "change_5d_bp": 5.0,
    "direction_20d": "narrowing",
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    "percentile_of_latest_change_20d": 59.8,
    "percentile_of_latest_level": 10.9
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  "module": "M4",
  "risk_tier_divergence": {
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   "hy_change_20d_bp": -1.0,
   "hy_minus_bbb_bp": 172.0,
   "state": "in_line"
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   "vix_over_vix3m": 0.904
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   "impact": "This is not the DOL per-release actual with its own publication timestamp.",
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   "status": "FRED weekly convenience series"
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  {
   "impact": "Descriptive states are used instead of an uncalibrated probability.",
   "object": "recession probability",
   "status": "not produced"
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  {
   "impact": "Missing: real PCE",
   "object": "growth evidence",
   "status": "incomplete"
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   "mom_pct": 0.37,
   "yoy_pct": 0.45
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  "real_pce": null,
  "retail_sales_nominal": {
   "mom_pct": -0.58,
   "note": "Nominal series; not real consumption growth.",
   "yoy_pct": 5.01
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  "saving_rate": {
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   "level_pct": 3.0
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 "invalidation_conditions": [
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  "Real PCE momentum and industrial production move in the same direction for two releases."
 ],
 "labour": {
  "chain": "labour_demand",
  "claims_continuing": {
   "change_4w_vs_13w": -13231,
   "four_week_average": 1779000,
   "latest": 1774000,
   "latest_period": "2026-08-29",
   "percentile_of_latest_change_4w": 54.7,
   "thirteen_week_average": 1792231
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  "claims_initial": {
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   "latest_period": "2026-09-05",
   "percentile_of_latest_change_4w": 40.9,
   "thirteen_week_average": 208385
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   "layoffs_thousands": 0.0,
   "openings_change_3m": -0.3,
   "openings_thousands": 7.3,
   "quits_thousands": 0.0
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   "avg_6m_thousands": 0.1,
   "latest_change_thousands": 0.2,
   "latest_period": "2026-08-01",
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   "change_6m_pp": -0.3,
   "level_pct": 4.1
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 "module": "M3",
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   "level_pct": 75.96
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  "chain": "real_output",
  "gdp_background": {
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   "latest_period": "2026-04-01",
   "note": "Quarterly anchor only; it does not override more recent monthly evidence.",
   "yoy_pct": 2.1
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  "Credit spreads are stable, so weakness has not become a financing problem."
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 ]
}

{
 "bank_credit": {
  "sloos": null,
  "state": "unavailable"
 },
 "contradicting_evidence": [],
 "credit_state": "tail_credit_widening",
 "evidence_boundaries": [
  {
   "impact": "Long-cycle calibration is out of scope; percentiles use the available window only.",
   "object": "ICE BofA spread history",
   "status": "roughly three-year FRED public window"
  },
  {
   "impact": "Bank lending standards are reported as a gap, not guessed.",
   "object": "SLOOS",
   "status": "declared, no automated connector"
  }
 ],
 "financial_conditions": {
  "anfci_change_4w": -0.001,
  "anfci_level": -0.588,
  "nfci_change_4w": -0.018,
  "nfci_level": -0.564,
  "note": "Summary layer, not a causal layer; the underlying evidence must explain where.",
  "state": "stable"
 },
 "information_cutoff_at": "2026-09-13T03:15:03.152182+00:00",
 "invalidation_conditions": [
  "HY and BBB spreads narrow back inside their 20-session range and the NFCI eases."
 ],
 "market_credit": {
  "bbb": {
   "change_1d_bp": -1.0,
   "change_20d_bp": 0.0,
   "change_5d_bp": -2.0,
   "direction_20d": "flat",
   "label": "BBB OAS",
   "latest_period": "2026-09-10",
   "level_pct": 0.98,
   "percentile_of_latest_change_20d": 62.8,
   "percentile_of_latest_level": 17.4
  },
  "ccc": {
   "change_1d_bp": 6.0,
   "change_20d_bp": 46.0,
   "change_5d_bp": 19.0,
   "direction_20d": "widening",
   "label": "CCC OAS",
   "latest_period": "2026-09-10",
   "level_pct": 10.7,
   "percentile_of_latest_change_20d": 80.7,
   "percentile_of_latest_level": 99.2
  },
  "hy": {
   "change_1d_bp": -1.0,
   "change_20d_bp": -1.0,
   "change_5d_bp": 5.0,
   "direction_20d": "narrowing",
   "label": "HY OAS",
   "latest_period": "2026-09-10",
   "level_pct": 2.7,
   "percentile_of_latest_change_20d": 59.8,
   "percentile_of_latest_level": 10.9
  }
 },
 "missing_evidence": [],
 "module": "M4",
 "risk_tier_divergence": {
  "bbb_change_20d_bp": 0.0,
  "hy_change_20d_bp": -1.0,
  "hy_minus_bbb_bp": 172.0,
  "state": "in_line"
 },
 "source_status": {
  "acm.term_premium": "success",
  "event.calendar": "success",
  "fed.materials": "success",
  "fed.sloos": "unavailable",
  "fmp.history": "success",
  "fred": "partial",
  "membership": "success",
  "membership_history": "success",
  "nyfed.rates": "success",
  "nyfed.repo": "success",
  "spdji.index_rebalance": "unavailable",
  "treasury.auctions": "success",
  "treasury.refunding": "unavailable",
  "ust.curves": "success",
  "ust.real": "success"
 },
 "supporting_evidence": [],
 "systemic_stress_confirmation": false,
 "target_market_date": "2026-09-11",
 "volatility_confirmation": {
  "note": "Volatility corroborates; it never sets direction on its own.",
  "vix_change_20d": 3.21,
  "vix_change_5d": 3.52,
  "vix_level": 17.84,
  "vix_over_vix3m": 0.904
 }
}

{
 "calendar_context": {
  "in_calendar_window": true,
  "month_end_dates": [
   "2026-08-31"
  ],
  "quarter_end_dates": [],
  "quarter_end_window": false
 },
 "contradicting_evidence": [],
 "evidence_boundaries": [
  {
   "impact": "SOFR is not treated as a same-day funding fact for the target market date.",
   "object": "SOFR publication",
   "status": "value date is one business day behind the publication date"
  },
  {
   "impact": "Descriptive distributions are reported; no permanent hard threshold is asserted.",
   "object": "funding materiality thresholds",
   "status": "not calibrated"
  }
 ],
 "facility_usage": {
  "srf_accepted_usd_bn": 0.0,
  "srf_operations_observed": 30,
  "srf_percentile_of_history": 73.3,
  "state": "not_material"
 },
 "funding_prices": {
  "effr_minus_iorb_bp": -2.0,
  "effr_pct": 3.63,
  "effr_value_date": "2026-09-10",
  "sofr_change_5d_bp": -3.0,
  "sofr_minus_effr_bp": -1.0,
  "sofr_minus_iorb_bp": -3.0,
  "sofr_pct": 3.62,
  "sofr_value_date": "2026-09-10"
 },
 "funding_state": "funding_stable",
 "information_cutoff_at": "2026-09-13T03:15:03.152182+00:00",
 "invalidation_conditions": [
  "SOFR upper percentiles, SOFR minus IORB and facility usage all displace together for a week."
 ],
 "iorb_reference": 3.65,
 "iorb_source": {
  "action_id": "v1-policy-action:d8d753e4c119cc2f3528c0fb4547bc5dcbf489bd14e6fb6c597d5505c48df4d7",
  "kind": "implementation_note",
  "reference_period": "2026-07-29",
  "source_url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260729a1.htm"
 },
 "liquidity_backdrop": {
  "fed_total_assets_usd_bn": 6740.6,
  "on_rrp_change_5d_usd_bn": 4.6,
  "on_rrp_usd_bn": 5.3,
  "prohibited": "A simple Fed balance sheet minus TGA minus RRP expression is not a net-liquidity measure.",
  "reserve_balances_usd_bn": 2991.3,
  "reserve_change_4w_usd_bn": 47.3,
  "reserve_latest_period": "2026-09-09",
  "state": "reserves_stable",
  "tga_change_4w_usd_bn": -80.6,
  "tga_usd_bn": 883.3
 },
 "missing_evidence": [],
 "module": "M5",
 "repo_tail_pressure": {
  "note": "Upper-tail pricing can tighten before the median does.",
  "p75_minus_median_bp": 5.0,
  "p99_change_5d_bp": -3.0,
  "p99_minus_median_bp": 8.0,
  "p99_percentile_of_latest_level": 37.8
 },
 "source_status": {
  "acm.term_premium": "success",
  "event.calendar": "success",
  "fed.materials": "success",
  "fed.sloos": "unavailable",
  "fmp.history": "success",
  "fred": "partial",
  "membership": "success",
  "membership_history": "success",
  "nyfed.rates": "success",
  "nyfed.repo": "success",
  "spdji.index_rebalance": "unavailable",
  "treasury.auctions": "success",
  "treasury.refunding": "unavailable",
  "ust.curves": "success",
  "ust.real": "success"
 },
 "supporting_evidence": [
  "SOFR and EFFR remain close to the administered rate and the upper tail is not displaced."
 ],
 "target_market_date": "2026-09-11"
}

{
 "auction_cohorts": {
  "10y:reopening": {
   "bid_to_cover_percentile_in_cohort": 100.0,
   "cohort_size_sufficient": false,
   "demand_state": "unknown",
   "latest_auction_date": "2026-08-12T00:00:00",
   "latest_bid_to_cover": 2.53,
   "latest_offering_amount": "42000000000",
   "observations": 2,
   "tail": null,
   "tail_note": "Tail/stop-through requires a pre-auction when-issued source and is not computed."
  },
  "20y:reopening": {
   "bid_to_cover_percentile_in_cohort": 100.0,
   "cohort_size_sufficient": false,
   "demand_state": "unknown",
   "latest_auction_date": "2026-08-19T00:00:00",
   "latest_bid_to_cover": 2.53,
   "latest_offering_amount": "16000000000",
   "observations": 1,
   "tail": null,
   "tail_note": "Tail/stop-through requires a pre-auction when-issued source and is not computed."
  },
  "2y:reopening": {
   "bid_to_cover_percentile_in_cohort": 33.3,
   "cohort_size_sufficient": false,
   "demand_state": "unknown",
   "latest_auction_date": "2026-08-25T00:00:00",
   "latest_bid_to_cover": 2.6,
   "latest_offering_amount": "69000000000",
   "observations": 3,
   "tail": null,
   "tail_note": "Tail/stop-through requires a pre-auction when-issued source and is not computed."
  },
  "30y:reopening": {
   "bid_to_cover_percentile_in_cohort": 100.0,
   "cohort_size_sufficient": false,
   "demand_state": "unknown",
   "latest_auction_date": "2026-08-13T00:00:00",
   "latest_bid_to_cover": 2.39,
   "latest_offering_amount": "25000000000",
   "observations": 1,
   "tail": null,
   "tail_note": "Tail/stop-through requires a pre-auction when-issued source and is not computed."
  },
  "3y:reopening": {
   "bid_to_cover_percentile_in_cohort": 100.0,
   "cohort_size_sufficient": false,
   "demand_state": "unknown",
   "latest_auction_date": "2026-09-08T00:00:00",
   "latest_bid_to_cover": 2.72,
   "latest_offering_amount": "58000000000",
   "observations": 2,
   "tail": null,
   "tail_note": "Tail/stop-through requires a pre-auction when-issued source and is not computed."
  },
  "5y:reopening": {
   "bid_to_cover_percentile_in_cohort": 100.0,
   "cohort_size_sufficient": false,
   "demand_state": "unknown",
   "latest_auction_date": "2026-08-26T00:00:00",
   "latest_bid_to_cover": 2.37,
   "latest_offering_amount": "70000000000",
   "observations": 2,
   "tail": null,
   "tail_note": "Tail/stop-through requires a pre-auction when-issued source and is not computed."
  },
  "7y:reopening": {
   "bid_to_cover_percentile_in_cohort": 100.0,
   "cohort_size_sufficient": false,
   "demand_state": "unknown",
   "latest_auction_date": "2026-08-27T00:00:00",
   "latest_bid_to_cover": 2.5,
   "latest_offering_amount": "44000000000",
   "observations": 2,
   "tail": null,
   "tail_note": "Tail/stop-through requires a pre-auction when-issued source and is not computed."
  }
 },
 "auction_observations": 18,
 "bill_financing_direction": "unknown",
 "borrowing_estimate": null,
 "borrowing_revision": null,
 "cash_balance_assumption": null,
 "cash_management": {
  "owner_note": "M6 explains why TGA moves; M5 decides whether it caused funding pressure.",
  "state": "releasing_reserves",
  "tga_change_4w_usd_bn": -80.6,
  "tga_usd_bn": 883.3
 },
 "contradicting_evidence": [],
 "coupon_supply_direction": "unknown",
 "evidence_boundaries": [
  {
   "impact": "Tail and stop-through are not computed; only same-cohort bid-to-cover is used.",
   "object": "auction tail",
   "status": "no when-issued source"
  },
  {
   "impact": "Coupon-size and bill-guidance changes are reported as unknown, not assumed stable.",
   "object": "Quarterly Refunding",
   "status": "declared official source, connector pending"
  },
  {
   "impact": "The report does not present gross auction size as new private-sector supply.",
   "object": "gross issuance",
   "status": "not net supply"
  },
  {
   "impact": "Missing: Quarterly Refunding statement / borrowing estimate",
   "object": "fiscal evidence",
   "status": "incomplete"
  }
 ],
 "fiscal_state": "supply_stable",
 "information_cutoff_at": "2026-09-13T03:15:03.152182+00:00",
 "invalidation_conditions": [
  "10Y/20Y/30Y auction sizes are raised and term premium plus long-end yields rise together."
 ],
 "missing_evidence": [
  "Quarterly Refunding statement / borrowing estimate"
 ],
 "module": "M6",
 "source_status": {
  "acm.term_premium": "success",
  "event.calendar": "success",
  "fed.materials": "success",
  "fed.sloos": "unavailable",
  "fmp.history": "success",
  "fred": "partial",
  "membership": "success",
  "membership_history": "success",
  "nyfed.rates": "success",
  "nyfed.repo": "success",
  "spdji.index_rebalance": "unavailable",
  "treasury.auctions": "success",
  "treasury.refunding": "unavailable",
  "ust.curves": "success",
  "ust.real": "success"
 },
 "supporting_evidence": [
  "Coupon auction sizes are not rising into the long end and term premium is not confirming."
 ],
 "target_market_date": "2026-09-11",
 "term_premium_link": {
  "delta_10y_5d_bp": 19.0,
  "delta_30y_5d_bp": 10.0,
  "delta_acm_term_premium_5d_bp": 3.7,
  "resonance": false
 }
}

方法版本 v1-research-method-1｜ Source Registry v1-source-registry-1｜ 信息截止 2026-09-13T03:15:03.152182+00:00｜ 研究哈希 30debc85d676dd825c25fe6715ba74d944aa846d0f500e5097fbc5063c267d66