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SOFR-IORB利差（bp）

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所属报告：

海外市场专题：美联储货币政策体系研究及市场流动性追踪-250729（23页）.pdf

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价差类指标可发挥市场流动性状况“压力显示仪”的作用。金融市场流动性核心反映的是资金获取成本与资产变现效率的相对关系，而价差类指标由交易直接生成，本质为市场给予的流动性风险溢价。相较于总量类指标（如准备金规模），价差变化能更早揭示结构性矛盾，通过捕捉不同资产、市场及货币间的相对定价偏差，可以更快的识别出市场流动性压力变动，起到预判系统性风险、识别非银机构与银行间流动性分层等作用。比较常见的几类价差类指标主要为：1）SOFR-IORB 利差。由于 SOFR（担保隔夜融资利率）以国债抵押回购交易为基础且主要反映各类金融机构短期融资需求，因此其变动时常领先于联邦基金利率（EFFR）（如：2019 年“钱荒”时期），而 IORB（准备金利率）是美联储向银行支付的无风险收益，因此两者利差可用于反映银行体系外的融资压力。当 SOFR-IORB 利差为正且走阔时，表示此时回购市场流动性边际趋紧，因此交易商质押融资成本上升；而当这一利差转负时，表明当下流动性相对过剩。自 2024 年三季度以来，SOFR-IORB 利差多次转正且波动率明显提升，或与市场流动性逐步收紧有关。截至 2025年7月1日，这一利差录得4bp，近期的走高或主要受到季末结算引发的融资链紧张影响，当前回购市场流动性压力相对可控。2）SOFR-OIS 利差。SOFR-OIS 利差（担保隔夜融资利率与隔夜指数互换利率之差）是衡量美元银行体系短期流动性压力的精准指标，其有效性源于三重机制：SOFR 以美国国债为抵押品，剥离了交易对手信用风险，纯粹反映资金供求；OIS 则锚定美联储政策利率预期，表征无风险远期利率。二者差值直接捕获银行间市场获取即时美元的流动性溢价——当利差扩大时，通常表明银行间的信用风险增加和流动性收紧，市场对未来流动性的担忧增强；反之，其收窄则显示流动性趋于充裕。截至 2025 年 7 月 3 日，这一利差录得 1bp，同时整体来看，年初至今 SOFR-OIS 利差相对稳定在正常区间，表示美元流动性仍处于相对宽裕状态中。

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