二季度低迷之后，“最火美债交易”回来了

Core Viewpoint - A surprisingly weak employment report has reversed the pessimistic sentiment in the U.S. Treasury market, reviving the "steepening yield curve" strategy that had previously been under pressure [1]. Group 1: Employment Report Impact - The July non-farm payroll report showed a slowdown in job growth and a significant downward revision of 258,000 jobs for May and June, altering the market narrative [1]. - Following the report, all U.S. Treasury yields fell, with the two-year Treasury leading the decline, dropping over 25 basis points in a single day, marking the largest daily drop since December 2023 [1]. Group 2: Market Reactions - Traders are betting on an earlier interest rate cut by the Federal Reserve, with futures market pricing indicating an 84% chance of a rate cut next month and at least two cuts expected by the end of the year [4]. - The steepening yield curve strategy, which had been unprofitable since April, saw a resurgence as short-term yields plummeted, leading to the largest single-day increase in the yield difference between two-year and thirty-year Treasuries since April 10 [5]. Group 3: Future Expectations - The weak employment data provides strong evidence for those advocating for early rate cuts, including dissenting Federal Reserve officials and President Trump [7]. - Analysts suggest that the upcoming $125 billion Treasury issuance could support the steepening trend, with the government set to issue securities including $10 billion and $30 billion in 10-year and 30-year bonds [7].