浙商国际：美债策略周报-20240813

Investment Rating - The report suggests a strategic bullish outlook on 2-year and shorter U.S. Treasury bonds, while recommending a steepening strategy on the long end of the yield curve [1][38]. Core Insights - The U.S. Treasury market showed resilience with a rebound in the non-manufacturing PMI and a decline in initial jobless claims, alleviating recession concerns. The yield curve flattened, with the 10Y-2Y spread increasing by 2.4 basis points to 11.3 bps [1][3]. - The report indicates that the recent economic indicators suggest that the U.S. economy remains robust, with private sector consumption showing resilience during the travel season. The Fed may consider a preventive rate cut in September if employment data continues to show weakness [1][36][38]. - The report highlights that the supply of long-term bonds is decreasing due to high interest rates, with the Treasury issuing $504 billion in bonds this week, and a projected net issuance of $740 billion in the third quarter [1][8][10]. Summary by Sections U.S. Treasury Market Performance Review - The non-manufacturing PMI rose by 2.6 percentage points to 51.4%, indicating strong private sector consumption. Initial jobless claims fell significantly, suggesting that the weak non-farm payroll data in July was primarily due to seasonal factors [1][29][32]. U.S. Treasury Supply and Demand Tracking - The Treasury's issuance of T-Bills has increased significantly, accounting for over 25% of the total outstanding U.S. debt. This week, the Treasury issued $504 billion in short-term and long-term bonds [1][8][10]. - Demand for long-duration Treasuries has weakened due to rapidly declining yields, with the 10Y yield dropping over 53 basis points from its July peak [1][10][15]. U.S. Treasury Market Liquidity Tracking - The liquidity pressure index for the U.S. Treasury market rose to 5, indicating increased liquidity pressure due to higher net issuance in the third quarter. The average daily trading volume in the repo market has increased, reflecting stable repo rates [1][22][26]. U.S. Treasury Market Macro Environment Tracking - The report notes that the Fed may consider a preventive rate cut in September if economic data continues to show signs of weakness. The recent comments from FOMC members indicate a cautious approach towards future monetary policy [1][36][38].