美债策略周报-20250930

Group 1 - The core view of the report indicates that the U.S. Treasury bond market is experiencing upward pressure on yields due to economic resilience, with the 10-year Treasury yield rising by 8 basis points during the week [2][3] - The report highlights that the U.S. economy shows strong resilience, with the second-quarter GDP growth rate revised up to 3.8%, despite a decline in the September PMI [3][9] - The Federal Reserve's monetary policy outlook suggests potential rate cuts in the future, with the possibility of the 10-year and 2-year Treasury yields reaching 3.6% and 3.25% respectively [3][53] Group 2 - The supply side of the Treasury market indicates a significant increase in T-Bill issuance, with the Treasury Department's Q3 refinancing statement remaining dovish and not increasing long-term debt issuance [19][20] - The demand side shows that short positions in U.S. Treasuries remain at historically high levels, reflecting ongoing basis trading and swap trading activities [24][28] - The report notes that after currency hedging, the relative yield of the 10-year Treasury remains low, indicating reduced allocation by overseas institutions [29][33] Group 3 - The liquidity tracking of the Treasury market shows that the average daily trading volume of SOFR has risen to approximately $2.3 trillion, indicating a stable liquidity environment [38][44] - The report mentions that the liquidity pressure index for the Treasury market remains at a comfortable level, suggesting no imminent liquidity risks [47] - The implied volatility index for the Treasury market has decreased, reflecting a more stable market environment [47]