美债策略周报 2025.9.22-2025.9.28 分析师： 曹潮 中央编号： BVH841 联系电话： 852-96581360 邮箱： caochao@cnzsqh.hk 1 美债市场策略周报 - 投资要点 美债市场表现回顾： 9月PMI有所回落、但仍高于荣枯线，二季度GDP增速进一步上修显示经济仍有一定韧性，带动不同期限 美债利率上行，其中10Y美债周内累计上行8个bps。 美债市场基本面、货币政策和资金面： 2 基本面与货币政策：9月美国Markit 制造业PMI初值降至52，低于预期52.2；服务业PMI为53.9，同 样低于预期；二季度GDP年化环比被进一步上修至3.8%，显示上半年美国经济韧性强于此前预期。货币 政策方面，本周FOMC票委表态分化；由特朗普任命的新任理事米兰呼吁年内应再降息125个基点，鲍曼 认为就业市场的脆弱证明有必要进一步降息，圣路易斯、克利夫兰联储行长均表示不支持进一步下调利率。 流动性和供需：准备金回落接近200亿美元至3万亿，ON RRP用量持续回落，SOFR利率在降息后中枢 回落25个bps；30年期和10年期Swap spread低位震荡，一级交易商美债净敞口仍高 ...

Group 1 - The core viewpoint of the report indicates that the U.S. Treasury bond market is experiencing a turning point in interest rates, driven by economic downturn pressures and anticipated significant changes in Federal Reserve policy next year [4][75]. - The report highlights that the September FOMC meeting resulted in a 25 basis point rate cut, with market interpretations suggesting that the positive effects of this decision have been fully priced in, leading to a "V" shaped reversal in bond yields [2][11]. - Economic indicators such as August retail sales showed a month-on-month increase of 0.6%, surpassing expectations, which reflects resilience in overall economic demand [5][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 maintaining a dovish tone while not increasing long-term debt issuance [21][22]. - The demand side shows that short positions in U.S. Treasuries remain at historically high levels, indicating ongoing basis trading and swap trading activities [26][30]. - The report notes that the relative yield of 10-year U.S. Treasuries remains low after currency hedging, suggesting a decrease in overseas institutional investment in U.S. debt [31][35]. Group 3 - The liquidity tracking section indicates that the average daily trading volume of SOFR has risen to approximately $2.3 trillion, reflecting the importance of U.S. Treasuries as collateral in the money market [40][46]. - The liquidity pressure index for the Treasury market remains at a level indicating overall ample liquidity, with the MOVE Index showing a decrease in implied volatility [49]. - The macroeconomic environment tracking suggests that the Federal Reserve's monetary policy is adjusting to a more dovish stance, with expectations of further rate cuts in response to economic conditions [60][68].