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 article highlights that treasuries are now providing meaningful yields, contrasting with the low rates experienced in the 2010s, which has renewed interest in bonds for income investors [1] - PropNotes focuses on identifying high-yield investment opportunities for individual investors, simplifying complex concepts and providing actionable insights to enhance returns [1] - The analysis produced by PropNotes aims to assist investors in making informed market decisions, supported by expert research that is not readily available elsewhere [1] Group 2 - There is a potential for initiating a beneficial long position in TLT through stock purchases or call options within the next 72 hours, indicating a strategic investment approach [2] - The article emphasizes that past performance does not guarantee future results, and no specific investment recommendations are provided [3] - Seeking Alpha clarifies that its analysts are third-party authors, which may include both professional and individual investors without formal licensing or certification [3]

Group 1 - The report indicates that the U.S. economy is showing signs of downward pressure, with non-farm payrolls exceeding expectations but showing structural weaknesses, and inflation rising at a moderate pace [3][5][71] - The U.S. stock market reached new historical highs in August, while U.S. Treasury yields significantly rebounded, with 30-year, 20-year, 10-year, and 2-year Treasury yields changing by +3, -14, -35, and -27 basis points respectively [4][14] - The report forecasts that the 10-year and 2-year U.S. Treasury yields may reach annual lows of 3.6% and 3.2% respectively, as the market undergoes deleveraging and the "de-dollarization" process comes to a temporary halt [3][7][110] Group 2 - The issuance of U.S. Treasuries in August totaled $2.26 trillion, down from $2.51 trillion in the previous month, with a significant increase in short-term Treasury bill (T-Bill) issuance [22][23] - The demand for U.S. Treasuries has shown signs of recovery, although overseas investor demand has weakened due to lower yields compared to European and Japanese bonds [24][25] - The report highlights that the Treasury Department is expected to maintain its current debt financing structure, focusing on short-term T-Bill issuance while keeping long-term debt issuance at lower levels [25][26] Group 3 - The macroeconomic environment for the U.S. Treasury market is characterized by a cautious approach from the Federal Reserve regarding interest rate cuts, with a clear signal for a potential rate cut in September [5][71] - The report notes that the labor market is showing signs of weakness, with non-farm payrolls for July recorded at 73,000, significantly below the expected 104,000, indicating a potential shift in employment dynamics [77][85] - The report emphasizes that inflationary pressures are expected to remain moderate, with the CPI and core CPI showing year-on-year increases of 2.7% and 3.1% respectively, suggesting limited upward pressure on inflation in the near term [79][82]

Group 1 - The core view of the report indicates that the U.S. Treasury market is experiencing downward pressure due to economic slowdown, with a potential turning point for Treasury yields having been reached [6][7][78] - The July non-farm payrolls showed a significant decline, with only 73,000 jobs added, below the expected 104,000, and previous months' data revised down by 258,000, indicating a weakening labor market [7][50] - The unemployment rate rose to 4.25%, reflecting increasing economic challenges, while GDP growth for Q2 was reported at 3%, primarily driven by net exports, with private consumption weakening [7][57] Group 2 - The report highlights that the Treasury market's liquidity remains ample, with the average daily trading volume of SOFR rising to approximately $2.3 trillion, indicating strong market activity [37][43] - The supply side of the Treasury market shows that the issuance of T-Bills remains high, with the Treasury Department issuing $6.13 trillion in bonds this week, maintaining a consistent issuance structure [20][24] - Demand for U.S. Treasuries remains robust, although short positions are at historical highs, indicating a complex market sentiment where basis trading and roll-over trades are prevalent [27][32] Group 3 - The macroeconomic environment is characterized by a cautious outlook, with the Federal Reserve's July FOMC meeting reflecting a hawkish stance but acknowledging risks to the labor market, suggesting potential for future rate cuts if employment weakens [64][66] - The report anticipates that the economic pressures from tariffs and trade disputes may lead to a more pronounced decline in employment and consumer spending, potentially forcing the Fed to reconsider its monetary policy stance [70][76] - The report recommends specific Treasury securities, including TLT, TMF, and 10-year Treasury futures, as attractive investment opportunities given the current yield environment [7][78]

Group 1 - The report indicates that July economic data shows downward pressure, with non-farm payrolls exceeding expectations but structural weaknesses evident, and domestic demand components significantly declining [3][4][73] - The report highlights that the U.S. stock market reached new historical highs in July, while U.S. Treasury yields experienced a notable rebound [4][13] - The report suggests that the 10-year U.S. Treasury yield may reach a new low of 3.6%, breaking the previous low of 3.8% in April [3][7] Group 2 - The report notes that the total issuance of U.S. Treasuries in July was $2.51 trillion, an increase from the previous month's $2.3 trillion [19][20] - It mentions that the demand for U.S. Treasuries has weakened marginally due to the lower attractiveness of U.S. Treasury yields compared to European and Japanese government bonds after currency hedging costs [7][21] - The report states that the issuance of short-term Treasury bills (T-Bills) increased significantly, with a total issuance of $2.37 trillion in July, compared to $1.62 trillion in June [20][27] Group 3 - The report discusses the macroeconomic environment, indicating that the FOMC maintained the policy rate at 4%-4.25% during the July meeting, reflecting a more cautious outlook on economic uncertainty [62][63] - It highlights that the labor market remains resilient, with non-farm payrolls adding 147,000 jobs in June, surpassing expectations [73][79] - The report emphasizes that inflationary pressures are expected to remain moderate, with the CPI rising by 0.3% month-on-month in June, aligning with expectations [73][74] Group 4 - The report outlines the strategy for the U.S. Treasury market, recommending specific instruments such as TLT, TMF, and 10-year and above Treasury futures [3][7] - It suggests that the current economic conditions may lead to a "soft landing," but if the Federal Reserve misjudges inflation, it could result in a "hard landing" scenario [106] - The report indicates that the Treasury market is expected to experience high volatility due to ongoing economic pressures and potential shifts in monetary policy [7][49]

Group 1 - The report indicates that the U.S. Treasury market experienced upward pressure on yields due to resilient consumer spending and inflation data, with the 10-year Treasury yield increasing by 0.6 basis points during the week [3][12][15] - The June CPI rose to 2.7%, slightly above expectations, while core CPI was at 2.9%, below expectations, indicating mixed inflation signals [6][56] - The Federal Reserve may misjudge the inflation situation, suggesting that long-term U.S. Treasuries still hold investment value, particularly in the 4.4%-4.5% range for the 10-year Treasury [5][76] Group 2 - The supply side of the Treasury market remains stable, with the Treasury Department maintaining its issuance structure and not significantly increasing long-term debt issuance [19][21] - The Treasury's net financing scale for Q2 is estimated at $514 billion, with Q3 expected to be $554 billion, indicating a manageable supply environment [25][21] - Demand for U.S. Treasuries remains high, with short positions at historical highs, reflecting ongoing basis trading and swap trading activities [26][30] Group 3 - The liquidity in the Treasury market is observed to be ample, with the average daily trading volume of SOFR rising to approximately $2.3 trillion [39][45] - The ON RRP usage remains high, indicating continued liquidity in the market, with reserves increasing by $33 billion to $3.38 trillion [45][44] - The implied volatility index for the Treasury market has slightly increased, but overall liquidity pressure remains low [48][39] Group 4 - The macroeconomic environment shows that inflationary pressures are present but are expected to remain moderate without significant supply shocks [66][75] - The report highlights that the labor market shows signs of structural weakness despite low unemployment rates, which may lead to increased pressure on the Federal Reserve to lower interest rates [77][75] - The potential for a shift in monetary policy is influenced by political pressures and the need to address fiscal deficits, particularly in light of the recent tax policies [76][73]

Group 1 - The report highlights that the US Treasury market experienced upward pressure on yields due to renewed inflation concerns following tariff announcements by Trump, with the 10Y Treasury yield rising by 6.4 basis points during the week [4][13][56] - The report indicates that the US labor market remains resilient, as evidenced by unemployment claims data, while the tariffs imposed on major trading partners range from 20% to 50% [7][55] - The report suggests that the Federal Reserve may misjudge inflation trends, and long-term US Treasuries still hold investment value, particularly in the 4.4%-4.5% range for the 10Y Treasury [6][56] Group 2 - The supply side of the US Treasury market shows that the Treasury Department's issuance structure remains unchanged for Q2-Q3, with a net financing scale of $514 billion for Q2 and $554 billion for Q3 [20][26] - The report notes that the demand side reflects a historically high level of short positions in US Treasuries, indicating ongoing basis trading and swap trading activities [27][31] - The report mentions that the actual returns on 10Y US Treasuries, after accounting for currency hedging costs, are lower than those of Japanese and European bonds, which may reduce the attractiveness of US Treasuries to foreign investors [35][56] Group 3 - The liquidity in the US Treasury market is observed to be adequate, with the liquidity pressure index remaining stable and the implied volatility index (MOVE Index) decreasing [49][40] - The report indicates that the Federal Reserve's recent statements suggest a potential for interest rate cuts, with several officials expressing support for a rate reduction in July [53][54] - The report concludes that the 10Y Treasury at a yield of 4.5% presents a high investment value, with recommended investment vehicles including TLT, TMF, and specific Treasury futures [56][57]

Group 1 - The "duration trade" was highlighted as a significant investment strategy in 2023, betting on the decline of interest rates after a record increase in the previous year [1] - This trade reflects a broader market sentiment that interest rates, which had risen sharply, would eventually need to decrease, impacting various financial instruments [1] Group 2 - The article does not provide specific company or industry insights beyond the discussion of the duration trade and its implications for interest rates [2] - There are no detailed financial metrics or performance indicators related to specific companies mentioned in the article [2]

Market Trends & Investment Strategies - The discussion revolves around investment strategies concerning treasuries, particularly the 20-year Bond ETF (TLT), and European bonds [1] - The firm expresses reservations about the back end of the yield curve, considering alternatives like ECB rate cuts or seeking opportunities at the long end [2] - Tactical buying of the long end of the yield curve is considered around quarter-end [2] - Long-duration assets can be helpful if geopolitical risks resurface or inflation declines [5] - Currently, equities, especially growth equities with a 19% ROE, are favored over long-duration bonds due to inflation concerns and tariff issues [5][6] Duration & Hedging - Duration is viewed as no longer a reliable hedge [4] - TLT is considered an efficient vehicle for gaining duration when needed, although not currently favored [3] Economic Factors - Inflation expectations and potential tariff problems are key themes influencing market movements [5]

Market Overview - RNI boxer's performance is not satisfactory [1][2] - There's a mention of "turned to corn," possibly indicating a shift in investment strategy or asset allocation [2] Potential Investment Opportunities - Discussion of "bounce back for the Liberty," suggesting a potential recovery or investment opportunity related to Liberty [3] - Consideration of TLT (iShares 20+ Year Treasury Bond ETF) as an investment option [3] Company Identification - EQT (Equitrans Midstream Corporation) is identified [3]