美债市场策略周报 - 投资要点 l 美债市场表现回顾： 美债策略周报 2025.7.28-2025.8.3 | 分析师： | 曹潮 | | --- | --- | | 中央编号： | BVH841 | | 联系电话： | 852-96581360 | | 邮箱： | caochao@cnzsqh.hk | 1 n 7月FOMC会议表述偏鹰，但鲍威尔对就业下行风险关注度提升，并对9月降息持开放态度；周五公布的 非农大幅走弱，市场对就业市场韧性进行重新评估，不同期限美债利率均下行，10Y美债周内累计下行 17个bps。 l 美债市场基本面、货币政策和资金面： l 美债市场策略：经济下行压力显现，美债拐点已至 2 n 基本面与货币政策：7月新增非农7.3万人，低于预期的10.4万人；前两月数据显著下修，5月和6月数据 共下修25.8万人，导致私人部门新增就业连续3个月低于10万人/月；失业率上行至4.25%；二季度 GDP环比3%，但主要由净出口回升贡献，其中私人消费支出环比走弱至1%下方；反应美国经济的下行 压力逐渐显现；货币政策方面，在记者会中，鲍威尔对就业市场关注度明显提升；尽管鲍威尔对9月是否 降息没有给出 ...

[Table_main] 衍生品市场类模板 报告日期：2025 年 8 月 策_main] 衍生品市场类模板 略 报 告 2025 年 8 月美债市场月度展望及配置策略 ──债券策略月报 市 场 策 报告导读 略 研 究 — 美 债 策 略 月 报 7 月经济数据再显下行压力，非农超预期但结构明显走弱，二季度略超预期但 内需分项明显回落；通胀数据较上月回升但斜率较温和，市场对经济预期仍是 "软着陆"情形。全月来看，美股再次创下历史新高，美债收益率高位回落。 展望下半年，由于汇率对冲成本后的美债收益率不及欧日本国公债，这将降低 美债对海外投资者的吸引力，并导致一级交易商美债敞口仍将高位震荡。随着 美债市场去杠杆结束+"去美元化"进程暂时告一段落，美国经济的下行压力 也在逐渐显现，美债利率或已迎来拐点，10Y 美债利率年内低点或将突破 4 月 3.8%的新低，达到 3.6%。标的方面，我们继续推荐以下品种：TLT，TMF，10 年期及以上美债期货（CME 期货代码为 TY，US 和 UL；CBOT 代码为 ZN2509）。 | 分析师： | 曹潮 | | --- | --- | | 中央编号： | BVH841 ...

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]

美债策略周报 2025.7.7-2025.7.13 | 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： 本周关税风波再起，特朗普宣布对多国加征20%-50%不等关税，市场对通胀担忧重现，导致美债利率普 遍上行，10Y美债周内累计上行6.4个bps。 美债市场基本面、货币政策和资金面： 美债市场策略：美联储或将再次误判通胀形势，长端美债仍具配置价值 2 基本面与货币政策：6月初请、续请失业金人数不及预期，反应美国就业市场韧性仍存；当周特朗普宣布 新版本的对等关税，主要贸易伙伴中，日韩为25%，墨西哥与欧盟为30%，加拿大分别为35%，巴西则 高达50%；特朗普还宣称将对参与金砖国家组织的贸易伙伴加征10%的额外关税。货币政策方面，美联 储理事沃勒称支持7月提前降息；同期市场开始对特朗普可能解雇鲍威尔进行定价。 流动性和供需：准备金回升855亿美元至3.34万亿，ON RRP用量回升，SOFR利率周内中枢环比回落 ...

Group 1 - The report indicates that the U.S. Treasury market experienced a "V" shaped reversal in yields due to rising oil prices amid escalating geopolitical tensions in the Middle East, with the 10-year Treasury yield declining by a total of 10.7 basis points during the week [3][10][74] - The May CPI data showed a year-on-year increase of 2.4%, while core CPI and PPI data were below expectations, indicating limited inflationary pressure from tariffs [4][54][75] - The report forecasts that the 10-year Treasury yield will fluctuate between 4.2% and 4.6% in the coming months, with a high allocation value at the 4.5% yield level, corresponding to a price of 110 [4][74][76] Group 2 - The supply side of the Treasury market remains stable, with the Treasury Department maintaining a net financing scale of $514 billion for Q2 and $554 billion for Q3, while short-term T-Bill issuance continues to be high [19][23][20] - Demand for U.S. Treasuries remains strong despite high short positions, with the total short position in 2-year Treasuries rising to $420.2 billion, reflecting ongoing basis trading [28][24][32] - The liquidity in the Treasury market is observed to be adequate, with the SOFR rate averaging 4.28% and the ON RRP usage increasing to $183.35 billion per day [37][43][46] Group 3 - The macroeconomic environment shows that inflation is not expected to rebound significantly, with the report suggesting that the economic downturn pressure outweighs inflationary pressures [66][75][76] - The report highlights that the Federal Reserve may misjudge inflation trends, potentially leading to a resumption of quantitative easing if financial stability risks increase [73][74][76] - The overall economic outlook indicates that the U.S. economy may face two scenarios: increased pressure from trade wars or financial stability risks due to declining stock and bond markets [75][76]

美债策略周报 2025.4.28-2025.5.4 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： 4月非农再超预期，市场对美国经济形势和美联储降息路径进行重新定价，长端美债利率出现"V"型反 弹，10Y美债周内累计上行7.9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：Q1美国GDP年化值环比转负为-0.3%，为2022年3月以来首次，其中净出口和政府 支出合计拖累达到-5.1%，反应关税对经济带来下行压力已经逐步显现；4月非农数据好于预期，显示就 业市场在关税冲击下暂时维持韧性；货币政策方面，由于下周召开FOMC会议，美联储官员处于静默期。 流动性和供需：准备金回落超2000亿美元至3万亿，ON RRP用量有所回落，SOFR利率周内中枢环比 上行8个bps，与OIS利差处于历史低位，反应资金市场并未受到美债抛售潮的冲击。 美债市场策略：Swap spread收窄、NCCBR利率未明显上行+关税谈判开启，美债利率难以突破前高 目录 美债市场表现回顾 ...

[Table_main] 衍生品市场类模板 报告日期：2025 年 3 月 策_main] 衍生品市场类模板 略 报 告 2025 年 3 月美债市场月度展望及配置策略 ──债券策略月报 市 场 策 报告导读 略 研 究 — 美 债 策 略 月 报 2 月经济数据依然多空交织，美债市场在月内冲高回落，累计波动幅度达到 37.4 个 bps。2 月下旬的海湖庄园协议新闻引发市场关注，协议中的关税、多 边货币协议及制造业回流或将成为未来 4 年特朗普政策的主要目标；尽管从长 期视角看，这一目标有望缓和美国当前贸易/财政赤字严重失衡的问题，但关 税短期内对经济和通胀的冲击，将不可避免的导致美国经济短期内进入"类滞 胀"状态；与此同时，财政部在债务上限争端仍存背景下，难以在未来 1-2 个 季度增加长久期美债的发行规模，这会迫使本森特延续此前耶伦超量发行短债 的融资策略（即影子"QE"）。我们预计在经济"类滞胀"和财政部影子"QE" 两因素共振下，Q1-Q2 期间美债市场有望迎来一波牛平行情；对应的 10 年期 美债低点在 4%左右，10Y-2Y 美债利差则逐渐收敛甚至倒挂。落实到具体策略 层面，我们推荐做多长久期美 ...