固定收益·利率策略 美国国债抛售：超越基本面

关键论点

• 10年期美国国债收益率升至5.25%，较8月底高出约50个基点，主要受实际收益率上升推动，而盈亏平衡通胀率保持稳定。
• 基于ISM制造业新订单指数和USD 2y5y隐含波动率的公允价值回归模型显示，过去四年收益率持续偏离模型估算值，实际收益率高于理论水平。
• 期限溢价上升（从负值升至+80个基点）和美国潜在增长率提高（可能来自AI）可能解释过度廉价化，而能源冲击和战争并非主要驱动因素。
• 截至2026年9月的十二个月内，10年期收益率较模型理论水平高出约80个基点，表明存在持续的过度廉价化。

对应原文证据

1. Treasury sell -off: beyond the fundamentals Yields on 10 -year US Treasuries have shown a more bullish trend than suggested by their historical relationship with the economic cycle and market risk proxies.
2. For example, the 10 -year yield now stands at 5.25 per cent, around 5 0basis points higher than at the end of August .The movement inthe 10 -year US Treasury has been driven by a rise inreal yields , whilst 10 -year break -even inflation rates have remained virtually unchanged.
3. In line with historical patterns ,the rise in long -term Treasury yields reflects growing expectations of an increase in the Fed’s official interest rates, which are in turn fuelled by the strength of the US economy and pressures on energy prices.