Macroeconomic Factors - US 10-year Treasury yield surged over 100 basis points since September 2024, reaching a high of 4.79% despite a 100 basis point Fed rate cut[2] - The yield increase significantly exceeds historical patterns during past rate cut cycles, driven by US economic resilience and Trump 2.0 policy expectations[2] - Short-term factors include economic resilience, adjusted rate cut expectations, and renewed fiscal concerns, while long-term factors stem from Trump 2.0 policies increasing fiscal deficits and reflation expectations[2] Interest Rate Projections - The fair value of US 10-year Treasury yield is estimated at 4.4%, with a likely range of 4-4.5% in 2025, potentially showing a high-then-low trend[3] - Under inflation narrative, long-term yield equilibrium is around 4.5%, while fiscal deficit narrative suggests a range of 4.0-5.0%[87][88][96] Economic Indicators - US economic surprise index shows weakening fundamentals since November 2024, potentially indicating overpricing of growth expectations in bond yields[49] - Labor market remains resilient with rising job openings and small business hiring intentions, though output gap narrowing may limit further tightening[32][33] Fiscal and Debt Dynamics - US debt level reached 1.88 trillion), with Treasury's TGA balance at $720 billion potentially supporting 4-5 months of operations[52][60] Market Structure and Demand - Foreign investors and money market funds remain primary net buyers of Treasuries, but long-term bond demand weakens amid policy uncertainty[70][71] - Recent 10-year Treasury auctions show declining bid-to-cover ratios and rising dealer take-up, reflecting reduced institutional demand for long-duration bonds[78][81]
全球宏观：美债利率“三重门”：经济韧性、供给压力与政策预期
交银国际证券·2025-01-15 04:29