A compact read on bond-market health: curve, credit, real rates, rates volatility, funding stress, global yields and cross-asset spillovers. Context first; trade signals elsewhere.债市健康度速览：曲线、信用、实际利率、利率波动、资金压力、全球收益率与跨资产传导。先看背景；交易信号另列。· As of截至 Sep 14, 2026
📊 Measured已校准: top-stress readings were followed by a 10%+ S&P drawdown within 63 days压力最高档读数之后，63天内出现标普10%+回撤的概率为23.9%of the time vs a，而基准为12.2% baseline
(+11.7pp). Recession-IC。衰退IC 0.545.
Glyphs: ✓ measured · ~ directional · · context.符号：✓ 已校准 · ~ 有方向 · · 仅背景。
10-year vs the dollar10年债对美元: -0.07 · real rates steady实际利率平稳
Duration & Curve Compass — lean long or short?久期与曲线罗盘 · 偏多还是偏空？
Duration lean — the classic bond factors, blended久期倾向 · 经典债券因子综合
Lean long duration偏多久期lean倾向 +0.25 · 60% agree一致
← short (yields up)偏空（利率上行）long (yields down)偏多（利率下行） →
Trend (TSMOM)趋势（时序动量）-1.00
Carry & roll (10y−3m)套息与滚动（10年−3月）+0.72
Value (real-10y rich/cheap)价值（10年实际利率高/低）+1.00
Term premium期限溢价+1.00
Macro impulse (reflation)宏观动能（再通胀）-0.15
ℹ Context only. The same factors helped most with drawdown control, not precise return timing.仅供参考。同类因子主要帮助控制回撤，而非精确择时收益。
Curve trade & expected return曲线交易与预期回报
Curve曲线 · Neutral中性
No clear steepener or flattener bias.无明显陡峭或平坦倾向。
10y carry10年套息4.95%
Roll-down (1y)滚动收益(1年)0.29%
Carry + roll套息+滚动5.24%
Yield-rise cushion收益率上行缓冲66.0bp
Cushion = how much the 10y yield can rise before one year of carry + roll-down is erased (duration ≈ 8.0).缓冲 = 10年期收益率还能上行多少，才会抹掉一年套息+滚动收益（久期约 8.0）。
Lean long duration (lean +0.25, 60% of legs agree). Carry+roll ≈ 5.24%/yr; yields can rise ~66bp before a 10y loses money over a year.偏多久期（倾向 +0.25，60% 分项一致）。套息+滚动约 5.24%/年；收益率上行约 66基点以内，10年期一年总回报仍不亏。
① Curve & growth — the recession read① 收益率曲线与增长 · 衰退判读
10y−3m (NY Fed)10年−3月（纽约联储）0.89pp
Near-term fwd spread近端远期利差0.91pp
2s10s2年/10年0.33pp
TP-adjusted slope期限溢价调整斜率0.33pp
NY Fed recession prob纽约联储衰退概率13.1%
Bear flattener熊市平坦short rates rising faster than long — a hawkish Fed; classic late-cycle tightening短端利率上行快于长端 — 鹰派美联储；典型的周期晚段紧缩
Recession spreads & TP-adjusted slope over time — zero = flat, below zero = inverted衰退利差与期限溢价调整斜率走势 · 0=平坦，负值=倒挂
10y−3m feeds the NY Fed model. The near-term forward spread is cleaner when markets price Fed cuts. The TP-adjusted slope removes low-term-premium noise.10年−3月用于纽约联储模型。近端远期利差更能反映降息定价。期限溢价调整斜率剔除低期限溢价噪音。
Market-implied policy path — the Fed vs the market市场隐含政策路径 · 美联储 vs 市场
Where the market prices the funds rate — and where the Fed projects it市场为基金利率定价之处 · 以及美联储的预测
Market prices ~4 hikes over the next 12m (funds 3.63% → 4.52%)市场为未来12个月定价约加息4次（基金利率 3.63% → 4.52%）
end-2026 · market市场 4.02% · Fed dot美联储点阵 3.80%+22bp · market more hawkish than the Fed+22基点 · 市场比美联储更鹰派
At end-2026 the market implies 4.02% vs the Fed's 3.80% median dot (+22bp — market more hawkish than the Fed). The near-term forward spread is positive — no cuts priced near-term (+0.91pp).在end-2026，市场隐含 4.02% 对比美联储 3.80% 的中位点（+22基点 — 市场比美联储更鹰派）。近端远期利差为正——近端未为降息定价（+0.91个百分点）。
Market-implied rates are prices, not forecasts. Use this as policy-path context.市场隐含利率是价格，不是预测。此处仅作政策路径背景。
② Credit & ③ Real rates — risk appetite & the discount rate② 信用 与 ③ 实际利率 · 风险偏好与贴现率
Credit — the "smart money" canary信用 · “聪明钱”预警
Tight偏紧tightening收窄
HY OAS高收益OAS2.7%
IG OAS投资级OAS0.8%
HY / IG ratio高收益/投资级3.4×
Baa−AaaBaa−Aaa0.43%
Excess bond premium超额债券溢价—
HY %ile (2y)高收益百分位(2年)16.0%
HY OAS高收益IG OAS投资级2014-09-172026-09-14
HY OAS shows default stress; EBP is the extra spread not explained by default risk. Credit usually weakens before equities.高收益OAS显示违约压力；EBP是违约风险解释不了的额外利差。信用通常早于股票走弱。
Real rates & inflation — the discount rate实际利率与通胀 · 贴现率
10y real (TIPS)10年实际利率2.55%
5y real5年实际利率2.29%
10y breakeven10年盈亏平衡通胀2.36%
5y5y fwd breakeven5年5年远期通胀2.32%
Term premium期限溢价—
Real 10y10年实际Breakeven盈亏平衡Term premium期限溢价2014-09-172026-09-14
10y yield decomposed — real + breakeven = nominal, term premium overlaid10年收益率分解 · 实际+盈亏平衡=名义，叠加期限溢价
Real yields are the discount rate; breakevens are the inflation read; term premium is the extra reward for duration risk.实际利率是贴现率；盈亏平衡通胀是通胀读数；期限溢价是承担久期风险的额外回报。
Company bonds — credit watch公司债 · 信用观察
Overall read整体研判
Credit stress: low信用压力：低
Watch — don't chase观望 · 勿追
Company-bond stress is low; AI borrowing costs bear watching.整体压力仍低；AI公司的借贷成本值得关注。
ORCL —
Oracle pays +0.8% over similar bonds — the market votes before the raters甲骨文比同级债券多付0.8% · 市场先于评级机构投票
No fallen-angel candidates in motion暂无天使跌落候选
Bond market tape债券市场行情
Latest:最新： 23.7% of bonds rose债券上涨 · 19.4% touched 1-year lows创一年新低 · as of截至 2026-09-09最新：23.7%债券上涨 · 19.4%创一年新低 · 截至2026-09-09
FINRA trade dataFINRA成交数据
When the debt comes due债务到期分布
Hyperscalers超大规模云商
AI clouds新型AI云商
Memory chips存储芯片
AI powerAI电力
Data-centre landlords数据中心业主
AI hardwareAI硬件
Telecom — the 1990s echo电信 · 90年代对照组
0–1y0–1年1–3y1–3年3–5y3–5年5–10y5–10年10y+10年+
All themes had zero bonds maturing within 1 year as of 2026-09-10.截至2026-09-10，所有主题均无1年内到期债券。
Stocks vs their bonds股票与其债券
The divergence read builds after ~1 month of daily history — the risk sign is stocks rising while their bonds weaken.该背离指标需约1个月的日度数据积累——风险信号为股价上涨而债券走弱。
History building · check back 14 Aug 2026数据积累中 · 2026年8月14日后可查看
Prices are fund-reported estimates · covers bonds inside major index funds only · daily history builds from 14 Jul 2026价格为基金披露估值 · 仅覆盖主要指数基金持仓债券 · 数据自2026年7月14日起每日积累
Negative correlation means bonds are diversifying equities. Positive correlation means the hedge is weak.负相关表示债券能分散股票风险；正相关表示对冲变弱。
⑥ Global sovereign bonds — the world's cost of capital⑥ 全球主权债券 · 世界的资金成本
Global sovereign scorecard — G10 + EM全球主权记分卡 · G10 + 新兴市场
Global 10y全球10年期 4.14% · rising上行 +34bp/3mUS vs world美国 vs 世界 +145bp
Global 10y avg 4.14% and rising (+34bp/3m) — a global tightening/duration-bear impulse. US 10y is 145bp above the GDP-weighted rest of the world and rising — the dollar's rate-differential anchor. EM hard-currency OAS 1.31% (stable).全球10年期均值 4.14%，3个月 +34基点 — 全球收紧/久期偏空动能。美国10年期较GDP加权的世界其余高145基点，利差走阔 — 美元的利差之锚。新兴市场硬通货利差 1.31%（平稳）。
sovereign主权
10y10年
real实际
slope斜率
3m Δ3月变化
1y z1年z
vs US对美
curve曲线
United States美国
4.95%
2.55%
+0.39
+46bp
+2.6
+0
normal正常
Euro area (Bund)欧元区（德债）
3.50%
—
+0.40
+52bp
+2.8
-145
normal正常
Japan日本
2.94%
—
+1.20
+33bp
+1.5
-201
steep陡峭
United Kingdom英国mo月
4.80%
—
+1.09
-2bp
+0.9
-15
steep陡峭
Canada加拿大mo月
3.42%
—
+1.15
-10bp
+0.5
-153
steep陡峭
Australia澳大利亚mo月
4.83%
—
+0.37
-14bp
+0.6
-12
normal正常
Switzerland瑞士mo月
0.31%
—
—
-14bp
+0.1
-464
——
EM (hard-ccy OAS)新兴市场（硬通货利差）
1.31%
pctile百分位 0.0% · EMB down下行
stable平稳
US 10y美债10年Bund德债JGB日债2020-09-152026-09-14
Level = 10y yield. Slope = curve shape. 3m Δ = 63-day move. vs US = 10y rate gap. Monthly OECD series are tagged.水平=10年收益率；斜率=曲线形态；3月变化=63日变动；对美=10年利差。OECD月度序列已标注。
Euro-area fragmentation & the JGB curve欧元区分化与日债曲线
Euro fragmentation欧元分化 · Calm平静widening扩大JGB 2s10s · Steepening陡峭化
Euro frag (all−AAA 10y)欧元分化（全体−AAA 10年）0.45pp
Bund 10y (euro core)德债10年（欧元核心）3.5%
JGB 2s10s日债 2年/10年1.2pp
Euro fragmentation欧元分化JGB 2s10s日债2/102012-09-172026-09-14
Euro fragmentation tracks periphery-vs-core stress. JGB 2s10s tracks Japan normalization and possible capital repatriation.欧元分化跟踪外围与核心压力；日债2/10年跟踪日本正常化及资本回流风险。
Global credit cycle — the crisis early-warning (BIS)全球信用周期 · 危机预警 (BIS)
Private-sector leverage vs trend.私人部门杠杆相对趋势。Latest read最新读数 · as of截至 2025-12-31
economy经济体
credit-to-GDP gap信贷/GDP 缺口
state状态
debt-service ratio偿债比率
China中国
-7.7pp -0.1/yr
deleveraging去杠杆
18.8% +0.3/yr
United States美国
-11.5pp +0.9/yr
deleveraging去杠杆
14.1% -0.3/yr
BIS credit-to-GDP gap: private credit versus trend. Big positive gaps warn of banking-cycle risk; negative gaps show deleveraging. Slow structural context only.BIS信贷/GDP缺口：私人信贷相对趋势。大幅正缺口提示银行周期风险；负缺口表示去杠杆。仅为慢变量背景。
What bonds are doing to each market — right now当前债券对各市场的影响
Real-10y 2.55% (+32bp/3m), curve 0.89pp, HY OAS 2.7%. 4 markets with a bond tailwind, 7 with a headwind right now.10年实际利率 2.55%（+32基点/3月），曲线 0.89pp，高收益利差 2.7%。当前 4 个市场受债券顺风，7 个受逆风。
💵 US Dollar (DXY)美元（DXY）via经real 10y10年实际利率 · +0.28%/+10bp · r +0.30 (moderate中)
Rate-differential / real-carry channel — a higher US real yield pulls the dollar up.利差/实际套息通道——美国实际利率走高拉升美元。
Tailwind顺风+32bp/3m
🥇 Gold黄金via经real 10y10年实际利率 · -0.61%/+10bp · r -0.28 (moderate中)
The real 10y is gold's opportunity cost — the cleanest inverse in macro.10年实际利率是黄金的机会成本——宏观中最干净的反向关系。
Headwind逆风+32bp/3m
🔩 Copper铜via经curve slope (10y−3m)曲线斜率 · +0.28%/+10bp · r +0.11 (weak弱)
Dr. Copper tracks the growth impulse the curve slope proxies.“铜博士”跟随曲线斜率所代表的增长动能。
Tailwind顺风+23bp/3m
🛢 Crude oil原油via经10y breakeven10年盈亏平衡通胀 · +2.44%/+10bp · r +0.35 (moderate中)
Breakevens and energy feed each other; growth + inflation impulse.盈亏平衡通胀与能源相互驱动；增长+通胀动能。
Tailwind顺风+10bp/3m
₿ Bitcoin比特币via经real 10y10年实际利率 · -0.68%/+10bp · r -0.08 (weak弱)
A long-duration liquidity asset — falling real yields + calm rates-vol are a tailwind.长久期流动性资产——实际利率下行+利率波动平静为顺风。
Headwind逆风+32bp/3m
Betas show weekly co-movement with each asset's main bond driver. They describe today's headwind or tailwind; they are not forecasts. More chains: 贝塔显示各资产与主要债券驱动的周度联动。它们描述当前顺风/逆风，不是预测。更多传导链见Rate & Inflation Transmission利率与通胀传导.
Treasury supply absorption — is the market digesting the debt?美债供给吸收 · 市场能否顺利消化债务？
recent coupon demand firm (6 of last 10 strong)recent coupon demand firm (6 of last 10 strong) · as of截至 2026-09-10
Coupon issuance (90d)票息发行(90日)1071.0 $bn
vs prior 90d较前90日-0.7%
auction拍卖
tenor期限
bid-to-cover认购倍数
indirect间接
dealer交易商
demand需求
2026-09-10 re
30yBond
2.61
79%
2%
strong强劲+2.6σ
2026-09-09 re
10yNote
2.71
79%
4%
strong强劲+2.0σ
2026-09-08
3yNote
2.72
62%
11%
strong强劲+0.9σ
2026-08-27
7yNote
2.50
54%
11%
in-line中性-0.3σ
2026-08-26
5yNote
2.37
54%
9%
strong强劲+0.8σ
2026-08-25
2yNote
2.60
58%
10%
strong强劲+0.6σ
2026-08-19
20yBond
2.53
55%
11%
soft偏弱-0.7σ
2026-08-13
30yBond
2.39
53%
9%
in-line中性-0.3σ
2026-08-12
10yNote
2.53
61%
7%
in-line中性+0.4σ
2026-08-11
3yNote
2.71
51%
9%
strong强劲+0.6σ
Auction demand is scored versus recent same-tenor auctions. Higher bid-to-cover and indirect share are stronger; higher dealer share is weaker.拍卖需求相对近期同期限拍卖评分。认购倍数与间接占比越高越强；交易商占比越高越弱。
Supply context only; not scored.仅为供给背景，不参与评分。
Bond state-change timeline债券状态变化时间线· 13 events · last事件 · 近 120d
Daily state changes, debounced to reduce whipsaw. Context only.每日状态变化，经去抖以减少噪音。仅供参考。
How to read this如何解读
Start with the health score, then check which leg is driving it: curve, credit, real rates, rates volatility, funding stress or stock-bond correlation.先看健康度评分，再看驱动分项：曲线、信用、实际利率、利率波动、资金压力或股债相关性。
The compass and transmission sections are context. They summarize duration lean and cross-asset pressure, but they are not standalone trade calls.罗盘与传导部分是背景信息。它们概括久期倾向与跨资产压力，但不是独立交易信号。
Thresholds use practitioner levels; calibration only labels how useful each leg has been. Data comes mainly from FRED, Yahoo, ECB, Japan MoF, BIS, OECD and Treasury auction results.阈值采用常用市场水平；校准只标注各分项过去有多有用。数据主要来自FRED、Yahoo、欧洲央行、日本财务省、BIS、OECD与美债拍卖结果。
History历史 1927-12-30..2026-09-14 · built构建于 2026-09-14 23:46 UTC