Column-Funds bet heavily on U.S. curve steepeners: McGeever

ORLANDO, Fla. (Reuters) – A key part of the U.S. yield curve is the most inverted in decades and for hedge funds, enough is enough.

佛罗里达州奥兰多（路透社）——美国收益率曲线的一个关键部分是几十年来最倒挂的，对于对冲基金来说，已经足够了。

Commodity Futures Trading Commission positioning data show that speculators are placing wagers that the historic gap between 10-year and three-month yields will start to shrink.

商品期货交易委员会仓位数据显示，投机者押注 10 年期和三个月期国债收益率之间的历史差距将开始缩小。

This is reflected in two standout figures from the latest CFTC report – the smallest net short three-month ‘SOFR’ rate futures position in over two years, and the largest 10-year Treasury futures net short position since 2018.

这反映在最新的 cftc 报告中的两个突出数字——两年多来最小的三个月“sofr”利率期货净空头头寸，以及自 2018 年以来最大的 10 年期美国国债期货净空头头寸。

Together, they point to a belief that implied U.S. interest rates in the coming months wont rise much, if at all, and 10-year yields will move higher.

他们共同表明了一种信念，即未来几个月美国的隐含利率不会上升太多，如果有的话，10 年期国债收益率将会走高。

This would help reverse the extraordinary flattening of the 3-month/10-year curve, which last week inverted by as much as 140 basis points, the most since 1981.

这将有助于扭转 3 个月/10 年期曲线异常平坦的趋势，该曲线上周倒转了多达 140 个基点，为 1981 年以来的最高水平。

CFTC speculators cut their net short position in three-month Secured Overnight Financing Rate (SOFR) futures to just 9,077 contracts in the week through Jan. 17.

cftc 投机者在截至 1 月 17 日的一周内将三个月有担保隔夜融资利率 (sofr) 期货的净空头头寸削减至仅 9,077 份合约。

It is the smallest net short since December 2021, and considering that short position exceeded 1 million contracts in early September, it is virtually neutral.

这是自2021年12月以来的最小净空头，考虑到9月初空头头寸超过100万份合约，它几乎是中性的。

Funds also increased their one-month SOFR net long position to over 67,000 contracts, the largest long since August. Momentum indicators are now the most bullish since late 2020.

基金还将其 1 个月 sofr 净多头头寸增加至超过 67,000 份合约，为 8 月以来最大的多头头寸。动能指标现在是自 2020 年底以来最乐观的。

Hedge funds take positions in short-dated U.S. rates and bonds futures for hedging purposes, so the CFTC data are not reflective of purely directional bets. But they are a pretty good guide.

对冲基金持有美国短期利率和债券期货头寸以进行对冲，因此 cftc 数据并不能反映纯粹的方向性押注。但他们是一个很好的向导。

A short position is essentially a wager that an assets price will fall, and a long position is a bet it will rise. In bonds and interest rates, yields and implied rates fall when prices rise, and move up when prices fall.

空头头寸本质上是押注资产价格会下跌，多头头寸是押注资产价格会上涨。在债券和利率方面，收益率和隐含利率在价格上涨时下降，在价格下跌时上升。

Tactical trade？

战术贸易？

Meanwhile, speculators increased their net short 10-year Treasuries futures position by 133,699 contracts, the biggest weekly shift since last October, to 545,000 contracts.

与此同时，投机者将 10 年期美国国债期货净空头头寸增加 133,699 份合约，至 545,000 份合约，这是自去年 10 月以来的最大单周变动。

Thats the largest collective bet against 10-year bonds – and for higher yields – since October 2018.

这是自 2018 年 10 月以来对 10 年期债券以及更高收益率的最大集体押注。

From an economic fundamental perspective, however, a steeper yield curve is unlikely to be driven by a higher 10-year yield, at least if the incoming U.S. economic data is any guide.

然而，从经济基本面的角度来看，10 年期国债收益率上升不太可能推动收益率曲线变陡，至少如果即将发布的美国经济数据具有指导意义的话。

Services and manufacturing sector purchasing managers data, regional manufacturing indexes, and barometers of consumer sentiment are all at levels typically associated with past recessions.

服务和制造业采购经理人数据、区域制造业指数和消费者信心晴雨表都处于通常与过去经济衰退相关的水平。

Longer-dated borrowing costs have plunged far below short-term yields, a sign investors are expecting growth and inflation to weaken so much that the Federal Reserve will ultimately have to ease policy.

较长期借贷成本已跌至远低于短期收益率的水平，这表明投资者预计经济增长和通胀将大幅减弱，以至于美联储最终将不得不放松政策。

From a tactical perspective, however, it makes more sense. Traders may be taking some of the froth out of the tightening priced into the next few Fed meetings, and may also be thinking that the curve, like a stretched rubber band, must surely snap back.

然而，从战术角度来看，这更有意义。交易员可能正在消化未来几次美联储会议所反映的紧缩政策带来的一些泡沫，也可能认为曲线就像一根被拉长的橡皮筋，肯定会迅速反弹。

The starkest example lately is the 3-month/10-year yield curve, which has flattened at lightening pace – as recently as October the curve had a positive slope, and in May last year it was almost 230 bps positive.

最近最明显的例子是 3 个月/10 年期收益率曲线，它以闪电般的速度变平——就在最近的 10 月，曲线呈正斜率，去年 5 月几乎为正斜率 230 个基点。

Fed officials – including Vice Chair Lael Brainard and Governor Christopher Waller, two of the most influential policymakers after Chair Jerome Powell – continue to make the case for further rate hikes, albeit at a slower pace.

美联储官员——包括继主席杰罗姆·鲍威尔之后最具影响力的两位决策者——副主席莱尔·布雷纳德和州长克里斯托弗·沃勒——继续为进一步加息提供理由，尽管步伐放缓。

There is no indication that rate cuts are in the Fed‘s 2023 script, yet ’SOFR futures continue to price in around 50 bps of easing this year.

没有迹象表明美联储将在 2023 年降息，但 sofr 期货价格继续显示今年将宽松 50 个基点左右。

Many analysts reckon the flattening bias will remain dominant this year. Hedge funds may fundamentally agree, but right now they are betting on at least a short-term bout of steepening.

许多分析师认为，扁平化倾向今年仍将占主导地位。对冲基金可能从根本上同意，但目前他们押注至少会出现短期的陡峭化。

(The opinions expressed here are those of the author, a columnist for Reuters.)

（这里表达的观点是作者的观点，他是路透社的专栏作家。）

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相关专栏 –

Fed hangs tough as wage growth gets real again

随着工资增长再次成为现实，美联储保持强硬态度

Simple twist of FAIT – Fed scents inflation victory

fait 的简单转折——美联储嗅到通货膨胀的胜利

Funds start 2023 short dollars, eyeing U.S. rate peak

基金开始2023年做空美元，盯上美国利率峰值

(By Jamie McGeever; Editing by Jacqueline Wong)

（杰米·麦吉弗（jamie mcgeever）；杰奎琳·王（jacqueline wong）编辑）