要预测债券收益率的下一波大幅上涨，请密切关注美国国债期货的细则。
Look to the fine print of Treasury futures for the next big jump in bond yields.
随着美国30年期国债收益率日益逼近6%，这一趋势可能引发期货市场的剧烈波动。投资者广泛利用期货对冲政府债券头寸，杠杆基金也常用其执行诸如流行的“基差交易”等策略。这与期货的运作机制有关。美国国债期货是交易所交易的协议，约定在特定日期以固定价格买卖国债。其交易受合同条款约束，这些条款规定了空头头寸的交易者可以向多头头寸的交易者交付哪些类型的标的证券，而通常有多种证券符合资格。交易者随后会从中挑选“交割成本最低”（CTD）的证券，而期货合约的价格也会随之波动。
As US 30-year securities head ever closer toward 6%, the move threatens a shakeup in futures, which are widely used by investors to hedge government bond positions, and by leveraged funds in strategies such as the popular “basis trade.”It has to do with the mechanics. US bond futures are exchange-traded agreements to buy or sell Treasuries at a set price and date. They’re governed by contract terms that dictate what type of underlying securities are allowed to be delivered by traders with short positions to those with long positions, and several typically qualify. Traders then identify the one that’s cheapest to deliver, or “CTD,” and the price of the futures contract tracks it.
当收益率迅速上升时，正如目前所发生的那样，可交割证券组合的定价机制会发生变化，CTD证券也会逐渐向久期更长的债券转移。这迫使资产管理人适应这种所谓的“久期调整”或“CTD切换”，即通过出售国债期货来应对。BNP的策略师们（包括Guneet Dhingra、Sebastian Mauleon和Vincent Zhou）在最近的一份报告中指出，此举“可能加剧现货市场中长期端收益率的上升”。
When yields rise rapidly, as is happening now, the pricing dynamics of the deliverable basket of securities are altered, and the CTD starts to migrate toward a longer-maturity bond. This forces asset managers to adjust to this so-called duration shift, or “CTD switch,” by selling Treasury futures, which in turn “could exacerbate the rise in long-end yields” in the cash market, according to a recent note by strategists at BNP, including Guneet Dhingra, Sebastian Mauleon and Vincent Zhou.
为了在CTD向久期更长的债券转移时维持投资组合的久期目标稳定，交易者需要卖出多头期货头寸，同时买回空头头寸。这些动态如何相互作用以及发生的时间点，都可能对标的债券产生溢出效应。
To maintain a stable duration target in a portfolio as the CTD shifts toward longer-duration bonds, long futures positions would need to be sold while short positions would need to be bought back. Depending on how these dynamics interact and at what times, this can cause spillover effects in the underlying bonds.
市场关注点主要集中在久期更长的债券上，尤其是长期国债合约，其当前的CTD证券是2045年2月到期的2.5%利率债券。彭博社的情景分析显示，如果30年期国债收益率升至接近6%，CTD可能会转向2050年到期的债券。
Focus is on the longer maturities, notably the long-bond contract where the current CTD security is the 2.5% February 2045 bond. A Bloomberg scenario analysis shows that a 30-year yield rise to near 6% could result in a CTD shift to a 2050 maturity.
周一，30年期国债收益率升至5.68%，接近近期高点，并达到了自2002年以来未曾出现过的水平。
On Monday, 30-year yields climbed to 5.68%, near their recent highs and in a range not seen since 2002.
近期的持仓数据显示，投资者已经开始进行这些调整。近几周，资产管理机构一直在削减长期债券和超长期债券期货的净多头头寸，而这一时期，30年期国债收益率曾大幅升至5.6%以上。根据高盛集团（Goldman Sachs Group Inc.）近期发布的一份报告，乔治·科尔（George Cole）和威廉·马歇尔（William Marshall）等策略师认为，长期期货头寸的下降很可能是“对潜在国债期货CTD转换所引发的久期延长风险进行主动管理”的信号。
Recent positioning data suggests that investors are already starting to make these adjustments. Asset managers have been reducing net long positions in the long-bond and ultra-long bond futures in recent weeks, a time when 30-year yields moved sharply higher past 5.6%. For Goldman Sachs Group Inc. strategists including George Cole and William Marshall, the drop in long futures positions is likely a sign of “active management of the duration extension risk associated with potential Treasury futures CTD switches,” according to a recent note.
美国商品期货交易委员会（Commodity Futures Trading Commission）的最新数据显示，超长期债券合约出现了大规模抛售。在截至9月29日的一周内，随着30年期国债收益率从5.28%升至高达5.62%，资产管理机构将其超长期期货的净多头头寸减少了近10万份合约——这一规模相当于每基点1500万美元的风险敞口，或相当于当前30年期现金债券110亿美元的规模。同期长期债券合约中更为细微的持仓变化表明，对于该期限而言，CTD转换风险及相关的被迫抛售风险依然存在。
The latest data from the Commodity Futures Trading Commission showed aggressive selling of ultra-long bond contracts. In the week up to Sept. 29, when 30-year yields rose from 5.28% to as high as 5.62%, asset managers cut their net long in ultra-long futures positioning by almost 100,000 contracts — an amount equivalent to $15 million per basis point in risk, or $11 billion’s worth of the current 30-year cash bond. A more subtle positioning shift in the long-bond contracts over the same period signals that the CTD switch risk and associated forced selling is still live for that tenor.
“超长期债券已经转向了久期更长的CTD，但长期债券期货的久期延长风险仍然存在，”日本住友银行（SMBC）的利率策略师蒙蒂·甘地（Monty Gandhi）表示。
“The ultra-long bond has already shifted to the higher duration CTD but the long-bond futures still has upside risk to duration extension,” said Monty Gandhi, a rates strategist at SMBC.