纽约，10月9日——债券市场正进入紧张时刻。自今年2月与伊朗的战争爆发以来，美国国债收益率大幅上升。10年期国债收益率已上涨约135个基点，达到5.23%；30年期国债收益率则从3月份的低位上涨约110个基点，至5.614%。这两种债券的收益率水平均为二十多年来的最高水平。
NEW YORK, Oct 9 - It is white-knuckle time in the bond market. US Treasury yields have risen sharply since the war with Iran began in February, with the 10-year yield up some 135 basis points to 5.23% and the 30-year yield up around 110 basis points from its March low to 5.614%. Both are trading at levels last seen more than two decades ago.
投资者正在关注债券抛售是否已开始形成自身动量。一些关键的技术指标显示，收益率可能进一步飙升，从而形成一种反馈循环，加剧市场压力。不过，也有理由相信，买家很快会入场，试图在收益率处于自乔治·W·布什执政以来最有利于投资者的水平时锁定收益。
Investors are watching whether bond selling is starting to create its own momentum. Some key technical measures suggest another surge to even-higher yields could be ahead, creating a feedback loop that amplifies the market stress, though there are also reasons to believe that buyers will soon step in, seeking to lock in yields at their most investor-friendly levels since George W. Bush was president.
“市场参与者正在重新调整他们的预期，”麦肯齐投资公司的固定收益策略师达斯汀·里德表示。以下是抛售可能加剧的四个迹象。
"People in the market are recalibrating their expectations," said Dustin Reid, fixed income strategist at Mackenzie Investments. Here are four signs that the selling could worsen.
投资者正在期权市场寻求对冲收益率上升的风险，这一现象被称为“买方偏斜”。投资者利用这些市场来对冲其投资组合在收益率大幅波动时的风险，而无需出售持有的国债。
Investors are seeking out protection against rising yields, referred to as the "payer skew," in the options market. Investors use these markets to insure their portfolios against a sharp move in yields without having to sell their Treasury holdings.
市场对短期对冲10年期美国掉期利率飙升的需求日益强烈，这使得未来三个月内对冲200个基点利率上涨的成本周一升至132个基点，为2023年3月硅谷银行倒闭引发的银行业危机以来的最高水平。
Demand for short-term protection against a jump in 10-year US swap rates has intensified, pushing the cost of insuring against a 200-basis-point rate rise over the next three months to 132 bps on Monday, highest since the March 2023 banking crisis triggered by the collapse of Silicon Valley Bank.
掉期利率指的是投资者为锁定固定利率而非支付浮动利率所需支付的成本。
Swap rates refer to the cost investors pay to lock in a fixed interest rate instead of paying a floating rate.
虽然期权与掉期利率挂钩，而非国债收益率，但两者通常同向变动。因此，“买方偏斜”的上升表明市场担忧长期国债收益率进一步走高所带来的风险。
While options are tied to swap rates rather than Treasury yields, the two typically move together, making the surge in payer skew an indication of concern about the risk of higher long-term Treasury yields.
隐含波动率是期权定价的关键输入指标之一，目前针对10年期掉期利率的1个月期期权，该指标已攀升至21.4个基点，为3月底以来的最高水平，反映出市场对长期收益率走势的不确定性正在加剧。
Implied volatility, a key input in option prices, has climbed to 21.4 basis points for one-month options on 10-year swap rates , the highest since late March, reflecting growing uncertainty over the path of long-term yields.
投资者表示，企业为支持人工智能基础设施建设而大幅增加发债，是此次抛售行情的重要推手。虽然利差依然保持收窄，但购买人工智能超大规模企业长期债券的投资者正利用国债市场对冲其久期风险——即对利率上升的暴露程度——而这一做法近期引发了市场抛售。
A major contributor to the selloff has been a surge in corporate issuance to support the AI buildout, investors said. Spreads have remained tight, but buyers of longer-term bonds issued by AI hyperscalers are using the Treasury market to hedge their duration risk, a measure of exposure to rising interest rates — a practice that lately has spurred selling.
“当一笔交易在午间完成定价后，下午所有人都在抛售国债期货，”专注于投资级信用资产的RBC BlueBay资产管理公司投资组合经理Neil Sun表示。那些未进行对冲的投资者有时也会直接抛售国债，为配置更高收益的投资级债券腾出空间。
"When a transaction prices midday, in the afternoon everyone is selling Treasury futures," said Neil Sun, portfolio manager at RBC BlueBay Asset Management, who focuses on investment-grade credit. Those who aren't hedging sometimes sell Treasuries outright to make room for higher-yielding investment-grade bonds.
高盛预测，超大规模企业明年可能发行创纪录的4200亿美元债务，这很可能意味着更多对政府证券的对冲或抛售行为。
Goldman Sachs predicts that hyperscalers could sell a record $420 billion in debt next year, which likely means more hedging or selling of government securities.
持有抵押贷款资产的投资者也在对冲国债市场的抛售风险。随着利率上升，抵押贷款支持证券的预期存续期会延长，使其对收益率进一步变动更加敏感，这种风险被称为久期风险。
Investors exposed to mortgage assets are also hedging against the selloff in Treasuries. As rates rise, the expected life of mortgage-backed securities extends, making them more sensitive to further moves in yields in what is known as duration risk.
投资者通常会通过增加利率对冲来抵消这种额外的久期风险，这一过程被称为凸性对冲。其中就包括抛售国债期货——这可能会进一步加剧整个债券市场的抛售压力。
Investors often respond by increasing interest-rate hedges to offset that added duration risk, a process known as convexity hedging. That includes selling of Treasury futures — which can add to selling pressure across bond markets.
“市场目前持有大量在过去三年中发行的抵押贷款，其票面利率与当前抵押贷款利率相对接近，”总部位于芝加哥的期货与期权产品开发公司Eris Innovations首席执行官Mike Riddle表示。他认为，这可能意味着未来还会有更多对冲操作，并指出本月九笔大额交易显示，抵押贷款投资者正急于保护自身头寸。
"The market is carrying a substantial cohort of mortgages originated over the past three years at coupons relatively close to current mortgage rates," said Mike Riddle, chief executive officer at Eris Innovations, a Chicago-based futures and options products developer. He said that could mean still more hedging, adding that nine large trades this month show investors in mortgages scrambling to protect their positions.
10年期与30年期收益率曲线的再度陡峭化是又一个警示信号，表明投资者要求为持有期限最长的政府债券索取更高的溢价。本周，10年期与30年期利差扩大至约37个基点，因为30年期收益率的上升速度快于10年期收益率。
The renewed steepening of the 10-year/30-year yield curve is another warning, suggesting investors are demanding a greater premium to hold the longest-dated government debt. The 10s-30s spread widened to about 37 basis points this week, as the 30-year yield rose faster than the 10-year's yield.
尽管此前收益率曲线也曾出现过更陡峭的情况，例如7月底时该利差曾达到52个基点，但此次变动发生之际，收益率已接近数十年来高位。这表明这一趋势越来越多地反映了期限溢价的上升，而非市场对美联储政策路径的广泛重新定价。更高的期限溢价意味着投资者要求为持有长期债券获得更高的补偿。
While the curve has been steeper before, including in late July when that spread reached 52 basis points, the latest move is unfolding with these yields already near multidecade highs. That suggests the move is increasingly reflecting a rising term premium, rather than a broad repricing of the Fed's policy path. A higher term premium suggests investors are demanding higher compensation to hold long-term debt.
固定收益资产管理公司F/m Investments的联合创始人亚历克斯·莫里斯（Alex Morris）表示：“投资者对10年期债券的兴趣明显高于30年期债券，因为他们认为，从更长时间段来看，美国财政状况出现问题的可能性要大得多。本质上，人们是在对财政部说：‘我不知道你们是否真的能控制住局面。’”
"There's just more interest in the 10s than the 30s on the part of investors, who see there's much more potential for things to go wrong in the fiscal picture" in the United States over the longer time frame, said Alex Morris, co-founder of fixed income asset management firm F/m Investments. "Essentially, people are telling the Treasury, 'I don't know if you guys have got this under control.'"