Analysis-SVB collapse unleashes Treasury volatility, whiplashing investors

NEW YORK (Reuters) – Extreme volatility is rattling U.S. Treasury markets in the wake of Silicon Valley Banks collapse and investors fear a prolonged bout of gyrations before calm returns to bond markets.

纽约（路透社）——硅谷银行倒闭后，美国国债市场剧烈波动，投资者担心在债券市场恢复平静之前会出现长期波动。

One measure of expected volatility in U.S. Treasuries – the ICE BoFA MOVE Index – has surged past its COVID-era high and now stands around levels last seen in the financial crisis. The yield on the two-year note saw its biggest one-day drop since October 1987 on Monday afternoon, while the benchmark 10-year yield fell to its lowest level since Feb. 3.

衡量美国国债预期波动性的一项指标——ice bofa move 指数——已飙升至 covid 时代的高位，目前处于金融危机以来的最低水平附近。周一下午，两年期国债收益率创下 1987 年 10 月以来的最大单日跌幅，而基准 10 年期国债收益率跌至 2 月 3 日以来的最低水平。

Investors had been extremely bearish on Treasuries going into last week, when Federal Reserve Chair Jerome Powell told lawmakers the central bank might have to raise rates higher than expected to cool growth and tame inflation. The Fed chiefs hawkish message helped push yields, which move inversely to prices, to their highest levels in years.

上周美联储主席杰罗姆鲍威尔告诉立法者，央行可能不得不将利率上调至高于预期的水平，以抑制经济增长和抑制通胀，投资者一直对美国国债极为看跌。美联储主席的鹰派信息帮助将与价格成反比的收益率推高至多年来的最高水平。

But the rapid collapse of Silicon Valley Bank as well as the fall of Signature Bank forced traders to reverse their bets on higher rates amid growing expectations the Fed would pause or slow its rate increases to avoid exacerbating stress in the banking sector. As investors piled back into Treasuries, yields plummeted.

但硅谷银行的迅速倒闭以及 signature bank 的倒闭迫使交易员改变对加息的押注，因为人们越来越预期美联储将暂停或放缓加息以避免加剧银行业的压力。随着投资者重新买入美国国债，收益率暴跌。

“A bulk of market participants have not experienced a rate hike regime from the Fed nor a large bank failure, let alone simultaneously,” said David Klusendorf, chief investment officer at hedge fund Typhon Capital Management. “Expect thinner markets and greater price action until expectations become clearer how many banks are truly affected.”

对冲基金 typhon capital management 的首席投资官 david klusendorf 表示：“大部分市场参与者都没有经历过美联储的加息机制，也没有经历过大型银行倒闭，更不用说同时经历了。” “在有多少银行真正受到影响的预期变得更加清晰之前，预计市场将更加清淡，价格走势将更加活跃。”

He said that based on his interactions with market participants, most of the short covering came from high frequency trading hedge funds.

他表示，根据他与市场参与者的互动，大部分空头回补来自高频交易对冲基金。

Hedge funds entered February holding a massive bearish – or short – position in two-year U.S. Treasuries futures, according to data from the Commodity Futures Trading Commission going back to the week ending Feb. 7.

根据商品期货交易委员会截至 2 月 7 日当周的数据，对冲基金在 2 月份持有两年期美国国债期货的大量看跌或空头头寸。

The data has lagged by three weeks due to a cyber attack a month ago on the derivatives platform of ION Group, which has delayed trading firms reporting.

由于一个月前对 ion group 衍生品平台的网络攻击，导致交易公司报告延迟，数据滞后了三周。

The short bets further lifted rates on short-term Treasuries above longer term ones, helping push a closely watched part of the U.S. Treasury yield curve to its deepest inversion since 1981.

空头押注进一步将短期美国国债的利率推高至高于长期利率，这有助于将美国国债收益率曲线中备受关注的部分推向自 1981 年以来最严重的倒挂。

One of the most profitable trades over the last year or so for hedge funds has been “being short global sovereign bonds to take advantage of the rise in yields as central banks fight inflation by raising rates,” said Michael Harris, president of Quest Partners, a hedge fund with $2.66 billion in assets under management.

quest partners 总裁迈克尔哈里斯表示，过去一年左右，对冲基金最赚钱的交易之一是“做空全球主权债券，以利用收益率上升的机会，因为央行通过加息来对抗通胀”，管理着 26.6 亿美元资产的对冲基金。

After the big reversal in recent days, “theres definitely been some pain for the hedge fund industry,” he said.

在最近几天的大逆转之后，“对冲基金行业肯定会有些痛苦，”他说。

Michael Purves, chief executive of Tallbacken Capital, said “a huge part of the thing looks like a short squeeze,” a phenomenon in which a rising price forces bearish investors to unwind their bets by buying back Treasuries.

tallbacken capital 首席执行官迈克尔·珀维斯 (michael purves) 表示，“这件事的很大一部分看起来像是轧空，”这种现象是价格上涨迫使看跌的投资者通过回购美国国债来平仓。

As of late last week, investors had largely been bracing for a 50-basis-point increase at the Fed‘s March 21-22 meeting, but that hefty hike has been priced out of expectations since the SVB crisis upended financial markets. Odds of a 25-basis-point hike are about 75%, with 25% chance of no hike at the meeting, according to the CME Group’s FedWatch tool as of Monday afternoon.

截至上周晚些时候，投资者基本上都在为美联储在 3 月 21 日至 22 日的会议上加息 50 个基点做准备，但自从 svb 危机颠覆金融市场以来，这一大幅加息已超出预期。截至周一下午，根据 cme group 的 fedwatch 工具，加息 25 个基点的可能性约为 75%，会议不加息的可能性为 25%。

U.S. banking regulators pledged on Sunday to ensure depositors at the now-shuttered Silicon Valley Bank would have access to their funds and set up a new facility to give banks access to emergency funds. The Federal Reserve also made it easier for banks to borrow from it in emergencies.

美国银行业监管机构周日承诺，将确保现已关闭的硅谷银行的储户能够使用他们的资金，并设立一个新设施，让银行能够获得应急资金。美联储还让银行在紧急情况下更容易向其借款。

To be sure, falling yields and expectations of a more dovish Fed underpinned yield-sensitive areas of the market such as technology stocks on Monday. That helped limit the S&P 500s losses – the index closed down only 0.15% despite sharp declines in bank shares.

可以肯定的是，周一收益率下降和对美联储更加温和的预期支撑了市场对收益率敏感的领域，例如科技股。这有助于限制标准普尔 500 指数的跌幅——尽管银行股大幅下跌，该指数收盘时仅下跌 0.15%。

Investors are awaiting U.S. CPI data on Tuesday, which some worry could force them to rethink their rate expectations once again if it shows that inflation has remained hot despite a barrage of rate hikes from the Fed over the past year.

投资者正在等待周二公布的美国 cpi 数据，一些人担心，如果该数据显示尽管美联储在过去一年一连串加息，但通胀仍然很高，这可能会迫使他们再次重新考虑他们的利率预期。

The S&P has pared its year-to-date gains and is now up only 2.89% in 2023, after falling 19.4% in 2022.

标准普尔指数已经削减了今年迄今的涨幅，在 2022 年下跌 19.4% 之后，目前在 2023 年仅上涨 2.89%。

Over the longer term, sustained rate volatility is unlikely to be good for stocks, said Purves, of Tallbacken Capital.

tallbacken capital 的 purves 表示，从长期来看，持续的利率波动不太可能对股市有利。

“If volatility in rates continues to be high, its going to tighten financial conditions and make it harder for equities to have a sustained rally,” he said.

“如果利率波动持续高企，金融环境将收紧，股市更难持续上涨，”他说。

(Reporting by Carolina Mandl; Writing by Ira Iosebashvili; Editing by Shri Navaratnam)

（carolina mandl 报道；ira iosebashvili 撰文；shri navaratnam 编辑）