美国利率上演“波动性末日”，华尔街热门对冲策略失效

Core Insights - The volatility of long-term interest rates has recently plummeted, causing difficulties for popular financial market hedging strategies on Wall Street [1][2][3] - Quantitative Investment Strategies (QIS) have been developed by banks to provide protection against significant economic risks, primarily through swap contracts [1][3] - The implied volatility of 10-year/20-year swaptions has experienced its largest monthly decline since November 2023, leading to an average loss of 2.6% for QIS strategies this month [1][3][6] Group 1: Market Dynamics - The sudden drop in volatility has transformed previously defensive positions into sources of loss, with some strategists referring to this phenomenon as "volmaggedon" [3] - The decline in long-term interest rate volatility is attributed to investors unwinding hedges related to mortgage-backed securities (MBS) [3][4] - A general decrease in volatility across various markets is linked to expectations that the Federal Reserve will continue to lower interest rates, which supports risk appetite and the U.S. economy [3][4] Group 2: Technical Factors - The attractiveness of long-term interest rate volatility as a hedging tool has diminished as the short-term volatility has also begun to decline, eroding the previously advantageous yield spread [5][6] - The Bank of America MOVE index, which tracks expected interest rate volatility, recently fell to its lowest level in nearly four years, indicating a significant shift in market sentiment [6] - Concerns are rising about potential further deleveraging in the QIS sector, as the performance of different QIS products may vary due to design differences [6] Group 3: Future Outlook - Despite the current decline, some analysts believe that the drop in long-term interest rate volatility may not be sustained, as large-scale liquidations of QIS products have not yet occurred [7] - Transactions that may show slightly negative yield spreads can still be justified if they help investors hedge against risks such as U.S. debt default or political instability in Europe [7]