美国利率波动率的持仓情况：互换期权交易量下降，但波动率偏差为中性，有系统性短伽马活动上升的迹象。投资者在短期内为利率上升持仓，但长期存在下行风险。短期可赎回债券的左上角波动率供应也有所下降。

Interest Rate Derivatives Positioning in US interest rate vol Swaption volumes have fallen, but the vol bias is neutral,with signs of rising systematic short gamma activity. Investorsare positioning for higher rates in the near term, butdownside risk over the longer term. Topleftvol supply fromshort-tenor callables has also fallen. Amrut Nashikkar+1 212 412 1848amrut.nashikkar@barclays.comBCI, US Charley Chau+44 (0) 20 7773 4954charley.chau@barclays.comBarclays, UK Key themes from USD swaption SDR data Eveline Dong+1 212 526 9576eveline.dong@barclays.comBCI, US Theme 1: Investors neutral on vol, with diverging views across the grid •Reported volumes in swaptions have fallenafterrising last month (Figure 2), with mostactivity concentrated in short expiries. In aggregate, reported trades have been fairly neutralon vol. •Systematic short gamma trades have picked up, especially in 1m*10y, as implied vols havedeclined. But in the topleft,investors appear to be buying vol, likely to cover ratio spreadsand ladders that were reported previously (Figure 3). •The popularity of calendar spreads also increased, with trade such as 1y*1y vs 2y*1y straddlesand 1m*10y vs 3m*10y low strike receivers reported. Theme 2: Investors are positioning for higher rates/Fed on hold in the near term,but downside risk over the longer term •We see examples of shorter-expiry payer-based swaption structures such as 3m*1y ATM vsATM+25 payer spreads and 3m*30y ATM vs ATM+20 vs ATM+40 payer ladders/flies to positionfor moderately higher rates. •Receiver-based structures tend to have longer expiries, such as 1y*1y ATM-60 vs ATM-120receiver spreads and 1y*5y ATM-60 vs ATM-90 vs ATM-120 receiver ladders/flies. Total buying/selling flow of reportedoff-SEFswaption trades Source: DTCC SDR, Barclays Research Aggregate direction of reportedoff-SEFtrades US exchange-traded options Aggregate option positions across market participants The latest CFTC data (which are as of May 13, 2025) suggest that asset managers have remainednet long in 3m SOFR options, while leveraged funds became shorter compared to two weeksago. Asset managers are long delta in FV and TY and short delta in TU and US (at two-yearextremes). Meanwhile, leveraged funds hold short delta positions across the curve. Three-month SOFR options Options expiring in September have shown increases around ATM, led by structures such 1x1call spreads at 3.25% x 3.75% and 1x2x1 butterfly structures at 3.5% x 3.75% x 4%. For options SOFR midcurve options One-year mid-curve options expiring in June and September 2025 have shown some noticeableincreases in open interest across many strikes. Meanwhile, for two-year mid-curves, options US callable bond issuance We track the total amount of callables issued and the average coupon over the past four weeksacross tenors (columns) and first call dates (rows). •Callable issuance has declined over the past month compared with the start of the year. Thepeak issuance point on the vol surface in notional terms hasshiftedback to 3m1y. Figure 20 shows gross monthly issuance over the past five years until last month, as well as thesame monthly issuance broken down into tenors shorter than or equal to five years and tenorslonger than five years (on the right-hand side).Afterreaching a post-SVB peak in January 2025,issuance has been slowlydriftingdown lately. US loan market Figure 21 shows historical and upcoming syndicated loans in the US, based on Bloomberg data.Issuance has remained high since the beginning of 2024, with December 2024 the local high.Issuance in recent months has trended slightly downward. Figure 22 shows US domestically chartered commercial banks' commercial and industrial loans,with tracked values on theleftand y/y change on the right, based on the Fed's H8 data. Lendinghas remained range-bound at a high level in recent weeks. Year-over-year bank loan growthremains in positive territory, although this may not be correlated with cap/floor buying unlessthe market is concerned that the Fed may hike. Analyst(s) Certification(s):We, Amrut Nashikkar, Charley Chau and Eveline Dong, hereby certify (1) that the views expressed in this research report accurately reflect our personal views about any or all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will bedirectly or indirectly related to the specific recommendations or views expressed in this research report. Important Disclosures: Barclays Research is produced by the Investment Bank of Barclays Bank PLC and itsaffiliates(collectively and each individually, "Barclays"). All authors contributing to this research report are Research Analysts unless otherwise indicated. The publication date at the top of the report reflectsthe local time where the report was produced and maydifferfrom the release date provided in GMT. Availability of Disclosures: For current important disclosures regarding any issu