美国利率观察：漫长的告别

Long goodbye Longs find the exit 18 May 2026 Longs have capitulated across the curve, leaving only limited residualout of the moneyexposure, while shorts now dominate and sit largely in the money. Global assetmanagers are also contending with potential Fed hikes & are adjusting positioningaccordingly (see:Fed hikes enter the chat). CTAs are stretched short and increasingly sofurther out the curve. At the same time, active managers remain underweight USTs and Rates ResearchUnited States Meghan Swiber, CFARatesStrategistBofASmeghan.swiber@bofa.com The key tension is in flows. Even as positioning washes out and longs exit, higher yieldsare drawing money back in. Fund inflows have accelerated—led by Agg, short-duration,and IG—while long-duration funds see outflows, signaling shift toward shorter WAM. Eleanor XiaoRates StrategistBofASeleanor.xiao@bofa.com US Rates ResearchBofAS Foreign dynamics add another layer. Japanese investors remained net sellers throughMarch, though extent of recent FX intervention selling is still unclear. For now, there islimited evidence of large, sustained official UST liquidation, but the risk remains if See Team Page for List of Analysts CFTC: Commodities Futures TradingCommission Exhibit1: Curve-o-meterRates to trade like positioning is modestly short & in flattener; residual out of the money longs continue to bias rates to selloff CTA: Commodity Trading Adviser FV: Treasury 5Y contract US: Treasury 20Y contract. UST: Treasury Security SF: SOFR Futures TY: Treasury 10Y contract TIC: Treasury International Capital WN = Treasury 30Y contract BofA GLOBAL RESEARCH SeeAppendixon page 23 for a detailed listof abbreviations and acronyms. Long capitulation Our futures positioning proxy shows that out of the money longs were closed across thecurve last week (Exhibit 11andExhibit 12). Long exposure has thinned across the curve,with only residual OTM longs in TU, TY, and WN. Shorts now dominate and sit largelyITM. Positioning still skews bearish, with net OTM longs keeping a selloff bias intact. Reportcontinued on subsequent pages… Trading ideas and investment strategies discussed herein may give riseto significant risk and arenot suitable for all investors. Investors should have experience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies.BofA Securities does and seeks to do businesswith issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision. CTAs are at stretched shorts across the curve Our systematic strategies team sees stretched CTA shorts shifting from the front end tothe long end in recent weeks (Exhibit 2&Exhibit 3, seeFlows monitor). They note the next moves in positioning will be largely dependent on vol. Should futures continue todecline on lower vol, shorts could continue to grow, but if vol increases, they we would Exhibit3:30y contract CTA positioning across different lookbackmodels Asset managers also get shorter Asset managers largely added to shorts or closed longs last week (Exhibit 9). Net shortswere increased across all points besides US & WN. New longs were only created at thelong end of the curve, pointing to some flattener repositioning. Total flows over the last Active funds are OW spreads, UW USTs Active benchmark Agg funds remain underweight (UW) USTs and overweight (OW) MBS& IG (Exhibit 43-Exhibit 48). They are also relatively neutral curve. Over the past month,the biggest change in positioning has been the growing IG overweight. Spreadoverweights have supported active performance with IG & MBS outperforming USTs Higher yields have driven inflows & WAM shortening Positioning still looks broadly short, but fund flows have firmed as duration sold off(Exhibit 37). US FI funds took in $18bn last week—2x the 12‑week pace. Inflows wereled by Agg, short gov, and IG, while long gov was the lone outflow, reinforcing a shift toshorter WAM alongside renewed hike pricing. Japanese private investors sell in March MoF data released last week shows Japanese private investors sold $14bn of USTs inMarch after $18bn of sales in Feb, when rates were at low end of recent range. Much ofthe selling was driven by banks, though pensions & lifers were active sellers as well(Exhibit 35). In recent weeks however, foreign private bond holdings have been inflecting Potential of JPY intervention signs in Fed dataRecent suspected JPY intervention has raised questions on funding source and whether it drove UST sales. Our JPY strategists estimate ~$72bn intervention flow—potentiallylargest since‘22—with implied UST sales of $40–50bn (see:Japan Rates and FX Watch). Initial changes in foreign RRP & custodial flows showed little evidence of foreign salesthe week before or after sus