藏在美债里的“定时炸弹”！大摩：基差交易已膨胀至1.5万亿美元 警惕2020年市场风暴重演

Group 1 - The current scale of U.S. Treasury basis trading has expanded to approximately $1.5 trillion, highlighting the need for close monitoring to avoid a repeat of the market volatility seen in 2020 [1] - This trading strategy, primarily led by hedge funds, focuses on capturing small price discrepancies between the cash and futures markets of U.S. Treasuries, with the strategy's scale having increased by 75% compared to its peak in 2019 [1] - The rapid expansion of nominal trading volume has outpaced the issuance growth of U.S. Treasuries in recent years, indicating a significant shift in market dynamics [1] Group 2 - The current trading activity is not unprecedented, but it requires careful observation, especially during periods of tightening liquidity or market turmoil [1] - Risks are currently highly concentrated in 5-year Treasury futures contracts, followed by ultra-long and 10-year contracts, with increasing risk exposure in the mid-section of the yield curve [1] - In 2020, the cash performance of U.S. Treasuries lagged behind futures, contrary to the market environment that supports basis trading, leading to substantial losses for hedge funds and contributing to market volatility [1] Group 3 - The total scale of this trading strategy in 2020 was approximately $500 billion, only one-third of the current scale [2] - Global regulatory bodies have intensified scrutiny of this trading practice, with warnings from the Bank of England and the Bank for International Settlements regarding the potential threats to financial stability posed by the leveraged operations of a few large hedge funds [2]