海外周报第84期：对冲基金基差交易引发美债市场脆弱性担忧-2025-03-31

Group 1: Market Vulnerability - Concerns about the U.S. Treasury market's vulnerability arise from the continuous growth of Treasury supply and hedge funds' basis positions, which could lead to a severe liquidity crisis under external shocks[1] - The vulnerability stems from three main factors: high-leverage basis trading by hedge funds, limited buffering capacity of broker-dealers, and increased Treasury supply exacerbating market fragility[1] - Hedge funds' high leverage in basis trading is identified as the primary source of market vulnerability, relying on short-term financing to hold large positions[4] Group 2: Policy Recommendations - Traditional policy tools like adjusting leverage ratios and increasing initial margins have limitations and cannot address the fundamental weaknesses of basis trading[5] - Kashyap et al. (2025) suggest that the Federal Reserve should consider a strategy of purchasing Treasuries while shorting futures to hedge interest rate risks, maintaining duration neutrality without altering monetary policy stance[5] - This hedging approach offers four advantages: clear distinction between market function and monetary policy, flexibility in exit strategies, reduced interest rate risk exposure, and mitigation of moral hazard[5] Group 3: Market Dynamics - The U.S. Treasury market is currently facing a crisis plan proposal, which would involve closing out high-leverage hedge fund trades if a crisis occurs in the $29 trillion Treasury market[2] - The continuous increase in Treasury supply leads to larger leveraged positions by hedge funds in basis trading, with empirical evidence showing that for every $10 billion increase in Treasury issuance, hedge fund futures short positions expand by $500 million[32]