美债流动性系列之一：美债市场脆弱性来源

1. Report Industry Investment Rating No industry investment rating information for the U.S. Treasury bond market is provided in the report. 2. Core Viewpoints of the Report - Over the past decade, the U.S. Treasury bond market has experienced multiple liquidity events. The vulnerability of the U.S. Treasury bond market stems from changes in the market intermediary system and the investor structure, both of which are long - term influencing factors. This indicates that the current market ecosystem of U.S. Treasury bonds is more fragile than it was a decade ago. If the supply - demand pattern of U.S. Treasury bonds changes unfavorably, such as a short - term concentrated supply or increased market volatility due to policy uncertainties, liquidity risks may re - emerge [3][4]. 3. Summaries Based on Related Contents Market Intermediary System Changes - The market - making system in the secondary market of U.S. Treasury bonds has weakened. Since the 2008 financial crisis, overseas regulations have become stricter. The market - making ability of primary dealers, mostly affiliated with bank - holding companies, is restricted by capital requirements. The enhanced supplementary leverage ratio (eSLR) in 2014 limited the expansion ability of primary dealers' balance sheets and their intermediary business related to Treasury bonds. Compared with the rapid expansion of the U.S. Treasury bond stock, the growth of primary dealers' Treasury bond intermediary business has been slow, and the proportion of their total Treasury bond positions and financing scale in the balance of outstanding Treasury bonds has decreased [3][6]. - Principal Trading Firms (PTFs) that engage in high - frequency trading have emerged and assumed some market - making functions. However, PTFs have small amounts of their own funds, are less regulated, have high leverage, and rarely hold overnight positions. They can only provide intraday liquidity and cannot fully replace traditional dealers [3][6]. Investor Structure Changes - Since 2013, as countries diversify their reserve assets, the proportion of overseas official investors with low price sensitivity in U.S. Treasury bond holdings has declined, while the proportion of mutual funds with leverage and redemption pressure in U.S. Treasury bond holdings has increased. As of Q4 2024, the proportion of broad - based mutual funds (including money market funds and ETFs) in U.S. Treasury bond holdings has risen from about 9% in 2011 to about 19% [3][12]. - Asset management institutions' increasing use of derivatives has led to profitable arbitrage opportunities between U.S. Treasury bond cash and futures, attracting hedge funds to participate in basis trading (long cash bonds and short futures) with high leverage. As of May 2025, hedge funds hold 8 million net short contracts of U.S. Treasury bonds, with a notional risk exposure of over $1 trillion, accounting for about 3.6% of the outstanding U.S. Treasury bonds. In times of high market volatility, these high - leverage and homogeneous basis trades may be forced to close, triggering a liquidity tightening spiral [3][15].