债券月报 | 美债期货波动：是系统性平仓，还是互换利差的反应？

Core Viewpoint - The article discusses the recent volatility in the U.S. Treasury futures market, attributing it to regulatory expectations, particularly regarding the Supplementary Leverage Ratio (SLR) and its impact on swap spreads and market liquidity [4][10][13]. Group 1: U.S. Treasury Market Dynamics - The U.S. Treasury futures market has experienced significant volatility since April, particularly in the 10-year contract, raising concerns about potential large-scale unwinding of basis trades [4][10]. - Analysis of positions and trading data indicates that there is insufficient evidence to suggest a massive unwinding of basis trades, as the open interest in 2Y, 5Y, and 10Y contracts has only decreased by 1%-5%, which is much less than the 15%-25% drop seen during the 2020 pandemic [7][10]. - The current volatility is primarily driven by market expectations regarding regulatory changes, specifically discussions around SLR exemptions, which could affect banks' ability to expand their balance sheets and increase liquidity in the Treasury market [10][13]. Group 2: Chinese Dollar Bond Market Insights - Following the announcement of new tariffs on Chinese products in early April, there has been a notable increase in risk aversion within the Asian dollar bond market, although credit spreads have not widened significantly [14][16]. - The valuation advantage of Chinese dollar bonds has become more pronounced, with the OAS of U.S. investment-grade corporate bonds widening by approximately 20 basis points, while Chinese dollar bonds only widened by about 14 basis points, indicating a potential undervaluation [14][16]. - Despite a downgrade in China's long-term foreign currency issuer rating by Fitch, Chinese dollar bond credit spreads have remained relatively stable, reflecting investor confidence in the credit quality and refinancing risks of Chinese enterprises [16][19]. Group 3: Asset-Backed Securities and Mortgage Market - The U.S. mortgage market has seen tightening credit conditions, particularly affecting ordinary loan applicants, although the overall mortgage availability index has slightly improved due to relaxed restrictions on Jumbo loans [20][21]. - The structural changes in the MBS market, driven by a reduction in government roles in housing finance, suggest a shift towards non-agency and high-net-worth client segments, indicating a need for investors to focus on high-quality MBS assets [23].