Core Viewpoint - The article discusses the significant impact of President Trump's tariff policy on the financial markets, leading to substantial losses and concerns about the stability of the financial system, prompting questions about the Federal Reserve's potential interventions [1][2]. Group 1: Market Reactions and Concerns - The stock market experienced losses amounting to trillions of dollars following the introduction of new tariff policies, causing trading stagnation on Wall Street and prompting hedge funds to liquidate high-risk trades [1]. - Concerns are rising about the potential risks within the financial system due to the scale of the market disruptions, leading to discussions on what actions the Federal Reserve might take to stabilize the situation [2]. - The Bloomberg index indicates that U.S. financial conditions have deteriorated to their worst level since May 2020, reflecting increased financial pressure across various markets [2]. Group 2: Federal Reserve's Potential Actions - The Federal Reserve is likely to intervene only when clear signs of market dysfunction appear, such as a freeze in capital flows, which could hinder trading activities [2][3]. - The Fed's decision-making is complicated by a resilient labor market and persistent inflation issues, which may limit its ability to lower interest rates or take actions that could further increase prices [3]. - Historical instances of Federal Reserve interventions highlight the need for a proactive approach in times of market distress, as seen in past crises [6]. Group 3: Historical Context of Federal Reserve Interventions - The article outlines five significant instances where the Federal Reserve intervened in the financial markets, including the 1998 hedge fund crisis, the 2001 economic turmoil post-9/11, the 2007-08 global financial crisis, the 2020 pandemic response, and the 2023 regional banking crisis [6][7][11][14][18][21]. - Each instance illustrates the Fed's role in providing liquidity and stabilizing markets during periods of extreme financial stress, emphasizing the importance of timely intervention [7][11][14][18][21].

转自：新华财经 近期美债的大幅抛售扰乱了全球市场，引发了人们对推动这种波动的力量的质疑。尽管通胀预期和美联 储政策仍是主要的长期驱动因素，但近期动荡背后可能有一个更为直接和技术性的因素：被称为"基差 交易"的杠杆对冲基金策略的大规模平仓。这种交易的机制是如何运作的，它为什么会瓦解，以及它是 如何导致债券和股票同时下跌的，本文将回答这个问题。 基差交易：美债市场套利 所谓基差交易，是对冲基金常用的一种相对价值策略，尤其是那些从事固定收益套利的对冲基金。这种 交易包括在现货市场买入美债，同时卖出等价的美债期货合约。其目的是从两种金融工具之间的价差 或"基准点"中获利。 在正常的市场条件下，美债期货和标的债券价格应该在期货合约到期时趋于一致。然而，价格上的些微 偏差——通常是由于资金、流动性或交割期权的差异——会创造套利机会。这些定价效率低下的情况通 常很小，因此交易严重依赖杠杆来产生有价值的回报。 为了购买美债现券，对冲基金利用回购市场，以相对较低的利率借入债券。这就形成了一个高度杠杆化 的头寸，只有在基差保持可预测和稳定的情况下才能盈利。 在过去的几个月里，美债市场的波动性明显增加。这在一定程度上是由于持续的通 ...

Core Viewpoint - The article highlights the alarming increase in leverage among major hedge funds involved in basis trading, raising concerns about potential market instability and the need for Federal Reserve intervention to prevent a crisis similar to past financial collapses [1][7][23]. Group 1: Hedge Fund Leverage and Basis Trading - Major hedge funds, including Millennium, Citadel, and Balyasny, have seen their regulatory leverage nearly double since the onset of the COVID-19 pandemic, approaching levels seen before the collapse of Long-Term Capital Management (LTCM) [1]. - The leverage used in these trades is reported to be around 20 times, indicating a high-risk environment for these institutions [4]. - A mere 5% loss in these leveraged positions could lead to catastrophic outcomes for the funds involved [7]. Group 2: Market Reactions and Implications - The current market conditions are characterized by a significant sell-off in U.S. Treasuries, with a record increase in yields, attributed to panic selling by hedge funds [12][14]. - The 10-year Treasury yield has surged by 50 basis points in just two days, reflecting the extreme volatility and fear in the market [14][16]. - The liquidity crisis is affecting all markets, leading to stock market declines and a potential dollar shortage due to the unwinding of synthetic dollar shorts [21]. Group 3: Federal Reserve's Role and Potential Actions - The Federal Reserve is under pressure to intervene, with discussions around potential measures such as rate cuts or quantitative easing to stabilize the market [18][22]. - There is a growing sentiment that the Fed may need to act soon, especially with significant events like the upcoming 10-year Treasury auction that could test market liquidity [21]. - The paradox exists where increasing liquidity issues could be misinterpreted as inflationary signals, complicating the Fed's decision-making process [21].

点击小程序查看报告原文 当地时间4月8日，美国市场出现股债汇三杀，两个交易日内10年期美债利率从低点3.9%附近一度拉升至4.5%，市场开始担忧对冲基金基差交易（basis trade）去化带来的流动性风险。我们在 《特朗普"大重置"：债务化解、脱虚向实、美元贬值》 《美债季报：第二个流动性拐点》 中持续提示， 对冲基金 通过基差交易可能积累了1-1.5万亿美元规模的美债现货持仓。贸易摩擦带来的波动很有可能 促使基 差交易快速去化，进而导致债杀。 美债居于美元流动 性派生的核心（参见 《新宏观范式下的金融裂缝》 ），债杀易导致短端融资的核心抵押品快速缩水，造成流动性紧缩。而今年5-6月如果债务上限问题得 到解决，美债发行量增加，可能进一步吸收流动性。 我们提示，美国系统性金融风险的概率和美联储开启QE的概率在提升。 什么是基差交易？ 基差交易横跨美国国债现货、期货和回购三个市场，利用现货与期货市场价差实现套利[1]。 由于国债期货较现货往往存在溢价，且溢价水平随着期货到 期日接近而减小（图表1），投资者可以通过做多国债现货（价格较低）并做空国债期货（价格较高），并等待期货交割。做多现货的资金可从回购市场 获得 ...

如果 特朗普试图通过制造经济衰退来降低利率 ，以缓解36万亿美元国债压力，那么现在看来， 这个计划可能已经失败，并将带来灾难性的后果。 来源 | 华尔街见闻 | 4.430 +0.170 (+ 3.99%) | | --- | | 北京 | 图表 | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 1m | 5m | 15m | 30m | 1H | 4H | 1D | 1W | 1M | | | | रे | | 4.500 | | | | | | | | | | | | | | 4.400 | | | | | | | | | | | | | | 4.300 | | | | | | | | | | | | | | 4.200 | | | | | | | | | | | | | | 07:45 | | 12:00 | | | 16:16 | | 20:30 | | 00:45 | 05:00 | 10:00 | 14:1 | " 美债市场正在崩溃 "， ...

Group 1 - The core viewpoint of the articles highlights the volatility in the U.S. Treasury market due to tariff news, leading to increased selling pressure on U.S. bonds and a rise in yields [1][2] - The 10-year U.S. Treasury yield rose by 18.92 basis points to 4.1835% by the end of trading on April 7, while the 2-year yield increased by 11.10 basis points to 3.7629% [1] - Short- to medium-term Treasury yields saw increases of over 10 basis points, while long-term yields (20-year and 30-year) rose by more than 20 basis points [1] Group 2 - The market reaction to President Trump's announcement of "reciprocal tariffs" initially led to a drop in Treasury yields, but subsequent developments caused a sell-off [1] - Reports of potential suspension of tariffs by the White House led to a strong rebound in U.S. stock indices, with the Nasdaq recovering from a 5% drop to a 4.3% gain, reflecting significant market volatility [1] - Hedge funds are reportedly reducing leverage and moving towards cash to mitigate market risks, leading to a wave of Treasury selling [2]