Group 1 - The article highlights the significant demand for cold-rolled steel strips (轧硬) in the Boxin region, known as the "hometown of metal sheets in China," where many galvanized and color-coated processing plants are located, primarily focusing on exports [1] - A company, referred to as Company A, operates as a trader of cold-rolled steel strips in Boxin, with a monthly sales volume of 200,000 to 250,000 tons, and maintains a high level of inventory to serve local processing enterprises [2] - Due to market conditions and pricing factors, local processing enterprises have reduced their agreements with steel mills, leading to increased reliance on traders like Company A for procurement [1][2] Group 2 - Company A engaged in a hedging operation using the HC2505 contract to manage its inventory risk, with an initial basis of -160 yuan/ton, as the market faced pressures from various external factors, including U.S. tariff policies [3] - Following the Spring Festival, the demand for cold-rolled steel strips increased, leading to a strong performance in spot prices, while futures prices remained weak due to external influences, resulting in a widening basis to 30 yuan/ton [3] - Company A decided to close its hedging position after analyzing the market, believing that the basis would likely narrow in the future, while also purchasing out-of-the-money put options to further mitigate potential price declines [3] Group 3 - The hedging strategy allowed Company A to avoid risks associated with inventory devaluation after the Spring Festival, resulting in additional profits of several million yuan due to the basis expansion [4] - By investing a small amount in out-of-the-money put options, Company A effectively managed the risk of further price declines without increasing its overall risk exposure [4]

许多离岸对冲基金已经通过基差交易在比特币上赚取收益，而像Ethena这样的加密项目则为小型投资者 提供了通过以太坊基差交易获得回报的机会，目前已吸引了数十亿美元的资金。虽然该基金使用的基差 交易策略风险相对较低，但历史上基差交易也曾因使用过度杠杆而导致重大失误。对此，Coinbase表 示，该基金确实会使用一定程度的杠杆，但杠杆水平将保持在较低范围内。 该基金计划通过Coinbase及"其他合格托管方"来确保基础比特币的安全。Coinbase警告投资者，虽然目 标年化回报率超过4%，但"实际表现可能有重大差异"。不过，该公司同时表示，该基金比那些"承受过 多投资和运营风险"的竞争产品更为安全。 值得一提的是，该基金的种子投资者包括总部位于阿布扎比的私人财富管理平台Aspen Digital。Aspen Digital的首席执行官Elliot Andrews表示："Coinbase是该资产类别中最值得信赖的交易对手，结合投资 者对比特币收益产品的巨大需求，我们期待将这一产品推向私人财富市场。" 该基金将采用一种在其他金融领域常见的所谓"基差交易"(basis trade)策略。在加密货币领域，这一策略 被称为" ...

美债市场近期遭遇抛售，引发市场对美国政府债务的担忧。而在这一风波中， 对冲基金的"相对价值"交易策略(relative-value trades)被推上风口浪尖。 所谓的"相对价值"交易，通常旨在利用美国国债及其相关衍生品合约之间微小的价格差异，加以短期融资市场借入巨额资金，将微薄的利润转化为可观的回 报。 这些基金利用高杠杆，试图从美债及其衍生品之间的微小价格差异中获利， 如"基差交易"或"互换利差交易"，其持仓规模高达1万亿美元，杠杆率高达100 倍。 美债市场的流动性与对冲基金杠杆交易之间存在微妙平衡。根据美国证券交易委员会 (SEC) 的最新数据，对冲基金参与政府债务固定收益相对价值交易的规模 约为9040亿美元，这一数字在过去十年中几乎翻了一番。此外，对冲基金在3月中旬净卖空了1.14万亿美元的美债期货，关于基差交易本身的规模估计约为 8000亿美元，其对市场的影响依然巨大。 然而，高杠杆的使用意味着即使是小幅度的价格波动，也可能引发大规模的平仓，加剧市场波动。对于这个为美国政府融资、历史上充当全球金融安全避风港 并影响几乎所有其他证券定价的市场来说，是一个危险的发展。 4月8日一场疲软的美国国债拍 ...

Core Viewpoint - The U.S. Treasury bonds are experiencing a historic sell-off, with yields rising sharply, indicating a significant shift in market dynamics and investor sentiment [1][3]. Group 1: Market Dynamics - The 10-year U.S. Treasury yield surged by 16 basis points, followed by an additional increase of 13 basis points, surpassing the 4.5% mark, reflecting an unprecedented sell-off [1]. - The 30-year Treasury yield also rose above 5.0%, marking a significant increase from 4.4% on April 4, indicating a broader trend of rising yields across different maturities [1]. - Typically, U.S. Treasuries act as a safe haven during market volatility, but this time they have become a source of pressure on the financial markets [1]. Group 2: Investor Behavior - The structure of U.S. Treasury bond investors has changed significantly over the past decade, with individual investors and mutual funds increasing their shares to 10.3% and 19.3%, respectively, both rising by approximately 10 percentage points [5]. - Hedge funds, which have been betting on rising bond prices and falling yields, are under pressure to liquidate positions due to changing market conditions and margin requirements [5]. - Former Treasury Secretary Janet Yellen stated that China is unlikely to sell off its U.S. Treasury holdings, as such actions would harm its own interests and the global financial stability [5][8]. Group 3: Economic Policy and Trade Relations - Concerns over the Trump administration's "reciprocal tariffs" policy have exacerbated the sell-off in U.S. Treasuries, as market participants fear tightening financial conditions [3]. - Treasury Secretary Becerra criticized China for its retaliatory tariff measures, asserting that such actions could lead to further economic tensions [8]. - The potential for a financial crisis is highlighted by warnings from investment managers regarding liquidity issues reminiscent of past market disruptions [3].

以下文章来源于GTJAI宏观研究 ，作者张潇子骄、詹春立 GTJAI宏观研究 . 国泰君安国际首席经济学家 来源 | 张潇子骄 詹春立 来源 | GTJAI宏观研究 编辑 | 杨兰 审核 | 浦电路交易员 美债市场4月初遭遇显著抛售，基差交易（Basis Trade）平仓成为关键推动因素。该策略通过做多美债现货同时做空利率互换（IRS） 或国债期货的衍生品，利用两者收益率价差的历史收敛性获利。在"现券-互换"基差交易中，交易者构建久期中性组合，依托回购市场 20倍以上杠杆，以接近SOFR的成本获取融资，通过国债与互换固定利率间的价差实现较高年化收益。但该策略高度依赖市场流动性并 需押注掉期利差正向扩大预期，在宏观冲击下利差反向走阔可能引发本金大幅亏损，凸显其系统性脆弱特征。 高杠杆基差交易出现非线性溃败，引发美债市场抛售危机。在特朗普政府升级关税、主权减持预期、通胀担忧及拍卖疲软等多重利空 下，长端国债收益率快速攀升，而利率互换市场因银行资本约束反应滞后，导致Swap Spread反向扩大，与基差交易方向形成致命背 离。在20倍以上杠杆下，对冲基金面临保证金追缴被迫抛售国债并平仓互换空头，致10年期收益率两日 ...

Group 1: Hong Kong Stock Market Strategy - The Hong Kong stock market is expected to consolidate in the short term, with a "barbell" investment strategy recommended for balanced allocation[1] - After recent corrections, the Hong Kong stock market presents high investment value, supported by rising expectations of domestic counter-cyclical policies[1] - High-dividend stocks are likely to provide a certainty premium and may outperform in the current market environment[1] Group 2: Impact of Trump's Tariff Policies - Trump's tariff policies are expected to increase the tariff rate on China to 125%, potentially leading to a decline in corporate profits and reduced willingness to export to the U.S.[1] - The anticipated impact of tariffs could account for approximately 10% of China's total exports, affecting GDP by about 2%[1] - The market is likely to experience sideways movement due to uncertainties surrounding the implementation of tariffs and their economic implications[1] Group 3: U.S. Financial Market Volatility - The U.S. financial markets have experienced significant volatility, raising doubts about the effectiveness of fundamental and technical analysis[2] - A notable increase in U.S. Treasury yields, coupled with a decline in the dollar index, indicates a "trust crisis" in the dollar[2] - The Trump administration's tariff policies may lead to a reliance on achieving trade agreements to restore confidence in the U.S. economy[2] Group 4: Dollar Index and Credit Weakening - The dollar index has fallen significantly, reaching a two-year low of 99.01, primarily due to uncertainties surrounding Trump's tariff policies[3] - The weakening of the dollar's credit is accelerating, driven by a decline in U.S. economic advantages and an increase in de-dollarization trends[3] - The forecast for the dollar index has been adjusted to a range of 98-104, indicating a potential long-term weakening trend[3]

文 ： 华创证券研究所副所长 、首席宏观分析师 张瑜（执业证号：S0360518090001） 联系人：殷雯卿（19945767933） 核心观点 根据各金融市场距离美联储的远近，依次梳理美国金融市场目前存在的风险： 在岸货币市场：分为①联邦基金市场—— 观察指标为 EFFR 是否走高，现状是目前仍在正常水平。 ②回购市场 —— 观察指标为 SOFR-EFFR 利差转正，现状：近期利差反复转正，且 SOFR 利率已连续 2 天突破利率走廊 上限 IOER ，回购市场流动性紧张。 在岸资本市场：波动性加大，不过尚未达到历次危机时期的波动水平，后续仍需观察。该市场存在 3 大脆弱 性： ①脆弱性 1 ——美股美债同向性转正。 当前美国股债同向性较高，破坏了股债跷跷板原则下的资配基础，可能 带来在美股下跌过程中股债同跌，加剧流动性风险。 ②脆弱性 2 ——基差交易规模走高。 目前美债基差交易规模约 8000 亿美元，其高杠杆属性对资产价格高波动 敏感性高。已观察到 SOFR 互换利差、国债买卖价差走阔，反映国债市场流动性已在恶化，不过尚未达到历史 危机时的水平。 ③脆弱性 3 ——企业债到期高峰。 2025 年企业 ...

当地时间周五(4月11日)美股三大指数集体收涨，纳指涨超2%。 截至收盘，道琼斯工业平均指数比前一 交易日上涨619.05点，收于40212.71点，涨幅为1.56%； 标准普尔500种股票指数上涨95.31点，收于 5363.36点，涨幅为1.81%； 纳斯达克综合指数上涨337.14点，收于16724.46点，涨幅为2.06%。 本周， 标普累计上涨5.7%，创2023年11月以来最佳单周表现，纳指累涨7.29%，道指累涨4.95%。 以下文章来源于东方财富网 ，作者十字路口 东方财富网 . 东方财富网，中国财经门户，提供7*24小时财经资讯及全球金融市场报价，汇聚全方位的综合财经新闻 和金融市场资讯。 柯林斯指出，"紧急降息不会是应对市场运行恶化的主要工具。我们通常用于货币政策的核心利率工 具，并不是工具箱中唯一的工具，而且可能也不是解决流动性或市场运行问题的最佳手段。美联储目前 还拥有一些'常设机制'，这些机制已经在运行，可以进一步支持市场运作。" 她强调，美联储是否干预将取决于"我们观察到的具体市场状况"。 （图片来源： 东方财富APP，统计截至2025/4/11，不作投资推荐） 大型科技股普涨，苹 ...

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 ...