今天美债的流动性真空，讨论度很高，星球的微信群都聊这个...

找了2篇解读，一起看看。

一个是某外资行的sales评论；
一个是zerohedge的短评；

某外资行sales评论

看起来我们开始遇到流动性问题。美国国债市场似乎正在发生流动性紧缩，这给银行和金融体系带来了流动性问题。

It looks like we start to have Liquidity problems. There appears to be a liquidation ongoing in US Treasury securities which is causing a liquidity issue for the banks and the financial system.

什么是基差交易/ basis trade

基差交易包括对冲基金买入美国国债，同时卖出相同期限的国债期货作为对冲，并通过价差获取微薄利润。由于价差很小，该交易涉及显著杠杆。根据美联储报告，2019年大型基差交易参与者的平均杠杆为21倍。

The Basis trade includes hedge funds buying US Treasury, selling the same duration Treasury future against as a hedge and make a small margin on the price difference. Given the small price difference, the trade includes a significant leverage. According to a report by FED, the average leverage in 2019 was 21x for the larger participants in the basis trade.

目前该交易规模估计约为1万亿美元，是口罩抛售前的两倍。而且这是一项集中交易，布鲁金斯学会数据显示，参与机构不足10家。

The trade is today estimated to be roughly 1tUSD, about 2x from what it was going into the Covid sell-off. And it's a concentrated trade, with less than 10 institutions active in the trade according to Brookings Institute.

过去两天互换利差（SWAP spreads）显著扩大，这是流动性紧缩的信号。虽然美国国债和互换利率都反映美联储预期，但互换合约无法通过出售变现，而美国国债可以。当对冲基金头寸被平仓时，交易商（银行）会抛售美国国债，由于抛售量巨大，导致国债表现逊于互换利率（SWAP rates）。

That SWAP spreads has tightened significantly over the past two days is a indication of liquidation. While both US Treasury and SWAPS reflect FED expectations, SWAPS cannot be sold to generate cash but US Treasury securities can. When hedge fund positions are being liquidated, Dealers (banks) are being sold US Treasuries and as a result of the big volumes, the US Treasury securities underperforms the SWAP rates.

接下来呢？

主要问题将出现在下周，4月15日的个人所得税缴纳截止日将加剧银行体系的现金压力。预计将有2000-4500亿美元资金以税款形式从银行体系流向美国财政部的TGA账户。2022年和2024年4月中旬，这种流动性抽离曾对股市造成显著压力，但2023年因美联储已介入应对地区银行危机，银行现金头寸充裕而未出现压力。

The major problem will be next week, with the Individual Income Tax payment deadline on the 15th April, which will put increasing pressure on the banks' cash positions. Estimates range from 200-450bUSD that will leave the banking system, to be transferred to US Treasury's TGA in the form of tax payments. In 2022 and 2024 this Liquidity drain put significant pressure on Equities in mid april, but not in 2023 as the US regional banking crises had led to FED intervention already, which led to robust cash position for the banks.

美联储行动吗？

美联储当然密切关注着这一切。如今其采取行动可能面临比2020年更复杂的zz环境(180K：为了不被视为帮助trump，美联储可能对行动更加犹豫），但若情况持续恶化，投资者应预期美联储将介入。从今早美国国债走势看，干预可能很快到来。在此之前，股市很可能在好转前进一步恶化。

FEED is of course on top of all of the above. Today, potentially in a politically tougher position to act than they were in for instance 2020, but if this continues, investors should expect FED to step in. And given how US Treasury moves this morning, it could be rather soon. Until then, there is a high risk Equities gets uglier before it gets better.

zerohedge短评

原文很长，这里节选几段。

两个原文放在星球了...今天还更新了一些大行的交易台 + 科技日报。

晚点有新的解读继续更新；这两天市场各种事件，各种小作文...大家看到有用的东西都往微信群里扔，反馈速度加倍，辟谣速度也加倍。

星球刚刚成立，继续做大活动；

星球微信群里有不少机构朋友，欢迎过来坐坐；这两天讨论很多...群友输出也很多...

有兴趣关注的话可以点下面；差不多每天更新（因为公众号是乱序推送，需要及时收到的朋友可以星标公众号，）