经济学人：全球最重要的资产市场是否已经崩溃？

 In 1790 america’s finances were in a precarious state: debt-servicing costs were higher than revenues and government bonds traded at 20 cents on the dollar. Alexander Hamilton, the country’s first treasury secretary, wanted a deep and liquid market for safe government debt. He understood the importance of investor confidence, so proposed honouring all debts, including those of states, and offering to swap old debt, at par, for new bonds with a lower interest rate. This was controversial. Shouldn’t speculators who picked up cheap debt in secondary markets be paid less? Yet Hamilton could not be swayed: “When the credit of a country is in any degree questionable, it never fails to give an extravagant premium, in one shape or another, upon all the loans it has occasion to make.”

1790 年，美国的财政状况岌岌可危：偿债成本高于收入，政府债券的交易价格为 20 美分。该国第一任财政部长亚历山大·汉密尔顿希望为安全的政府债务建立一个有深度且流动性强的市场。他了解投资者信心的重要性，因此提议兑现所有债务，包括各州的债务，并提出将旧债务按面值换成利率较低的新债券。这是有争议的。在二级市场获得廉价债务的投机者不应该得到更少的报酬吗？然而汉密尔顿无法动摇：“当一个国家的信用出现任何程度的问题时，它总是会以这样或那样的方式对其有机会发放的所有贷款给予过高的溢价。”

More than two centuries later American politicians are busy undermining Hamilton’s principles. Debt-ceiling brinkmanship has pushed America towards a technical default. Rising interest rates and incontinent spending have seen debt balloon: the country’s total stock of it now amounts to $26.6trn (96% of gdp), up from $12.2trn (71% gdp) in 2013. Servicing costs come to a fifth of government spending. As the Federal Reserve reduces its holdings of Treasuries under quantitative tightening and issuance grows, investors must swallow ever greater quantities of the bonds.

两个多世纪后，美国政客们忙着破坏汉密尔顿的原则。债务上限边缘政策已将美国推向技术性违约。利率上升和支出失禁导致债务激增：该国债务总额目前达到 26.6 万亿美元（占 GDP 的 96%），而 2013 年为 12.2 万亿美元（占 GDP 的 71%）。服务成本占政府支出的五分之一。随着美联储在量化紧缩和发行量增加的情况下减少其持有的美国国债，投资者必须吞下越来越多的债券。

All this is straining a market that has malfunctioned frighteningly in the past. American government bonds are the bedrock of global finance: their yields are the “risk-free” rates upon which all asset pricing is based. Yet such yields have become extremely volatile, and measures of market liquidity look thin. Against this backdrop, regulators worry about the increasing activity in the Treasury market carried out by leveraged hedge funds, rather than less risky players, such as foreign central banks. A “flash crash” in 2014 and a spike in rates in the “repo” market, where Treasuries can be swapped for cash, in 2019, first raised alarms. The Treasury market was then overwhelmed by fire sales in 2020, as long-term holders dashed for cash, before the Fed stepped in. In November a cyberattack on icbc, a Chinese bank, disrupted settlement in Treasuries for days.

所有这些都给过去曾严重失灵的市场带来了压力。美国政府债券是全球金融的基石：其收益率是所有资产定价所依据的“无风险”利率。然而，此类收益率已经变得极其不稳定，而且衡量市场流动性的指标看起来也很薄弱。在此背景下，监管机构担心的是杠杆对冲基金（而不是外国央行等风险较低的参与者）在国债市场上进行的日益活跃的活动。 2014 年的“闪电崩盘”和 2019 年可将国债兑换成现金的“回购”市场利率飙升首先敲响了警钟。随后，在美联储介入之前，长期持有者纷纷争抢现金，2020 年国债市场因抛售而不堪重负。11 月，中国工商银行遭受网络攻击，国债结算中断数天。

Regulators and politicians want to find a way to minimise the potential for further mishaps. New facilities for repo markets, through which the Fed can transact directly with the private sector, were put in place in 2021. Weekly reports for market participants on secondary trading have been replaced with more detailed daily updates, and the Treasury is mulling releasing more data to the public. But these fiddles pale in comparison to reforms proposed by the Securities and Exchange Commission (sec), America’s main financial regulator, which were outlined in late 2022. The sec has invited comment on these plans; it may begin to implement them from early next year.

监管机构和政治家希望找到一种方法来最大程度地减少发生进一步事故的可能性。回购市场的新设施已于 2021 年到位，美联储可以通过该设施直接与私营部门进行交易。市场参与者的二级交易每周报告已被更详细的每日更新所取代，财政部正在考虑发布更多数据对公众。但与美国主要金融监管机构美国证券交易委员会 (SEC) 于 2022 年底提出的改革方案相比，这些举措显得苍白无力。SEC 已邀请对这些计划发表评论；可能从明年初开始实施。

The result has been fierce disputes about the extent and causes of problems in the Treasury market—and the lengths regulators should go to repair them. A radical overhaul of Treasury trading comes with its own risks. Critics say that the proposed changes will needlessly push up costs for the Treasury. Do they have a point?

其结果是，关于国债市场问题的程度和原因，以及监管机构应采取何种措施来修复这些问题，引发了激烈的争论。对国债交易的彻底改革也有其自身的风险。批评人士称，拟议的改革将不必要地推高财政部的成本。他们有道理吗？

Repo repair  回购修复

The modern Treasury market is a network of mind-bending complexity. It touches almost every financial institution. Short-term bills and long-term bonds, some of which pay coupons or are linked to inflation, are issued by the Treasury. They are sold to buyers including “primary dealers” (banks and broker dealers) in auctions. Dealers then sell them to customers: foreign investors, hedge funds, pension funds, firms and purveyors of money-market funds. Many buyers raise money to buy Treasuries using the overnight repo market, where bonds can be swapped for cash. In secondary markets high-frequency traders often match buyers and sellers using algorithms. Participants, in particular large asset managers, often prefer to buy Treasury futures—contracts that deliver the holder an eligible Treasury on a future date—since it requires less cash up front than buying a bond outright. Each link in the chain is a potential vulnerability.

现代国债市场是一个极其复杂的网络。它涉及几乎所有金融机构。短期票据和长期债券由财政部发行，其中一些债券支付息票或与通货膨胀挂钩。它们在拍卖中出售给包括“主要交易商”（银行和经纪交易商）在内的买家。然后，交易商将它们出售给客户：外国投资者、对冲基金、养老基金、公司和货币市场基金的供应商。许多买家利用隔夜回购市场筹集资金购买国债，债券可以兑换成现金。在二级市场上，高频交易者经常使用算法来匹配买家和卖家。参与者，尤其是大型资产管理公司，通常更喜欢购买国债期货——在未来日期向持有人交付符合条件的国债的合约——因为它比直接购买债券需要的预付现金更少。链条中的每个环节都是潜在的漏洞。

The most important of the sec’s proposals is to mandate central clearing, under which trading in the Treasury and repo markets would pass through a central counterparty, rather than occur on a bilateral basis. The counterparty would be a buyer to every seller and a seller to every buyer. This would make market positions more transparent, eliminate bilateral counterparty risk and usher in an “all to all” market structure, easing pressure on dealers to intermediate trades. Nate Wuerffel of bny Mellon, an investment bank, has written that central-clearing rules will be put in place relatively soon.

美国证券交易委员会最重要的提议是强制实行中央清算，根据该规定，国债和回购市场的交易将通过中央对手方进行，而不是在双边基础上进行。交易对手将是每个卖家的买家，也是每个买家的卖家。这将使市场头寸更加透明，消除双边交易对手风险，并引入“全对全”的市场结构，减轻经销商对中间交易的压力。投资银行纽约梅隆银行的内特·乌尔菲尔 (Nate Wuerffel) 撰文称，中央清算规则将很快实施。

Yet the sec’s most controversial proposal concerns the so-called basis trade that links the market for Treasuries to the futures market. When buying a futures contract investors need only post “initial margin”, which represents a fraction of the face value of the Treasury. This is often easier for asset managers than financing a bond purchase through the repo market, which is more tightly regulated. As such, there can be an arbitrage between cash and futures markets for Treasuries. Hedge funds will go short, selling a contract to deliver a Treasury, in the futures market and then buy that Treasury in the cash market. They often then repo the Treasury for cash, which they use as capital to put on more and more basis trades. In some cases funds apparently rinse and repeat this to the extent that they end up levered 50 to one against their initial capital.

然而，美国证券交易委员会最具争议性的提议涉及将国债市场与期货市场联系起来的所谓基差交易。购买期货合约时，投资者只需交纳“初始保证金”，即国债面值的一小部分。对于资产管理公司来说，这通常比通过回购市场融资购买债券更容易，因为回购市场受到更严格的监管。因此，国债现货和期货市场之间可能存在套利。对冲基金将做空，在期货市场上出售交割国债的合约，然后在现货市场上购买该国债。然后，他们经常将财政部回购为现金，并用这些现金作为资本进行越来越多的基差交易。在某些情况下，基金显然会重复这一过程，直至其初始资本达到 50 比 1 的杠杆率。

At most times, this trade is pretty low risk. But in times of market stress, such as in 2020, when Treasury prices swung wildly, futures exchanges will send out calls to hedge funds for more margin. If funds cannot access cash quickly they sometimes must close their positions, prompting fire sales. The unwinding of basis trades in 2020 may have exacerbated market volatility. Therefore the sec has proposed that hedge funds which are particularly active in the Treasury market should be designated as broker-dealers and forced to comply with stricter regulations, instead of the simple disclosure requirements that they currently face. It is also considering new rules that would limit the total leverage hedge funds can access from banks.

大多数时候，这种交易的风险相当低。但在市场压力时期，比如2020年，当美国国债价格大幅波动时，期货交易所会向对冲基金发出要求更多保证金的通知。如果基金无法快速获得现金，他们有时必须平仓，从而引发抛售。 2020年基差交易的平仓可能加剧了市场波动。因此，美国证券交易委员会建议，在国债市场特别活跃的对冲基金应被指定为经纪自营商，并被迫遵守更严格的法规，而不是像目前面临的简单披露要求。它还正在考虑新的规则，限制对冲基金可以从银行获得的总杠杆率。

This has infuriated those who make money from the manoeuvre. In October Ken Griffin, boss of Citadel, the world’s most profitable hedge fund, argued that the regulator was simply “searching for a problem”. He pointed out that the basis trade reduces financing costs for the Treasury by enabling demand in the futures market to drive down yields in the cash market.

这激怒了那些通过这种策略赚钱的人。 10 月份，全球最赚钱的对冲基金 Citadel 的老板肯·格里芬 (Ken Griffin) 表示，监管机构只是在“寻找问题”。他指出，基差贸易通过使期货市场的需求压低现货市场的收益率，降低了财政部的融资成本。

Will policymakers hold firm? In a sign of diverging opinions between the and the Treasury, Nellie Liang, an undersecretary at the finance ministry, recently suggested that the market may not be functioning as badly as is commonly believed, and that its flaws may reflect difficult circumstances rather than structural problems. After all, market liquidity and rate volatility feed into each other. Thin liquidity often fosters greater rate volatility, because even a small trade can move prices—and high volatility also causes liquidity to drop, as it becomes riskier to make markets. Ms Liang pointed out that “high volatility has affected market liquidity conditions, as is typically the case”, but it does not appear that low liquidity was amplifying volatility.

政策制定者会坚持立场吗？财政部副部长梁内莉最近表示，市场运作可能并不像人们普遍认为的那么糟糕，其缺陷可能反映了困难的环境，而不是结构性问题，这表明了财政部和财政部之间存在意见分歧。 。毕竟，市场流动性和利率波动是相互影响的。流动性稀薄往往会导致更大的利率波动，因为即使是小额交易也会影响价格，而高波动性也会导致流动性下降，因为做市的风险变得更大。梁女士指出，“高波动性影响了市场流动性状况，这是典型的情况”，但低流动性似乎并未放大波动性。

Moreover, high volatility can be caused by wider events, as has been the case in recent years, which have been unusually lively. It is far from certain that periods of extreme stress, like March 2020 or the chaos caused in the British gilt market when derivative bets made by pension funds blew up, could be avoided with an alternative market structure.

此外，高波动性可能是由更广泛的事件引起的，就像近年来异常活跃的情况一样。远不能确定是否可以通过替代市场结构来避免极端压力时期，例如 2020 年 3 月或养老基金衍生品押注爆炸导致英国国债市场混乱的情况。

In addition to the proposals from the sec, the Treasury is working on its own measures to improve how the market functions. These include data gathering and transparency, and beginning buybacks. Buybacks would involve the Treasury buying up older, less liquid issuance—say, ten-year bonds issued six months ago—in exchange for new and more liquid ten-years, which it is expected to start doing from 2024. The Treasury has acknowledged that leverage practices, which make the basis trade possible, warrant investigation, but Ms Liang has also said that there are upsides to the basis trade, such as increased liquidity.

除了美国证券交易委员会的提议外，财政部还在制定自己的措施，以改善市场的运作方式。其中包括数据收集和透明度以及开始回购。回购将涉及财政部购买旧的、流动性较差的债券（例如六个月前发行的十年期债券），以换取流动性更强的新的十年期债券，预计从 2024 年开始这样做。财政部已经承认，杠杆做法使基差交易成为可能，值得调查，但梁女士也表示，基差交易也有好处，例如增加流动性。

Hamilton, the father of the Treasury market, could not have envisaged the vast network of institutions that make up its modern version. Yet he did have a keen appreciation for the role of speculators, who stepped in to buy Treasuries when bondholders lost faith or needed cash. He would have been far more concerned with politicians rolling the dice on defaulting and the growing debt stock than he would have been by enthusiastic intermediators. Although plenty of his successors’ suggestions have widespread support—such as buybacks and central clearing—they would do well to remember his aversion to snubbing those keen to trade. ■

国债市场之父汉密尔顿不可能想象到构成现代国债市场的庞大机构网络。然而，他确实非常欣赏投机者的作用，当债券持有人失去信心或需要现金时，投机者就会介入购买国债。与热心的中间人相比，他更关心政客们在违约和不断增长的债务存量上掷骰子。尽管他的继任者的许多建议都得到了广泛的支持——比如回购和中央清算——但他们最好记住他不愿冷落那些热衷于交易的人。