Am US-Staats­anleihen­markt wird massiv mit Leverage ge­arbeitet

Die Anleihenmärkte der Welt sind im Stress. Was zur Frage führt, wie es weitergeht. Besonders besorglich: Es wird auch hier mit immer mehr Kredit gearbeitet.

  • One year ago, a pocket of borrowed money on the edge of UK bond markets imploded with enough force to topple a prime minister and draw the Bank of England into an emergency rescue. Now the world’s most influential regulators are intensifying their scrutiny of a mounting potential risk to the gilt market’s much bigger cousin: the $25tn US government bond market.“ – bto: Warum? Weil auch auf diesem Markt mit hohem Einsatz gewettet wird.
  • Over the past month, the Bank for International Settlements, a convening body for the world’s central banks, and US Federal Reserve researchers have pointed to a rapid build-up in hedge fund bets in the Treasury market. The so-called basis trade involves playing two very similar debt prices against each other — selling futures and buying bonds — and extracting gains from the small gap between the two using borrowed money.“ – bto: Nur mit geliehenem Geld macht das überhaupt Sinn, denn sonst wäre der Ertrag viel zu gering.
  • Das Riskiko: „(…) the collision of heavy leverage with sudden and unexpected market movements, and the speed with which that can cause potentially serious problems. (…) leveraged funds’ short positions in the most liquid futures contracts reached an all-time high of almost $900bn in late August, according to Commodity Futures Trading Commission data. Even if not all of that is used for the basis trade, the Fed researchers said the strategy poses a ‚financial stability vulnerability‘ while the BIS said it had the potential to ‚dislocate‘ trading.“ – bto: Und wieder wird darauf gewettet, dass die Fed im Notfall alle rettet.
  • Analysts, experts and investors argue that the Fed’s interventions in the Treasury market in September 2019 and March 2020, among others, have led to a belief that the Fed will intervene in any instance of extreme market instability, implicitly backstopping speculative trading.“ – bto: Genau so ist es wohl!
  • As the Treasury market has grown — from about $5tn at the start of 2008 to $25tn today — hedge funds and high-speed traders, which are less transparent and less tightly regulated than banks, have picked up the slack. They now play an essential role, buying bonds and making prices for other investors, partly through the basis trade.“ – bto: Einfach deshalb, weil die Banken weniger Anleihen auf den Büchern haben dürfen.
  • Und wie genau geht das? The basis trade works by exploiting the gap in prices between Treasury futures, which commit users to buying at a certain price on a future date, and on cash bonds. Hedge funds sell the futures and buy the cash bonds, which they can deliver to the counterparty when the futures contract comes due.“ – bto: Das klingt jetzt eigentlich nicht so problematisch, sie haben das Asset ja und der Verkaufspreis steht fest. Wo ist also das Problem?
  • Because Treasuries are considered the highest quality collateral, the prime brokerage divisions of major Wall Street banks are happy to lend against them, often at their full face value rather than a slight discount. In the repo market — short-term lending that facilitates a lot of Treasury trading — hedge funds need to post only small amounts of cash against their credit lines, sometimes levering up by more than 100 times.“ – bto: Wenn aber der Ertrag feststeht, ist das doch kein Problem –würde ich bis jetzt denken.
  • There is borrowing on the other side of the trade too; futures are inherently leveraged products and again, hedge funds need to put up only a small amount of collateral to satisfy the margin requirements of futures exchanges. (…) By taking advantage of the ability to borrow on both sides of the trade, hedge funds can deploy huge leverage. The head of one fund that has engaged in this trade says traders have in the past been able to lever up to 500 times.“ – bto: Hmm. Wenn Kauf- und Verkaufspreis feststehen und die Cash Bonds im Bestand sind, ist das mit dem Kredit doch egal?
  • Scheinbar doch: „But central banks and regulators are fearful that the effect of any sudden dislocation in the market could quickly escalate and form ugly feedback loops. Already there have been several warning shots. The Fed has said it believes stress on this trade played a role in hammering Treasury prices when Covid-19 lockdowns began in the US in March 2020, and it was also considered a factor in a brief seize-up in the repo market in September 2019.“ – bto: Das stimmt. Schon vor Corona musste die Fed intervenieren.
  • There are several ways the trade can unravel. One is that banks can recoil from risk in moments of market stress, and cut back on the leverage they allow funds to deploy, or ramp up the cost of that short-term lending. Another is that the clearing houses that facilitate futures trades can increase the amount of collateral they require against a trading position. (…) Both make the trade less profitable and leave the hedge fund with a choice: keep the trade on for a higher cost or unwind it, potentially affecting broader markets. The trade is similarly vulnerable to a move in repo rates, which could reduce the amounts banks are willing to lend against hedge fund trades.“ – bto: Okay, es geht also darum, dass es zu Kürzungen der Kredite durch die Banken kommt, was allerdings doch nur das Neugeschäft betreffen sollte. Oder?
  • In such a situation, it would be highly unlikely for the US central bank to simply stand back and watch. (…) Intervention could involve buying bonds, thus undermining the central bank’s mission to tighten policy until it defeats inflation, and resembles an official safety net for the trade.“ – bto: Alles spricht dafür, dass es ein „Unfall sein wird, der die Notenbanken zur Abkehr von der Politik der Inflationsbekämpfung zwingen wird.

… was Fragen aufwirft: Wer kauft dann die Staatsanleihen? Gibt es überhaupt eine Alternative? (Anmeldung erforderlich): „The debt-fuelled bet on US Treasuries that’s scaring regulators“, 26. Oktober 2023