债券指标创始人Bassman警告：美债期货最便宜可交割券切换或放大抛压，20年期收益率破6%将是“噩梦情景”

Harley Bassman, pioneer of one of the most widely followed indicators for US Treasuries, warns that a little-noticed feature of the market is threatening to worsen a monthslong selloff and push bond yields even higher.

In a post in his Convexity Maven newsletter, Bassman said the risk stems from the way traders provide the bonds that are delivered when futures contracts are settled.

He said the sharp jump in yields recently — which has driven down the prices of longer-maturity bonds the most — has turned the longest-dated securities into those that will be used to satisfy the contracts under so-called cheapest-to-deliver rules. But those securities also have higher duration, meaning they are at risk of tumbling more when interest rates rise.

To offset that exposure, fund managers may unload other long-dated bonds just before the contracts expire, creating a dynamic that amplifies selling just when prices are declining. He said the negative convexity associated with bond futures — or the outsize downside risk associated with them — has risen to levels not seen since 2007 and may have played a role in the latest leg of the Treasury selloff.

“After nearly twenty years, it is back to ‘fun times’ for Wall Street’s Bond trading,” he wrote. “Since these are super-safe risk-free US Treasury bond futures, it is possible buyers did not fully appreciate this challenging risk profile.”

Bassman said that poses a particular risk if the 20-year Treasury yield crosses 6%, saying that would create a “nightmare scenario” of selling pressure that would be equivalent to the auction of $110 billion of the securities. The 20-year yield is currently around 5.6%.

Those exposed to the risk associated with the futures deliveries include investment managers, who use futures to hedge government bond positions, and leveraged funds, which employ them in strategies such as the popular basis trade.