对冲基金持续加大美国国债敞口 美联储称基差交易是主要推手

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【对冲基金持续加大美国国债敞口 美联储称基差交易是主要推手】美联储表示,对冲基金对美国国债敞口不断增加,主要是由于现货-期货基差交易的复苏。由首席经济学家Phillip Monin撰写的报告表示,截至去年9月,这种高杠杆交易已在对冲基金所持美国国债多头头寸中占8300亿美元,约为2020年初上一峰值的两倍。其在对冲基金国债多头总敞口中占比35%。在对冲基金的美债多头头寸中,互换利差和期限匹配交易等套利策略占据主导地位。报告称,基差交易涉及做空国债期货合约,同时做多以回购融资方式购买的、可交割到期货的国债。

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