日元波动加剧,投资者转向瑞郎套息交易

格隆汇
Aug 19
随着干预风险上升和利率走高削弱以日元融资的吸引力,套息交易者短期内越来越多地转向瑞郎作为融资来源。美国商品期货交易委员会最新数据显示,截至8月11日当周,对冲基金持有的瑞郎净空头头寸升至接近两个月高位。与此同时,他们连续第二周削减日元空头头寸。美国银行纽约外汇期权主管Tobias Jungmann表示:“市场近期增加了瑞郎空头敞口,为外汇套息交易提供融资。”他表示,对于以瑞郎融资、投资新兴市场的交易而言,其波动率与套息收益之间的比例也使期权成为一种具有吸引力的建仓方式,既能获得相关敞口,又能限制风险。以瑞郎融资的吸引力在于瑞士接近于零的利率,以及瑞士央行限制法郎升值的意愿。相比之下,日本和美国在7月底联合干预导致日元波动性上升,投资者对以日元融资的交易愈发谨慎。

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