大摩:基差交易“消亡”被严重夸大

格隆汇
Sep 21
包括Eli Carter在内的摩根士丹利策略师表示,美国国债现券-期货基差交易依然活跃且运转良好。他们指出,基差交易在规模、构成和预期回报方面已发生变化,但并未消失。 从久期调整后的风险口径来看,该交易“几乎没有收缩”。交易总名义规模已从1月1.5万亿美元的峰值降至约1.2万亿美元。规模的缩减主要集中在曲线前端——具体为TU(2年期)和FV(5年期)期货。与此形成对比的是,策略师表示,代表曲线最远端的WN(超长期)头寸同比增长了50%。 随着银行监管放松的推进,交易商风险敞口增加的问题受到关注,这一敞口确实有所扩大,但“目前的转移幅度仍然温和,我们认为不太可能对交易商的中介业务构成实质性约束”。

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