A relative-value trade that captures the small gap between a cash bond and the matching futures contract, usually with heavy borrowing.
基差交易
| Move变动 | Where it appeared出现位置 | What it means这句话在说什么 |
|---|---|---|
| $830bn | The Bond King Says Don't Own Bonds. Look at Who Bought Them Instead. 基差交易 · 第 1 张术语卡 | Hedge funds' Treasury share has risen to 8.5 per cent largely on this trade; leveraged positions are put at $830 billion. 基差之所以存在，是因为期货与现券由不同人群定价：期货受套保需求影响，现券受资金面影响。平时两者贴合，压力来时同时松动，价差反而扩大——这正是杠杆基金最怕的方向。 |