对冲基金美国国债期货和回购头寸的最新发展:基差交易“回归”了吗?

FEDS Notes Pub Date : 2023-08-01 DOI:10.17016/2380-7172.3355

Daniel Barth, R. Kahn, Robert Mann

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摘要

简而言之，答案是“可能”，至少在某种程度上是这样。本文总结了对冲基金国债期货和回购头寸的最新发展，这些头寸来自商品期货交易委员会(CFTC)金融期货交易员数据和金融研究办公室(“OFR”)清算回购收集。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Recent Developments in Hedge Funds’ Treasury Futures and Repo Positions: is the Basis Trade “Back"?

In short, the answer is "probably", at least to some degree. This note summarizes recent developments in hedge funds' Treasury futures and repo positions derived from the Commodities Futures and Trading Commission's (CFTC's) Traders in Financial Futures data and the Office of Financial Research's ("OFR") Cleared Repo Collection.

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来源期刊

FEDS Notes

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