借屍還魂 : 基差交易重現

Abstract

基差交易策略在2008年完全崩潰瓦解，造成投資銀行和避險基金數十億元的損失。因應現今市場條件，新的交易概念和策略已經復甦。本論文將針對新的交易概念如何影響固定收入信用貿易上，做出精確的分析：包括什麼因素會影響逐日計算損益評估及在基本貿易上的長期獲利。另外論述持有基差如何影響到債務人和債權人之間的關係。最後，我也會針對新基差交易的長期持續性做出討論。

The basis arbitrage trading strategy collapsed at the end of 2008, causing billions of dollars in losses for investment banks and hedge funds. New trading mentalities and practices have revived this trade and adapted it to current market conditions. This paper presents a rigorous analysis of new practices in fixed income credit trading, including what factors affect mark-to-market valuation and long-term returns on the new basis trade. Special attention is paid to the way holding basis affects the relationship between debtor and creditor. Finally, I comment on the long-term sustainability of the new basis trade.