美國30年期利率交換利差的基差交易獲利機會之分析

Abstract

本研究探討美國30年期利率交換利差（swap spread）長期處於負值區間的現象，並評估 Swap Spread Basis Trade 的可行性與潛在報酬。研究首先釐清 swap spread 的基本定義與利率交換市場的運作架構，奠定後續理論與實證分析的基礎。 接著，本文整理制度背景與市場觀察，歸納出四項導致長天期 swap spread 結構性為負的關鍵因素。為進一步檢驗供需失衡對 swap spread 定價是否造成系統性影響，本文參考 Hanson et al.（2024）之實證架構，採用 PD-UST-Net（主要交易商國債淨持有部位）作為衡量收固定需求對中介機構壓力的代理變數，並分析其與30年期 swap spread 之歷史走勢及變動原因。 在此基礎上，本文設計模擬交易策略，評估若市場預期川普政府放寬 SLR 規範，Swap Spread Basis Trade 將有何潛在表現。回測結果顯示，策略初期因 swap spread 收斂而產生部位利得，但隨後受政策不確定性與市場利率劇烈波動影響，出現損益反轉。當納入融資成本與槓桿限制等實務因素後，整體報酬空間明顯收斂，顯示該策略在實務執行上仍面臨高度挑戰。 最後，本文亦觀察川普政府近期推動之放寬監管、減稅與關稅政策，認為其整體政策可能意圖壓低長端利率、降低政府融資成本，並維持美國國債於全球資本市場的吸引力。若相關政策方向持續推進，swap spread 的定價結構可能出現調整，亦可能重新創造 swap spread basis trade 的獲利空間與可行性。

This study examines the persistent negative 30-year U.S. interest rate swap spread and evaluates the feasibility and return potential of the Swap Spread Basis Trade. After outlining the definition of swap spreads and market structure, the paper identifies four structural factors behind the long-term negative spread. Using the framework of Hanson et al. (2024), the analysis adopts PD-UST-Net as a proxy for receive-fixed demand pressure and explores its relationship with 30-year swap spreads. A simulated trade strategy based on expectations of SLR deregulation under a second Trump term shows initial gains but later losses due to policy uncertainty and rate volatility. When accounting for funding costs and leverage limits, the strategy’s profit potential narrows significantly. The study concludes that recent Trump-era policies—deregulation, tax cuts, and tariffs—may aim to suppress long-term yields and support Treasury demand, with implications for swap spread pricing and the feasibility and profitability of the swap spread basis trade.