Using 31 years of data (1990–2020) on U.S. Treasury dealer positions, we find that Treasury issuance is the main driver of dealers’ weekly inventory changes. Such inventory fluctuations are only partially offset in adjacent weeks and not significantly hedged with futures. Dealers are compensated for inventory risk by means of subsequent price appreciation of their holdings. Amid increased balance sheet costs attributable to post-crisis regulatory changes, dealers significantly reduce their position taking and layoff inventory faster. Moreover, the increased participation of non-dealers (investment funds) in the primary market contributes to diminishing compensation for inventory risk taken on at auctions.

中文翻译：

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国债交易商如何管理他们的头寸？


利用 31 年（1990-2020 年）美国国债交易商头寸数据，我们发现国债发行是交易商每周库存变化的主要驱动力。这种库存波动仅在相邻几周内被部分抵消，并且无法通过期货进行显着对冲。经销商通过其持有的股票随后的价格升值来补偿库存风险。由于危机后的监管变化导致资产负债表成本增加，经销商大幅减少持仓并更快地裁员。此外，非交易商（投资基金）更多地参与一级市场，导致拍卖中库存风险的补偿减少。