Shun Securities do fr007 swap spreads at that time 卡卡西bg

Essence Securities: do more FR007 swap spreads is We want you! The first 2016 Chinese Potter Rockefeller award officially started! Fund, insurance, securities and other financial institutions ability to manage information, which is better? Please click on the vote to select the strongest organization in your mind! Shun – Fixed Income Securities Cheng Hao bond yield spreads and interest rate swaps fixed end fixed income market is a pair of basic relative value relationship. In our country, because of the special tax policy of national debt, it is more appropriate to compare the yield of financial debt and the interest rate of exchange rate. FR007 swap spreads can be defined as the spread of the yield of financial bonds minus the FR007 exchange rate of the same period. At present, the FR007 swap spreads are at the lowest historical level, and the exchange swap strategy of exchanging fixed end interest rates and short financial bonds will be a relatively high choice of earnings risk ratio. Theoretically, if the liquidity risk and transaction cost are not considered, it is equivalent to buy fixed rate bonds and buy bonds with repo and fix the fixed end and the floating end of the IRS. With financial bonds, for example, the first way of income for the financial bond yield minus R007 (domestic finance debt average financing cost can be estimated by R007 approximation), the second way to exchange fixed end interest rate minus FR007. The difference between the two investment returns can be approximately equal to the swap spread. Looking at the historical trend of swap spreads, it is found that the swap spreads over the period of 1 years are almost no less than zero, because if the bond is purchased and the cost of the swap lock is not profitable, then the risk will outweigh the benefits. If we consider the liquidity risks and transaction costs faced by repo bonds, the logical spread of interest rates cannot continue to be less than zero. At present, the interest margin of financial bonds swap has reached the lowest point in history in the past 35 years. In the vicinity of zero, this situation is only due to the relatively low interest rate of financial bonds, or the relatively high interest rate of fixed end exchange. There are two possible reasons for the relatively low interest rate of financial bonds: first, from the point of view of possession, the funds for purchasing financial bonds are not leveraged, and there is no need to buy back coupons and match interest rate swaps. If you do not lock through the exchange of capital cost, the cost of capital requires the Agency (or financing costs) is lower than that of R007 can be assured without holding financial debt, the underlying interest rate swap; second, the trading point of view, if the purchase of financial bonds for interest rate speculation, you can ignore the short-term negative carry. At present, under the policy background of controlling leverage, strengthening supervision and closing short and long funds, whether it is holding or to win capital gains, the risk of buying bonds may be intensified, and the bond interest rate will go down faster, thus driving the difficulty of narrowing the swap spreads. The exchange rate at fixed end is relatively high, possibly because the market demand for hedging is higher, that is to say, the hedging cost rises. Recently, bond futures basis (spot futures volatility) go high and FR007 increase, the former shows that the market outlook for the cautious, hedge demand increases, which indicates that the better effect of Repo hedge swaps (negative carry). On the optional interest rate risk theory

安信证券:做多FR007互换利差正当时 We want you!2016首届中国波特菲勒奖评选正式开始!基金、保险、券商等金融机构资管能力孰优孰强?请点击【投票】,选出你心中的最强机构!   □安信证券固定收益部 程昊   债券收益率与利率互换 固定端的利差是固收市场一对基本的相对价值关系。在我国,由于国债的税收政策特殊,将金融债收益率与互换利率进行比较更合适。FR007互换利差可以定义 为金融债收益率减去同期限FR007互换利率的利差。目前,FR007互换利差处于历史最低水平,收取互换固定端利率、做空金融债的做多互换利差策略将会 是收益风险比相对较高的选择。   理论上说,如果不考虑流动性风险和交易成本,买入固定利率债券并利用回购进行债券融资与进入IRS收取固定 端、支付浮动端应该是等效的。用金融债举例,第一种方式的收益为金融债收益率减去R007(国内金融债平均融资成本可以用R007近似估计),第二种方式 收益为互换固定端利率减去FR007。两种投资收益率之差可近似等于互换利差。   观察互换利差的历史走势可以发现,1年期以上的互换利差几 乎没有低于过零,因为如果购买债券并用互换锁定资金成本来套息都无利可图,那么债券面临的风险将大于收益。若再考虑回购养券所面临的流动性风险和交易成 本,逻辑上互换利差不可能持续小于零。目前3 5年的金融债互换利差已达历史最低点,在零附近,这种情况的出现无非是由于金融债利率相对过低,或互换固定 端利率相对过高所致。   金融债利率相对过低原因可能有两点:第一,持有角度看,购买金融债的资金无杠杆,无需进行回购养券并匹配利率互换的 操作。如果不通过互换锁定资金成本,那只需要机构资金成本(或融资成本)比R007低即可放心持有金融债,无需对标互换利率;第二,交易角度看,若购买金 融债是为了利率投机,则可以无视短期负carry。当下,在控制杠杆,加强监管、资金面收短放长的政策背景下,无论是持有或是为了博取资本利得,买券的风 险可能都在加剧,债券利率更快下行从而带动互换利差收窄的难度较大。   互换固定端利率相对过高可能是因为市场套保需求走高,也就是说套期保 值成本上升。近期,国债期货基差(现货-期货)走高且FR007的波动性加大,前者说明市场对于后市谨慎、对冲需求增加,后者预示Repo互换的对冲效果 转好(负carry减少)。在可选的利率风险对冲工具中,互换的负carry仍处于低位,这几点都促使机构更多地运用互换进行对冲,互换利差随之收窄。未 来,若代表套保需求的国债期货基差走扩,互换利差可能有进一步收窄的压力。反之,互换利差走扩,回归正常。   综上,虽然互换利差的走势仍有不确定性,但继续压缩的空间应该很有限了。在控制杠杆,加强监管、资金面收短放长的政策背景下,收取互换固定端利率、做空金融债的做多互换利差策略将会是收益风险比相对较高的投资选择。(本文仅代表作者个人观点) 进入【新浪财经股吧】讨论相关的主题文章: