Shun Securities long fr007 swap spread is the time beself

Shun Securities: FR007 We want you is the time of swap spreads! The first 2016 China Potter Rockefeller award officially started! Funds, insurance, brokerage and other financial institutions, information management capabilities which is better? Please click [vote], select the strongest institutions in your heart! 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, it is more appropriate to compare the financial bond yield and the interest rate. FR007 swap spreads can be defined as the financial bond yield minus the spread of the same period FR007 swap rate spreads. Currently, FR007 swap spreads at the lowest level in history, the exchange of fixed interest rate swap, short financial bonds swap swap strategy to do more than the income risk ratio is relatively high choice. In theory, if you do not consider liquidity risk and transaction costs, the purchase of fixed rate bonds and the use of repo bond financing and access to the IRS to receive a fixed end, the payment should be equivalent to the floating end. Take the example of financial bonds, the first kind of revenue for the financial bond yield minus R007 (domestic financial bonds average financing cost can be estimated using the R007 approximation), return the second way to swap fixed end interest rate minus FR007. The difference between the two types of return on investment is approximately equal to the swap spread. Observation of swap spreads history trend can be found, swap spreads for more than 1 years almost no less than zero, because if buying bonds and swaps to carry the cost of funds locked are not profitable, then the bond risk faced will outweigh the benefits. If you consider the risk of liquidity and transaction costs faced by the repurchase of bonds, swap swap spreads may not be less than zero. Currently 35 years of financial debt swap spreads have reached the lowest point in history, in the vicinity of zero, the situation is nothing more than because of the relatively low interest rate of financial bonds, or exchange of fixed interest rates are relatively high end. Financial bonds interest rates are relatively low because there may be two reasons: first, the holding point of view, the purchase of financial bonds without leverage, no need to buy back coupons and matching interest rate swap operations. 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, the control lever, strengthening supervision, funds face short put long under the policy background, whether it is held or to win the capital gains, the risk to buy tickets may be on the rise, bond interest rate swap spreads narrowed down faster so as to drive the difficulty. Swap fixed interest rates are relatively high interest rates may be due to the market hedging demand higher, that is to say, the rising cost of hedging. 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). In the optional interest rate risk theory相关的主题文章: