利率预期掉换
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出自 MBA智库百科(https://wiki.mbalib.com/)
(重定向自Rate anticipation swap)
利率预期掉换(Rate Anticipation Swap)
目录 |
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什么是利率预期掉换[1]
利率预期掉换是指利用利率预期的变化进行证券掉换，以期获取更高的收益。
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利率预期掉换的特点[2]
在预期收益率在整体上会提高的条件下，管理人员会用相应金额的短期债券来替换长期债券。这是因为长期债券在一定的收益率提高的幅度下，由于其持续期限较长，其价格下跌的幅度在总体上会较短期债券大。而在预期收益率在整体上会降低的条件下，管理人员则会用长期债券来替换短期债券，因为长期债券在收益率降低的条件下，其价格上升幅度在总体上也较短期债券大。
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Rate Anticipation Swap: A type of swap in which bonds are swapped according to their current duration and predicted interest rate movements. Rate Anticipation Swap Investors will usually participate in these swaps to maximize profits from favourable interest rate movements and minimize losses from unfavourable movements. For example, bonds with higher duration generally exhibit higher price fluctuations when an interest rate changes. If interest rates are expected to decline, investors would swap for bonds with a higher duration in order to maximize potential gains from the price movement.