利率預期掉換
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出自 MBA智库百科(https://wiki.mbalib.com/)
利率預期掉換(Rate Anticipation Swap)
目錄 |
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什麼是利率預期掉換[1]
利率預期掉換是指利用利率預期的變化進行證券掉換，以期獲取更高的收益。
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利率預期掉換的特點[2]
在預期收益率在整體上會提高的條件下，管理人員會用相應金額的短期債券來替換長期債券。這是因為長期債券在一定的收益率提高的幅度下，由於其持續期限較長，其價格下跌的幅度在總體上會較短期債券大。而在預期收益率在整體上會降低的條件下，管理人員則會用長期債券來替換短期債券，因為長期債券在收益率降低的條件下，其價格上升幅度在總體上也較短期債券大。
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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.