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利率期权或择期上市?市场人士获新对冲工具却称“不敢交易”
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Topic: 利率期权或择期上市?市场人士获新对冲工具却称“不敢交易” (Read 94 times)
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利率期权或择期上市?市场人士获新对冲工具却称“不敢交易”
November 23, 2017, 08:53:10 PM
#1
利率衍生产品或将再添一员。近日有消息人士向华尔街见闻透露,中国外汇交易中心正在与各家银行就利率期权产品的波动率的曲面构建、定价方法进行讨论,目前从交易系统上已经可以看到利率期权的栏位。不过,目前外汇交易中心现阶段工作重心还集中在债券通产品上,利率期权恐怕尚无法在一、两个月内推出,或将在未来择机推出。市场交易人士认为,利率期权上市将完善国内利率期限结构,同时也将为利率市场提供新的对冲工具。不过,受种种原因影响,目前利率期权的定价尚存难度。这或将导致市场交易主体对这项产品心生疑虑。当前国内利率衍生产品包括场内和场外两种形式,场内产品主要是国债期货,包括五年期和十年期两个品种。场外是利率互换,远期利率协议等等。主流为利率互换,占到市场规模95%以上。其中,利率互换和远期利率协议均属于线性产品,可以通过线性产品构建出人民币利率曲线。但是,就一个完整的利率期限结构来讲,仅有利率曲线远远不够。市场人士认为,目前还需要有相应的利率波动率立方,即利率期权这类人民币利率产品的非线性产品。一名国有大行内部人士对华尔街见闻表示,美元、欧元、英镑、日元等大币种已经拥有成熟的利率互换市场、利率期权及互换期权市场。相应币种的利率曲线主要是通过利率互换市场计算得出的。其波动率立方主要通过非线性产品——利率期权和互换期权进行构建。所以,只有非线性产品和线性产品配合,利率期限结构才算完整。另外,互换期权和利率期权的活跃交易能够满足利率的风险规避需求。正常情况下,从定价角度讲,线性产品的风险规避只能规避一阶风险,很难对冲二级风险,必须通过非线性产品——期权类产品才能够对冲。所以,如果没有利率期权和互换期权这两种非线性产品,二阶风险对冲可能存在困难。“从实际需求上看,随着人民币利率市场化的进一步推进,各类银行对此的需求会越来越大,” 一位银行利率交易员对华尔街见闻表示: “因为无论是是利率互换还是利率期权,其对于整个银行自身的资产负债调整非常重要。这两个产品在整个国际市场上大概占整个衍生产品市场的2/3。”但是在中国的市场上,利率类的交易比汇率的交易要小很多。上述交易员表示,这是因为国内的银行的人民币头寸的利率没有完全市场化,所以资产负债端的成本、收益相对固定。这种情况下,市场确实是没有特别大的动力去做利率的衍生交易、去调整自己的资产负债。随着利率市场化的进一步推进,在银行的资产端和负债端逐渐变成浮动的情况下,两端的浮动可能存在着期限、币种等等不匹配。最简单的解决方法就是做利率衍生产品。所以未来的利率衍生品的交易占比可能会逐步扩大。如何定价?尽管未来市场需求会逐步增大,但目前市场上期权的定价是存在困难的。前述交易员表示,利率期权的定价需要有比较充足的交易量来提供对冲数据,才能够相对准确地定出利率曲线的价值。如果数据不完整,或者说数据交易量不活跃,那这种通过差值算出的期权价格就会出现较大偏差,因为其定价是非线性的。“所以这种情况下,如果说交易量不是很活跃,我觉得没有把握去做交易,这就是一个因果循环。如果交易量活跃,那大家都越来越活跃,越来越愿意做,如果交易量不活跃的话,可能大家就越会谨慎。”而就利率期权推出以后的市场总量、活跃度等水平,业内人士认为可以参考利率互换市场,二者存在相似度,客户可以选择利率互换、利率期权来锁定套期保值成本。上述国有大行人士对华尔街见闻表示,现在银行间市场的利率互换大部分都是银行自身在做。他并称,大部分企业的贷款融资还是发债融资一般采取固定利率,或者在央行的基准利率上浮下浮若干个百分比。这是企业客户主要融资的利率指标。但是在银行间利率互换市场上看,很难看到这几个指标的利率互换的交易,那这意味着银行间市场跟客户的实际贷款套期保值需求匹配不上。“正常情况下,银行也不太可能在客端做同客户实际需求不匹配的套期保值,所以从市场的交易情况上来讲,目前银行间市场的利率互换产品的客盘支持比较小。大部分还是银行之间互相的交易,有可能处于是银行间的套期保值需求,比如银行需要调配自身的资产负债的头寸。”他表示。另一种需求就是交易需求,比如某些银行觉得现在的市场价格偏低,有可能买入利率互换,可以获利。从目前利率互换市场来看,主要还是银行之间的交易。“估计利率期权市场可能也不一定能够得到很强大的客盘支持。因为对客户而言,包括央行贷款基准利率在内的几个主要利率虽然名义上是浮动利率,但是实际上它的变化幅度特别小。不论是从定价来讲,还是从对冲的角度来讲,这对于银行自身的交易而言都比较困难。所以市场上的交易相当不活跃。”前述交易员表示。
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