FangQuant › Bond

With commercial banks preparing for interest rate options and treasury bond futures, the derivatives market is expected to expand

Fang submitted 2020-02-19 21:13:51

China's derivatives market is about to expand. Recently, the first financial reporter learned from the relevant agencies that some Chinese and foreign banks began to prepare for interest rate options, treasury bond futures and other related transactions, including business specifications and other related documents.

On February 14, the people's Bank of China, China Banking Regulatory Commission, China Securities Regulatory Commission, the State Administration of foreign exchange and Shanghai Municipal Government jointly issued the Opinions on Further Accelerating the Construction of Shanghai International Financial Center and Financial Support for the Integrated Development of the Yangtze River Delta Region (hereinafter referred to as the Opinions), which specifically mentioned that further support for enriching Shanghai's financial markets, such as bonds, interest rates, foreign exchange, futures options, etc Business and products, and promote the construction of RMB financial asset allocation and risk management center.

Interest rate option business helps to hedge risk

Earlier, the China Foreign Exchange Trading Center and the National Interbank Lending Center issued a notice that it will start trial operation of interest rate option trading and related services on February 24, 2020, so as to better play the role of interbank interest rate derivatives market in supporting the real economy, meet the interest rate risk management needs of market members, and improve the interest rate risk pricing mechanism. The linked target is the loan quotation rate (LPR), i.e. LPR1y / LPR5y interest rate swap options and interest rate upper / lower limit options. The option type is European option.

At present, in view of the impact of the epidemic situation, it is possible to postpone the launch of interest rate options.

Institutions generally told reporters that the derivatives are equivalent to interest-rate options, which can help to hedge risks, but have little impact on the market as a whole.

Previously, China Currency Net announced that the transaction time of the business is 9:00-12:00 and 13:30-17:00 Beijing time from Monday to Friday, excluding the adjustment of national legal holidays. The trading center provides two trading modes: Dialogue quotation and click transaction. Each market institution shall carry out interest rate option trading according to its own needs. The trading center organizes quotation institutions to provide bilateral quotation of interest rate options to the market through the trading system in the form of click transaction quotation, and make quotation of end of day volatility curve. Market members who intend to participate in the interest rate option transaction shall submit an application before February 7, 2020.

According to the financial futures team of a futures company, the global outstanding notional principal amount of over-the-counter interest rate options is up to $45.30 trillion. In the past 20 years, the scale of global OTC interest rate options has generally been 10% - 20% of interest rate swaps. China's interest rate swap is about 1270 billion yuan, but due to the short launch time of LPR, the interest rate swap linked to LPR is only 14 billion yuan, and it will take some time to cultivate the corresponding interest rate option market.

At present, the percentage of interest rate options denominated in USD, EUR, GBP and JPY is 72.0%, 19.3%, 5.4% and 1.5% respectively. Earlier, the benchmark interest rate of loan in China changed little, and the time of change was uncertain, so it was difficult to launch a tool of loan interest rate risk management. LPR rates are quoted once a month, with relatively frequent changes. It is more convenient to launch interest rate options products based on LPR. With the shift of loan pricing to LPR in China, the demand for managing loan interest rate risk with interest rate options will increase significantly, and the development of interest rate options linked to LPR is worthy of expectation.

However, some traders also mentioned to reporters that the price continuity may still be insufficient for options, given that LPR is the result of monthly quotation, rather than the price actually traded in the market such as repo.

Commercial banks preparing for treasury bond futures

Compared with interest rate options, it is more significant for commercial banks to participate in treasury bond futures. In the past two years, foreign investors have always hoped to further participate in China's treasury bond futures market. Treasury bond futures are the most effective tool to hedge interest rate risk in terms of liquidity and other aspects.

"Commercial banks are indeed making corresponding preparations, but specific matters such as account opening and trading still need to wait for specific guidance from the regulatory authorities." A head of futures brokerage business people told reporters. Many bankers also told reporters that banks are preparing for treasury bond futures trading.

For a long time, commercial banks have been unable to participate in treasury bond futures trading, but in fact, commercial banks are the main participants in the inter-bank bond market, that is, their bond positions are the largest, and they also have the largest demand to hedge interest rate risk with treasury bond futures. However, commercial banks failed to enter the bond futures market restarted in 2013, which was mainly limited by the existing system, and regulatory requirements.

In July 2016, in response to the proposal of CPPCC members, the former CBRC proposed that due to the implementation of margin system in treasury bond futures trading, the leverage is high, which may amplify market volatility in extreme cases. In the process of early promotion, relevant departments have reservations about the participation of commercial banks in treasury bond futures business, and it is suggested to further demonstrate its risks and feasibility.

"Given that commercial banks are large holders of securities and the strong convergence of bond market trading direction, they will have a significant impact on futures prices under the inertia of short hedging, which is the so-called" tail wags the dog. " "If commercial banks are allowed to carry out treasury bond futures business in the future, the regulatory authorities may make certain regulations on relevant account opening and positions to avoid potential risks," a foreign bank official told reporters.

Based on this, the relevant banks and securities traders interviewed by the reporter mentioned that the regulatory authorities can adjust the trading rules, regulatory regulations and risk control of treasury bond futures according to special circumstances, such as regulating the maximum exposure of treasury bond futures hedging of commercial banks, building positions of speculative arbitrage, reporting positions to CFFEX, etc.

Sun Hongzhi, head of the Greater China region of global markets in BNP Paribas, previously mentioned to the first financial reporter that in terms of hedging tools, the hedging tools provided by the bond market in China include treasury bond futures, IRS (interest rate swap), bond lending and bond forward. "Overseas investors are eager to participate in the Treasury bond futures in China, but at present, they are only limited to domestic securities institutions. If domestic commercial banks and foreign institutions can trade treasury bond futures, this will improve the allocation demand of foreign capital for domestic bond market, and the market liquidity will be greatly improved."

Song Yao, financial market department of China Minsheng Bank, said earlier that if commercial banks enter the Treasury bond futures market, they will greatly enrich the curve trading strategy. Investors can build a variety of strategic combinations of 2-year, 5-year, 10-year and 30-year treasury bond futures according to the expected changes of the short end, middle end, long end and super long end of the Treasury bond yield curve. In addition, the interest rate risk of credit debt can be hedged by matching the term with the credit debt.


商业银行备战利率期权、国债期货,衍生品市场有望扩容
中国衍生品市场扩容在即。近期,第一财经记者从相关机构处了解到,部分中、外资银行开始筹备利率期权、国债期货等相关交易事宜,包括业务规范等相关文件。
2月14日,人民银行、银保监会、证监会、国家外汇管理局、上海市政府共同印发《关于进一步加快推进上海国际金融中心建设和金融支持长三角一体化发展的意见》(下称《意见》),其中特别提及,进一步支持丰富债券、利率、外汇、期货期权等上海金融市场的业务和产品,促进人民币金融资产配置和风险管理中心建设。
利率期权业务有助对冲风险
早前,中国外汇交易中心暨全国银行间同业拆借中心发布通知称,将于2020年2月24日起试运行利率期权交易及相关服务,以更好发挥银行间利率衍生品市场对实体经济支持作用,满足市场成员利率风险管理需求,完善利率风险定价机制。挂钩标的为贷款报价利率(LPR),即LPR1Y/LPR5Y的利率互换期权、利率上/下限期权。期权类型为欧式期权。
目前,鉴于疫情影响,利率期权推出的时点有可能推迟。
机构人士普遍对记者表示,该衍生品相当于以利率为标的的期权,可以有助对冲风险,但对市场的整体影响不大。
此前,中国货币网上的通知并称,该业务交易时间为每周一至周五北京时间9:00-12:00和13:30-17:00,国家法定节假日调整除外。交易中心提供对话报价和点击成交两种交易方式。各市场机构应根据自身需求开展利率期权交易。交易中心组织报价机构通过交易系统以点击成交报价等方式向市场提供利率期权双边报价,并进行日终波动率曲线报价。有意参与利率期权交易的市场成员,需于2020年2月7日前递交申请。
中信期货金融期货团队表示,目前全球场外利率期权未平仓名义本金金额高达45.30万亿美元。过去20年,全球场外利率期权规模一般为利率互换的10%-20%。我国利率互换约为12700亿元,但由于LPR推出时间较短,挂钩LPR的利率互换仅140亿元,对应的利率期权市场的培育也需要一些时间。
目前,分币种来看,以美元、欧元、英镑和日元计价的利率期权占比分别为72.0%、19.3%、5.4%和1.5%。此前我国贷款基准利率变动较少,变动时间不确定,难以推出贷款利率风险管理的工具。LPR利率固定每月报价一次,变动相对频繁,基于LPR推出利率期权产品比较方便。随着我国贷款定价转向LPR,运用利率期权管理贷款利率风险的需求会显著增加,挂钩LPR的利率期权的发展值得期待。
不过,也有交易员对记者提及,鉴于LPR是每月报价所得,而非如repo(回购)等市场真实交易出来的价格,因此对期权而言,价格的连续性可能仍不足。
商业银行备战国债期货
比起利率期权,商业银行参与国债期货的意义更为重大。过去两年来,外资始终希望进一步参与中国的国债期货市场,国债期货从流动性等方面而言都是对冲利率风险最为有效的工具。
“商业银行的确在做相应准备工作,但具体开户、交易等事宜仍需等待监管的具体指引。”某头部券商期货业务人士对记者表示。多位银行人士也对记者称,银行在为国债期货交易进行相关准备。
一直以来,商业银行无法参与国债期货交易,但事实上,商业银行是银行间债券市场最主要的参与主体,即其债券持仓量是最大的,相应也具有最大的以国债期货对冲利率风险的需求。但是,商业银行未能进入2013年重启的国债期货市场,主要是受限于现有的制度法规和监管要求。
2016年7月,原银监会在答复政协委员提案时提出,由于国债期货交易实行保证金制度,杠杆较高,在极端情况下可能放大市场波动。前期推进过程中,已有相关部门对商业银行参与国债期货业务持保留态度,建议进一步论证其风险和可行性。
“鉴于商业银行是持券大户,由于债市交易方向的趋同性很强,在做空对冲惯性下将会对期货价格构成重大冲击,就是所谓的‘尾巴摇狗’(tail wags the dog)的风险,”某外资行相关人士对记者表示,若未来商业银行允许进行国债期货业务,监管层或对相关开户、仓位等做出一定规定,避免潜在风险。
基于此,记者采访的相关银行、券商人士提及,监管机构可在国债期货交易规则、监管条例、风险控制方面依据特殊情形相应调整,如规范商业银行国债期货套期保值最大敞口、投机套利建仓额度、向中金所汇报持仓情况等。
法巴环球市场部大中华区主管孙鸿志此前对第一财经记者提及,就对冲工具而言,中国境内债市提供的对冲工具包括了国债期货、IRS(利率互换)、债券借贷和债券远期。“海外投资者非常希望参与中国境内的国债期货,但目前仅限境内证券机构,如果境内商业银行和外资机构可以交易国债期货,这将提升外资对境内债市的配置需求,同时市场的流动性将大大提升。”
中国民生银行金融市场部宋垚早前就表示,若商业银行进入国债期货市场,将极大丰富曲线交易策略。投资者可根据对国债收益率曲线短端、中端、长端、超长端形态的预期变化,构建2年期、5年期、10年期、30年期国债期货的多种策略组合。另外,还可从期限匹配出发,与信用债相配合,对冲信用债的利率风险。

Currently no Comments.