加载中…逆向浮动利率证券 Inverse Floaters
(2008-07-18 21:10:21)
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| Inverse
Floaters An inverse floater6 is a floating rate security whose interest rate moves inversely with market rates. The coupon on an inverse floater is the difference between the fixed rate on the underlying bond and the rate on the floater. The interests on the floater and inverse floater must total the fixed rate paid by the underlying bond from which they are created. The value of an inverse floater varies inversely with the market interest rates. As rates increase, the inverse floater loses value from a higher discount rate and lower cash flows. When rates decline, the inverse floater gains from a lower discount rate and from an increase in cash flows. A floor, typically at zero, is usually established for the inverse floater. As a result, a cap is imposed on the floater. The duration of an inverse floater is longer than its maturity. This has often caught investors off guard. The duration of an inverse floater exceeds the duration of the underlying fixed-coupon bonds. The explanation is quite simple. The duration of the fixed-rate coupon bond is the weighted average of the duration of the floater and inverse floater. The duration of a floater is quite short, equal to the time until the next coupon reset date. Hence, the duration of the inverse floater exceeds the duration of the underlying fixed-rate bond. |
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| 逆向浮动利率证券 逆向浮动利率证券（inverse floater）是一种利率与市场利率成反方向变化的浮动利率证券。逆向浮动利率证券的息票率是其基础的债券的固定利率和浮动利率证券的利率之间的差额。浮动利率证券的利率和逆向浮动利率证券的利率加起来必须等于产生这两种证券的基础债券的固定利率。逆向浮动利率证券的价值与市场利率的变化方向相反。当利率上升时，由于折扣率提高和现金流入减少，逆向浮动利率证券的价值下降。当利率下降时，由于折扣率下降和现金流入的增加，逆向浮动利率证券的价值提高。逆向浮动利率证券通常有一个为零的利率下限。相对的，浮动利率证券通常有一个利率上限。 逆向浮动利率证券的存续期通常比其期限要长。这一情况经常出乎投资者的意料。逆向浮动利率证券的存续期超过了基础的固定息票率债券的存续期。原因很简单，固定息票率债券的存续期是浮动利率证券的存续期和逆向浮动利率证券的存续期的加权平均数。浮动利率证券的存续期很短，只等于到下一个息票率调整日的间隔。因此，逆向浮动利率证券的存续期就大于其基础的固定利率债券的存续期。 |
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