浮息债券基准利率创新分析

Analysis on Benchmark Rate Innovation of Floating Rate Debt

浮息债券基准利率的选择直接决定了浮息债券的投资价值。中国目前浮息债券基准利率有一年期定期存款利率和7日回购利率两种。本文主要通过对两种基准利率的生成机制以及市场波动特征进行分析,重点讨论了不同基准利率浮息债券的融资成本以及浮息债券基准利率创新对中国商业银行证券投资管理带来的新的挑战。

The choice about benchmark rate of floating rate debt decides directly the value of floating rate debt. At present, there are two benchmark rates of floating rate debt, one year fixed deposit rate and 7 - day repurchase rate, in China. This paper analyzes the form mechanism of two benchmark rates and their fluctuation characteristics, and then demonstrates the funding cost of floating rate debts with different benchmark rates; finally the challenges to securities investment of commercial bank caused by the change of benchmark rate are discussed.