重新认识掉期

Rediscovering FX Swaps

随着汇率市场化程度的提高,影响掉期点变动的因素发生了变化,即期汇率升贬值预期对掉期点的影响下降,利率平价的引导作用逐步增强。2015年“811汇改”之后,多数时间掉期点跟随利率平价运动。但由于买入掉期套利的摩擦成本远高于卖出掉期,利率平价事实上成为掉期点的上限。考虑到美元利率难以下行,国内难以继续收紧货币,未来掉期点易下难上。

As the marketization of the RMB exchange rate increases, the factors affecting the movements of swap points have changed, and the appreciation/depreciation expectation on spot rates has have less impacts on swap points. The interest rate parity plays an increasingly important leading role in the market. Following the exchange reform in 11 August 2015, the swap points have been moved in sync with the interest rate parity in most time. However, as the frictional costs of the arbitrage via buying FX swaps is much higher than selling FX swaps, the interest rate parity becomes in effect the upper limit of the swap points. Considering that it is difficult for the USD interest rate to go down and China is unlikely to continue to tighten monetary condition, it is easier for the swap points to go down than to go up in the future.