人民币利率互换市场与中小银行利率风险管理

IRS Market and Interest Risk Management of Small and Medium-Sized Banks

2019年上半年,银行间利率市场整体运行平稳,无风险利率区间震荡。在多空因素交织下,稳健中性的流动性为市场提供了缓冲,短期利率互换维持小区间震荡行情,对资金波动敏感性较强,在波动相对较大的时点对冲效果良好;中长期利率互换低位运行,曲线走平,整体走势贴合国开债收益率曲线,与5年国开债收益率基差维持在45.65个基点之间。

In the first half of 2019, the interbank interest rate market maintained generally stable and the risk-free interest rate remained rangebound. As bullish factors combined with bearish factors, the prudent and neutral liquidity provided a buffer for the market. The short-term IRS maintained rangebound, showing a higher sensitivity to the fluctuation of the liquidity and providing a better hedging effect in a more volatile market;the long-term IRS ran at low levels with a flattening curve, witnessing a similar movement with the CDB bond yield curve, and the spread between the long-term IRS and the 5Y CBD bond yield was recorded at 45 to 65 bps.