请教一个有关债券的问题～（请明白人看看）

777

A positive curve allows you to fund a trading book more cheaply by borrowing on a short term basis at lower rates. The positive carry builds up a useful cushion of profit, but the funding may have to be rolled over perhaps many times before the position is unwound. If funding rates rise the cost of carry may negate any trading profits.

Market yields:

O/N repo
5.70 - 5.65 (annual, Actl/360)

12 MTHS
6.05 - 6.00 (semi annual, Actl/Actl)


Strategy:（ 这个策略具体是什么意思？我理解是这样的投资者买了期限为12个月的收益率为6％的有价证券；然后是什么意思呢?6个月之后，到这个回购市场又做了什么操作呢？不太明白）

Expecting a stable market, we buy 12 month paper at 6.00% and fund it for 6 months (182 days) in the overnight repo market at 5.70%.


Analysis:

Over the 6 months we make a net 30 basis points (bps) profit on the carry. This raises the forward breakeven rate on the position

（carry是不是持有的意思呢？)

Forward breakeven: the price (or yield) at which you need to unwind a position in order to cover net carry costs.

A seat-of-the pants calculation of the forward breakeven yield is:



Net carry= Current yield - Funding rate= 6.00 - 5.75= 0.30%


Breakeven yield= Cash yield + Net carry= 6.00 +  0.30= 6.30%( 我理解为只要收益率超过这个值，就会盈利的）

To make a profit we need to sell the tail of the bond position in 6 months for a yield of less than 6.30%.（为什么要少于6。30％能盈利呢？不是大于这个数，才能盈利嘛？因为应该超过breakeven yeild才能盈利嘛） We have in fact created a synthetic futures position in the bond, at a yield of 6.30%. In effect, we are betting on the future yield on the bond being lower than its implied forward yield.
（？？？？？？）


In a positive yield curve:

Being long the curve requires the view that yields will not rise by more than the forward rates

Being short the curve requires the view that yields will rise by more than the forward rates



The figure below highlights the risks involved from a funding perspective. The funding rate after 6 months has not yet been fixed: if the rate rises beyond the breakeven then we shall lose money overall.（为什么，如果要是炒过这个值，会赔了所有的投资呢？）







以上就是一个Bond Yield的carry & breakeven 的Positive Curve问题。
具体的问题在相应的地方已经给出～

请明白人给在下讲解讲解吧～！不胜感激，以后有什么问题好好切磋切磋～

hugsky

你ＣＡＲＲＹ的ＢＯＮＤＳ要卖出去套出ＰＲＯＦＩＴ当然要低于ＴＨＡＴ　ＢＲＥＡＫ　ＥＶＥＮ６．３

这应该是个ＥＸＡＭＰＬＥ　ＡＳ　Ａ　ＤＥＳＣＲＩＢＴＩＯＮ

多想想，你就民百了

777

cheers mate,hehe :)

PDD

可惜俺学得没这么专业～帮你顶

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