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美元资金面充裕,长期限拆借需求增加——2018年外币货币市场走势与交易策略

来源: 南方日报网络版     时间: 2019年09月17日 21:24:25
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(此)(外)(,2017年)(9月)(远)(期)(购)(汇)(风)(险)(准)(备)(金)(取)(消)(,预)(计)(2018年)(将)(有)(几)(百)(亿)(美)(元)(的)(准)(备)(金)(回)(归)(商)(业)(银)(行)(体)(系)(,也)(在)(一)(定)(程)(度)(上)(增)(加)(了)(境)(内)(美)(元)(资)(金)(供)(给)(。因)(此)(预)(计)(2018年)(境)(内)(美)(元)(资)(金)(面)(大)(体)(维)(持)(2017年)(偏)(宽)(松)(的)(态)(势)(。
(二)()境)(内)(同)(业)(拆)(借)(市)(场)(长)(期)(限)(资)(金)(需)(求)(增)(加)(
2017年)(12月)(6日)(,银)(监)(会)(发)(布)(关)(于)(《商)(业)(银)(行)(流)(动)(性)(风)(险)(管)(理)(办)(法)((修)(订)(征)(求)(意)(见)(稿)()》,办)(法)(中)(的)(净)(稳)(定)(资)(金)(比)(例)(和)(流)(动)(性)(匹)(配)(率)(两)(个)(指)(标)(预)(计)(将)(提)(升)(三)(个)(月)(以)(上)(期)(限)(资)(金)(需)(求)(,对)(资)(金)(供)(给)(的)(抑)(制)(作)(用)(则)(较)(低)(。
资)(金)(需)(求)(方)(面)(,同)(业)(业)(务)(较)(为)(活)(跃)(的)(银)(行)(为)(满)(足)(监)(管)(要)(求)(,将)(会)(延)(长)(融)(入)(资)(金)(的)(期)(限)(偏)(好)(,将)(部)(分)(三)(个)(月)(以)(内)(期)(限)(的)(资)(金)(需)(求)(调)(整)(为)(三)(个)(月)(以)(上)(期)(限)(。资)(产)(规)(模)(大)(于)(2000亿)(元)(人)(民)(币)(的)(银)(行)(,还)(将)(进)(一)(步)(拉)(长)(融)(资)(期)(限)(,增)(加)(六)(个)(月)(以)(上)(期)(限)(的)(拆)(入)(交)(易)(,以)(同)(时)(改)(善)(流)(动)(性)(匹)(配)(率)(和)(优)(质)(流)(动)(性)(资)(产)(充)(足)(率)(两)(项)(指)(标)(。
资)(金)(供)(给)(方)(面)(,三)(个)(月)(以)(上)(期)(限)(资)(金)(的)(主)(要)(供)(给)(方)(为)(境)(内)(大)(行)(。大)(行)(自)(身)(流)(动)(性)(监)(管)(指)(标)(达)(标)(压)(力)(较)(小)(,因)(此)(因)(达)(标)(压)(力)(而)(减)(少)(长)(期)(限)(资)(金)(供)(给)(的)(可)(能)(性)(较)(低)(。
新)(版)(办)(法)(要)(求)(商)(业)(银)(行)(流)(动)(性)(匹)(配)(率)(在)(2018年)(底)(前)(达)(到)(90%。2018年)(初)(以)(来)(,笔)(者)(已)(观)(察)(到)(境)(内)(市)(场)(上)(部)(分)(机)(构)(因)(调)(整)(流)(动)(性)(指)(标)(的)(原)(因)(而)(偏)(向)(长)(期)(限)(融)(资)(。随)(着)(政)(策)(在)(各)(家)(机)(构)(的)(落)(实)(和)(达)(标)(时)(点)(的)(临)(近)(,预)(计)(境)(内)(外)(币)(同)(业)(拆)(借)(市)(场)(长)(期)(资)(金)(需)(求)(将)(增)(加)(,交)(易)(将)(更)(加)(活)(跃)(。
(三)()境)(内)(外)(美)(元)(同)(业)(拆)(借)(利)(差)(有)(所)(缩)(窄)(
境)(内)(美)(元)(同)(业)(拆)(借)(市)(场)(收)(益)(率)(曲)(线)(大)(体)(可)(以)(分)(为)(三)(段)(,包)(括)(隔)(夜)(至)(一)(个)(月)(的)(短)(期)(限)(、一)(个)(月)(至)(三)(个)(月)(的)(中)(期)(限)(和)(三)(个)(月)(至)(一)(年)(的)(长)(期)(限)(。预)(计)(2018年)(短)(期)(和)(长)(期)(利)(率)(水)(平)(上)(行)(幅)(度)(较)(大)(,中)(期)(限)(利)(率)(水)(平)(上)(行)(幅)(度)(较)(小)(,收)(益)(率)(曲)(线)(趋)(平)(,境)(内)(外)(美)(元)(同)(业)(拆)(借)(利)(差)(有)(所)(缩)(窄)(。
对)(于)(隔)(夜)(至)(一)(个)(月)(的)(短)(期)(限)(,预)(计)(2018年)(境)(内)(市)(场)(利)(率)(水)(平)(与)(境)(外)(市)(场)(利)(率)(水)(平)(趋)(近)(,其)(中)(美)(元)(隔)(夜)(利)(率)(基)(本)(与)(Libor持)(平)(,其)(它)(期)(限)(利)(率)(较)(同)(期)(Libor溢)(价)(大)(体)(维)(持)(在)(50BP以)(内)(。境)(内)(市)(场)(短)(期)(限)(成)(交)(非)(常)(活)(跃)(,2017年)(约)(九)(成)(的)(交)(易)(期)(限)(为)(隔)(夜)(。境)(内)(美)(元)(隔)(夜)(利)(率)(价)(格)(粘)(性)(较)(大)(,除)(美)(元)(加)(息)(和)(月)(末)(等)(关)(键)(时)(点)(外)(,利)(率)(基)(本)(维)(持)(稳)(定)(,不)(易)(受)(资)(金)(面)(波)(动)(影)(响)(。因)(此)(隔)(夜)(利)(率)(将)(紧)(跟)(美)(元)(加)(息)(步)(伐)(,利)(率)(水)(平)(基)(本)(与)(Libor持)(平)(。
对)(于)(一)(个)(月)(至)(三)(个)(月)(的)(中)(期)(限)(,预)(计)(2018年)(境)(内)(市)(场)(利)(率)(较)(境)(外)(市)(场)(利)(率)(溢)(价)(幅)(度)(将)(有)(所)(收)(窄)(,利)(率)(水)(平)(较)(同)(期)(Libor溢)(价)(大)(体)(维)(持)(在)(50~100BP区)(间)(内)(。与)(短)(期)(限)(不)(同)(,境)(内)(市)(场)(一)(个)(月)(至)(三)(个)(月)(期)(限)(的)(交)(投)(很)(不)(稳)(定)(。在)(大)(多)(数)(情)(况)(下)(,市)(场)(呈)(现)(供)(不)(应)(求)(或)(供)(大)(于)(求)(的)(状)(态)(,供)(求)(的)(不)(平)(衡)(在)(限)(制)(成)(交)(的)(同)(时)(,也)(推)(动)(市)(场)(利)(率)(水)(平)(快)(速)(调)(整)(。中)(期)(限)(资)(金)(需)(求)(主)(要)(来)(自)(人)(民)(币)(替)(代)(融)(资)(、为)(发)(放)(外)(币)(贷)(款)(的)(融)(资)(和)(为)(投)(资)(外)(币)(债)(券)(的)(融)(资)(等)(,约)(占)(境)(内)(中)(期)(限)(外)(币)(资)(金)(需)(求)(的)(一)(半)(以)(上)(。2018年)(初)(以)(来)(,人)(民)(币)(替)(代)(融)(资)(隐)(含)(利)(率)(与)(直)(接)(融)(资)(利)(率)(差)(已)(大)(幅)(缩)(窄)(。随)(着)(人)(民)(币)(替)(代)(融)(资)(利)(率)(方)(面)(优)(势)(的)(减)(弱)(,以)(及)(因)(严)(监)(管)(而)(减)(少)(的)(人)(民)(币)(资)(金)(需)(求)(,预)(计)(中)(期)(限)(美)(元)(资)(金)(需)(求)(也)(将)(随)(之)(减)(少)(,利)(率)(水)(平)(较)(同)(期)(Libor溢)(价)(幅)(度)(可)(能)(由)(100~150BP区)(间)(逐)(步)(收)(窄)(至)(50~100BP区)(间)(。
对)(于)(三)(个)(月)(至)(一)(年)(的)(长)(期)(限)(,预)(计)(2018年)(境)(内)(市)(场)(利)(率)(较)(境)(外)(市)(场)(利)(率)(溢)(价)(幅)(度)(与)(2017年)(基)(本)(持)(平)(,利)(率)(水)(平)(较)(同)(期)(Libor溢)(价)(大)(体)(维)(持)(在)(50~100BP区)(间)(内)(,交)(易)(活)(跃)(程)(度)(将)(有)(所)(提)(高)(。长)(期)(限)(外)(汇)(资)(金)(需)(求)(方)(面)(,因)(人)(民)(币)(汇)(率)(相)(对)(稳)(定)(,为)(发)(放)(外)(币)(贷)(款)(的)(融)(资)(需)(求)(预)(计)(与)(2017年)(相)(仿)(,为)(投)(资)(外)(币)(债)(券)(的)(融)(资)(需)(求)(稳)(中)(有)(升)(。随)(着)(流)(动)(性)(监)(管)(政)(策)(在)(各)(行)(的)(落)(实)(和)(达)(标)(时)(点)(的)(临)(近)(,为)(改)(善)(流)(动)(性)(指)(标)(的)(融)(资)(需)(求)(预)(计)(将)(有)(所)(增)(加)(。长)(期)(限)(资)(金)(供)(给)(方)(面)(,因)(外)(汇)(资)(金)(面)(较)(为)(充)(裕)(,境)(内)(大)(行)(的)(融)(出)(意)(愿)(料)(将)(与)(2017年)(相)(似)(。
三)(、交)(易)(策)(略)(建)(议)(
(一)()境)(外)(市)(场)(吸)(引)(力)(有)(所)(提)(升)(
境)(内)(银)(行)(在)(面)(对)(境)(外)(外)(币)(同)(业)(拆)(借)(市)(场)(时)(,中)(资)(银)(行)(境)(外)(机)(构)(是)(值)(得)(关)(注)(的)(一)(类)(交)(易)(对)(手)(。预)(计)(2018年)(,中)(资)(银)(行)(境)(外)(机)(构)(外)(币)(拆)(借)(利)(率)(较)(境)(内)(利)(率)(价)(差)(将)(缩)(窄)(,加)(之)(授)(信)(额)(度)(充)(足)(和)(市)(场)(流)(动)(性)(好)(的)(优)(点)(,中)(长)(期)(限)(外)(汇)(资)(金)(融)(出)(方)(可)(多)(关)(注)(此)(类)(交)(易)(对)(手)(。
中)(资)(银)(行)(境)(外)(机)(构)(是)(中)(资)(银)(行)(在)(境)(外)(设)(立)(的)(分)(行)(和)(子)(行)(,通)(过)(货)(币)(市)(场)(吸)(收)(外)(币)(负)(债)(对)(接)(贷)(款)(和)(债)(券)(等)(外)(币)(资)(产)(。除)(部)(分)(处)(于)(发)(达)(国)(家)(的)(机)(构)(可)(采)(用)(发)(行)(存)(单)(等)(方)(式)(融)(资)(外)(,大)(部)(分)(机)(构)(主)(要)(依)(赖)(同)(业)(拆)(借)(融)(资)(,对)(于)(一)(个)(月)(至)(六)(个)(月)(的)(中)(长)(期)(限)(资)(金)(需)(求)(量)(大)(且)(稳)(定)(。
2018年)(,境)(外)(市)(场)(美)(元)(流)(动)(性)(将)(逐)(步)(收)(紧)(,中)(资)(银)(行)(境)(外)(机)(构)(从)(境)(外)(外)(资)(银)(行)(拆)(入)(美)(元)(的)(难)(度)(将)(增)(加)(。同)(时)(,境)(内)(市)(场)(外)(汇)(资)(金)(预)(计)(保)(持)(相)(对)(充)(裕)(,但)(由)(于)(境)(内)(大)(行)(外)(汇)(资)(金)(境)(外)(运)(作)(规)(模)(多)(接)(近)(上)(限)(指)(标)(,拆)(放)(境)(外)(机)(构)(的)(规)(模)(难)(以)(持)(续)(增)(加)(。基)(于)(以)(上)(原)(因)(,预)(计)(中)(资)(银)(行)(境)(外)(机)(构)(外)(币)(同)(业)(拆)(借)(价)(格)(将)(持)(续)(提)(升)(,较)(境)(内)(市)(场)(利)(差)(有)(望)(缩)(窄)(5~10BP。考)(虑)(到)(中)(资)(银)(行)(境)(外)(机)(构)(主)(要)(由)(国)(有)(大)(行)(和)(少)(量)(股)(份)(制)(银)(行)(在)(境)(外)(设)(立)(,境)(内)(机)(构)(对)(其)(授)(信)(额)(度)(较)(为)(充)(足)(。加)(之)(此)(类)(机)(构)(对)(于)(外)(汇)(资)(金)(需)(求)(的)(量)(大)(且)(稳)(定)(,因)(此)(预)(计)(其)(在)(2018年)(的)(吸)(引)(力)(将)(有)(所)(提)(高)(。
(二)()关)(注)(期)(限)(错)(配)(交)(易)(
2017年)(境)(内)(市)(场)(隔)(夜)(至)(三)(个)(月)(期)(限)(的)(收)(益)(率)(曲)(线)(非)(常)(陡)(峭)(,市)(场)(上)(出)(现)(很)(多)(期)(限)(错)(配)(交)(易)(赚)(取)(跨)(期)(限)(利)(差)(。预)(计)(2018年)(上)(半)(年)(,三)(个)(月)(以)(内)(的)(收)(益)(率)(曲)(线)(将)(保)(持)(一)(定)(的)(跨)(期)(限)(利)(差)(,下)(半)(年)(起)(跨)(期)(限)(利)(差)(有)(可)(能)(逐)(步)(缩)(窄)(。
2017年)(境)(内)(美)(元)(同)(业)(拆)(借)(市)(场)(收)(益)(率)(曲)(线)(在)(三)(个)(月)(期)(限)(存)(在)(显)(著)(拐)(点)(,三)(个)(月)(以)(内)(的)(中)(短)(期)(限)(收)(益)(率)(曲)(线)(较)(陡)(,隔)(夜)(至)(三)(个)(月)(期)(限)(的)(全)(年)(平)(均)(利)(差)(为)(102BP,三)(个)(月)(以)(上)(的)(长)(期)(限)(收)(益)(率)(曲)(线)(相)(对)(平)(缓)(,三)(个)(月)(至)(一)(年)(期)(限)(的)(全)(年)(平)(均)(利)(差)(为)(38BP。境)(内)(市)(场)(对)(于)(三)(个)(月)(期)(限)(资)(金)(的)(偏)(好)(推)(高)(了)(其)(利)(率)(水)(平)(。
2018年)(,由)(于)(监)(管)(趋)(严)(的)(政)(策)(取)(向)(,很)(多)(同)(业)(投)(资)(方)(向)(受)(限)(,三)(个)(月)(的)(人)(民)(币)(替)(代)(融)(资)(需)(求)(将)(逐)(渐)(减)(少)(。境)(外)(中)(资)(机)(构)(同)(业)(拆)(入)(吸)(引)(力)(的)(提)(高)(将)(分)(流)(一)(部)(分)(中)(长)(期)(限)(资)(金)(供)(给)(。随)(着)(流)(动)(性)(监)(管)(政)(策)(在)(各)(行)(的)(落)(实)(和)(达)(标)(时)(点)(的)(临)(近)(,部)(分)(三)(个)(月)(期)(限)(的)(融)(资)(需)(求)(将)(被)(置)(换)(为)(六)(个)(月)(以)(上)(期)(限)(以)(改)(善)(指)(标)(。临)(近)(2018年)(底)(时)(,2019年)(美)(联)(储)(加)(息)(节)(奏)(放)(缓)(的)(预)(期)(也)(将)(挤)(压)(中)(长)(期)(限)(利)(率)(上)(行)(的)(空)(间)(。基)(于)(以)(上)(原)(因)(,预)(计)(2018年)(下)(半)(年)(起)(三)(个)(月)(以)(内)(期)(限)(利)(差)(显)(著)(缩)(窄)(,可)(考)(虑)(提)(前)(采)(取)(措)(施)(适)(当)(降)(低)(期)(限)(错)(配)(幅)(度)(。
作)(者)(:施)(晨)(,中)(国)(工)(商)(银)(行)(金)(融)(市)(场)(部)(
原)(文)(《2018年)(外)(币)(货)(币)(市)(场)(走)(势)(与)(交)(易)(策)(略)(》全)(文)(将)(刊)(载)(于)(中)(国)(外)(汇)(交)(易)(中)(心)(主)(办)(《中)(国)(货)(币)(市)(场)(》杂)(志)(2018.2总)(第)(196期)(。返)(回)(搜)(狐)(,查)(看)(更)(多)(
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