固定收益

用VaR度量固定收益债券的市场风险

Measurement of Market Risk of Fixed Income Bonds with Value at Risk

美国国家经济研究局（nationalbureauofeconomicresearch）的一篇论文声称，已通过学术研究发现了固定收益市场“有史以来最严重的套利现象”。

A paper from the US National Bureau of economic research claims to have identified by academic research in fixed income markets the " largest arbitrage ever " .

为之前几代人提供了可承受的养老计划的固定收益养老计划（definedbenefitpension）正面临绝种。

The defined benefit pension that provided a bearable retirement for earlier generations faces extinction .

固定收益基金的平均回报率也比巴克莱资本（BarclaysCapital）美国综合债券指数（U.S.AggregateBondIndex）落后了4个百分点。

And the average fixed-income fund trailed the Barclays Capital U.S. Aggregate Bond Index by four percentage points .

固定收益养老金计划（definedbenefitschemes）在私人部门几乎不复存在，公共部门的养老金也大幅降低。

Defined benefit schemes have almost disappeared from the private sector , and public sector pensions are to be substantially less generous .

他效力于管理着3550亿美元资产的投资管理公司FederatedInvestors，担任首席固定收益策略师，他指出：“各类资产之间存在不平衡或差别待遇，市政债券是最突出的例子。”

There are inconsistencies or discrepancies from one asset class to another , " he says . "

所谓的相对价值固定收益套利（relativevaluefixed-incomearbitrage）指的是，找出相关债券的定价异常现象，然后押注于这种异常现象将随着时间的推移而消失。

So-called relative value fixed-income arbitrage involves identifying pricing anomalies in matched bonds and betting that over time they will disappear .

美国固定收益市场过去一年的交易，对交易商、投资者和美联储（fed）都是一个重要转折点。

The past year of trading in the US fixed-income market has been a watershed for dealers , investors and the Federal Reserve .

施罗德投资（SchroderInvestmentManagement）亚洲固定收益基金经理AngusHui则表示，人民币不太可能贬值。

Angus Hui , fund manager , Asian fixed income at Schroder Investment Management , says depreciation is unlikely .

出于这个原因，在你的固定收益投资中持有部分财政部通货膨胀保值债券（TIPS）当是明智之举。

For that reason , it 's smart to have a portion of your fixed-income investments in Treasury inflation-protected securities , or TIPS .

这引发了信用违约互换（CDS）的违约危机。这种工具为固定收益资产提供一种保险形式。

This triggers a default on credit default swaps – instruments that provide a form of insurance on fixed income assets .

以往QDII额度只可用来投资海外固定收益产品。

Previously , the QDII quota was designated for overseas fixed income investments only .

此外，固定收益市场的投资规模还出现了增加，原因是美联储（Fed）预计会在今年推出自2006年以来的首次加息举措。

The stakes have also risen for the fixed income markets because the US Federal Reserve is expected to increase interest rates this year for the first time since 2006 .

NationalAllianceCapitalMarkets驻纽约的国际固定收益部门主管AndrewBrenner预计周三下午可能出现三种结果。

Andrew Brenner , head of international fixed income at National Alliance Capital Markets in New York , predicts there are three scenarios that could play out come Wednesday afternoon .

近10年来，欧洲国债市场从未出现这种明显的定价调整，汇丰（HSBC）固定收益研究部门全球主管斯蒂文•梅杰（StevenMajor）表示。

Europe 's government bond markets have not seen such a dramatic repricing for nearly a decade , said Steven Major , global head of fixed income research at HSBC .

汇丰（HSBC）固定收益研究主管史蒂文梅杰（StevenMajor）补充称：欧元区并未脱离危机，这是市场正在告诉我们的。

Steven Major , head of fixed income research at HSBC , added : The eurozone is not out of the crisis – and that is what the markets are telling us .

中投近期完成的一批交易说明，它已解决了与外管局（SAFE）之间的势力争夺战。作为中国外汇储备的官方管理机构，外管局一直在开展自己的非固定收益投资。

CIC 's recent flurry of deals suggests that CIC has resolved a bureaucratic turf war with the State Administration of Foreign Exchange , the official reserves manager , which had been building its own portfolio of non fixed-income investments .

毕竟，正如贝莱德（BlackRock）固定收益部门主管彼得费舍尔（PeterFisher）指出的：通胀是一个有三个变量、而非只有两个变量的等式。

After all , as Peter Fisher , head of fixed income at BlackRock points out : Inflation is a three-variable , not a two-variable equation .

本文作者是野村证券（nomura）美洲固定收益研究主管和g10外汇策略主管

The writer is head of fixed-income research Americas and head of G10 FX strategy for Nomura

花旗集团（Citigroup）固定收益策略师AlbertLeung表示，总回报率不太可能显著高于政府债券的收益率。

Albert Leung , a fixed-income strategist at Citigroup said the total return was unlikely to be substantially higher than the yield on government bonds .

41岁的她曾是瑞银（UBS）固定收益部市场营销负责人，去年10月离开了这家瑞士银行。

The 41-year-old former head of marketing for UBS 's fixed income division left the Swiss bank last October . It was a civilised departure , she says .

固定收益市场受到投资银行的欢迎，原因在于债券的收益率已经下降，因而企业的融资成本降低，同时IPO业务又因股市波动吓跑投资者而陷入低迷。

The popularity of the fixed-income markets comes as yields have fallen , making it cheaper for companies to raise money , while IPOs have struggled as stock-market volatility has scared off investors .

麦肯锡全球研究院（mckinseyglobalinstitute）在一份报告中表示，在这样一种环境中，投资者几乎肯定会撤离股市、转投较为安全的国债及其它固定收益证券。

McKinsey Global Institute , a thinktank , says in a report that investors are almost certain to switch out of equities in this environment into the safety of government bonds and other more secure fixed-income securities .

汇丰（HSBC）全球固定收益研究主管斯蒂文梅杰（StevenMajor）表示，此轮债券抛售的驱动因素包括投资者疲惫、初露头角的通胀迹象，以及欧元区债券发行量加大。

Steven Major , global head of fixed income research at HSBC , said the bond sell-off was driven by investor fatigue , as well as burgeoning signs of inflation and higher issuance of eurozone bonds .

“可以说，我们处在一个全球资金成本越来越高的新阶段，”汇丰（hsbc）固定收益研究全球主管史蒂文梅杰（stevenmajor）表示。

" You could argue that we are at a new stage where the global cost of capital goes higher and higher , " said Steven major , global head of fixed income research at HSBC .

在这一努力中，“圣杯”是ficc（固定收益、外汇和大宗商品交易）。

The Holy Grail in this quest is ficc fixed income , currency and commodities trading .

本周一，为了给收购社交网络领英（LinkedIn）提供资金，微软（Microsoft）发行了近200亿美元债券，其规模在企业债券发行史上排名第五，为固定收益投资人注入一剂强心针。

Microsoft jolted fixed income investors to life on Monday when it sold nearly $ 20bn of debt to fund its takeover of social network LinkedIn , the fifth largest corporate bond sale on record .

巴克莱资本（BarclaysCapital）固定收益研究部门负责人AjayRajadhyaksha说，Fed的这项计划应能“对商业票据市场缓解一定的压力”。

The Fed 's program should'relieve a fair amount of the pressure on the commercial paper market , 'says Ajay Rajadhyaksha , head of fixed-income research at Barclays Capital .

然而，由于金融危机后监管机构收紧了资本金要求并提出了更高的风险标准，银行纷纷不再支持固定收益产品市场，使得复苏单一名称CDS的挑战看来十分巨大。

The challenge of reviving single-name CDS appears substantial , however , given how banks have pulled away from supporting fixed income markets due to tougher capital and risk standards demanded by regulators since the crisis .

孤立来看，对于拥有2400亿美元投资组合，但通常有四分之三以固定收益形式持有，仅有十分之一投资于海外的NPS来说，投资盖特威克机场似乎颇具风险。

In isolation , the Gatwick investment seems risky for a fund used to holding three-quarters of its $ 240bn portfolio in fixed income and only a 10th abroad .