2023年全國碩士研究生考試考研英語一試題真題（含答案詳解+作文范文）_第1頁
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1、NthAmericaFixedIncomeStrategy21June2019InterestRateDerivativesSummerofdiscontentUSFixedIncomeStrategyJoshuaYoungerAC(1212)2701323joshua.d.younger@MunierSalem(1212)2700317munier.salem@HenryStJohn(1212)8345669henry.stjohn@

2、J.P.MganSecuritiesLLCSeepage19fanalystcertificationimptantdisclosures.?Thenarrowingofswapspreadswasoneofthemedramaticmarketmovesofthefirsthalf…?…goingfwardweexpectpersistentquarterendpressureaststillheavydealerinventiest

3、ocontinueweighingonspreads?Therecentrallybroughtthemostsignificantconvexityeventsince2008withthepotentialfbankptfoliohedgingtodriveanothermovenarrowerkeepshtsin5sversusOISbuttakeprofitsoncallsreceivers?Benchmarkrefmispro

4、ceedingapacewithliquidityinfuturesimprovingmealbeitstilltentativeactivityinOTCSOFRswaps?IntermediatelongendLibLibbasislooksmispricedrelativetofallbackswecontinuetolookfflattercurvesin1s3s3s6s?SwitchingPAIdiscountingremai

5、nsthemostimptantnexthurdlethoughsomewhatlesserinmagnitudeowingtherallydealerhedgingflowsstillsupptansteepFFSOFRbasisswapcurveatthelongend?Asidefromtheusualconsiderationsthedeclineinratesraisesthespecterofareturntolognmal

6、ityinvolmarkets…?…wefindthatcurrentlevelsareenoughtoreintroducemildlypositivevolratedirectionalityparticularlyifvolsweretorisefurtherreceiverskewinparticularlooksrichunderthisframewkweaddshifted1x2spreadsin1Yx1Yswaptions

7、3NthAmericaFixedIncomeStrategyU.S.FixedIncomeMarketsInterestRateDerivatives21June2019JoshuaYounger(1212)2701323joshua.d.younger@MunierSalem(1212)2700317munier.salem@HenryStJohn(1212)8345669henry.stjohn@smoothing.Italsoin

8、troducestheriskofafeedbackloopthroughGSIBinwhichheavyinventiespressureSTWFsubsceshigherfurtherlimitingthecapacityoftheStreettointermediateotherwisefinancethosepositions.Thisisclearlyabearishsetupfswapspreads.Thoughsomeof

9、thispressurewasanticipatedbroadlybythemarketsponsedrepohasnotproventobethesalvemanyanticipated.NodoubtitsgrowthhasbeennotablewithFICCnowthelargestgovernmentMMFrepocounterpartyat$164bnasofMaydataupmethan$100bnoverthepasty

10、ear.HowevergiventheinclusionofallGSCCtingmembersaseligiblesponsswe(othersfwhatit’swth)franklyexpectedme1.Furtheritisalsopossiblethatincreasedusageofsponsedrepocouldcomeattheexpenseofmebilateraltripartytradeswhichtotheext

11、entitoccurswouldoffsettheoverallexpansionofbalancesheetavailability.Thisallsuggeststhatwhileallelseequaltheintroductionexpansionofsponsedrepolikelyreducedbalancesheetcostsallelsewasnotintheendequalthiswasnotthegamechange

12、ritwasthoughttobe.Exhibit1:MarketbasedfwardexpectationsfromSOFRfuturespointtoafurtherdrifthighinbaselinefundingspreadsaswellasongoing—escalating—disruptionaroundquarterendFuturesmarketimpliedpathfovernightSOFRFFbasis(SOF

13、R–FF)bpWemodelthefwardpathofovernightFFSOFRbysimultaneouslyvaryingthebaselinelevelofSOFRFFfeachquarterlikewisevaryingmonthquarterendturnsWevarytheseparameterscomputehypotheticalpayoutsfCMEfuturesspreadsfbothmonthlyquarte

14、rlycontractstofindanoptimalmatchtothefuturesmarket.SeeBigLittleTurnsM.Salemetal.61819ffurtherdetails.Currentasof62019.Source:J.P.MganReutersTheresulthasbeenasteadydrifthigherinaverageintramonthGCOISspreadsincreasinglydis

15、ruptiveturns.Marketsexpectthisdynamictocontinuethroughatleastyearend:ourframewkftrackingfwardexpectationsshowsthebaselinedriftinghigherby4bpoverthenextsixmonthswithquarterendsina3060bpcontext(Exhibit1fdetailsseeBigLittle

16、TurnsM.Salemetal.61819).WebelievethebaselineshiftcouldbemesignificantifdealersparticularlyGSIBsseektosmoothouttheirrepoactivityabitmepotentiallylooktoreducegrossbalancestocombatrisingSTWFsubsces.ofcoursetherearethefiscal

17、implicationsofrisingrecessionriskFXreserveoutflows.1Wehadpreviouslyanticipatedthecostsassociatedwithsponsingmembersnotleastamongthemtheincreasedmarginrequirementstonotbeaparticularlyhighhurdle.Itispossiblehoweverthatmeri

18、skbasedcapitalconstrainedinstitutionssuchasbankentitieswhoseactivityisdominatedbytheirdealerhavelessappetiteasaconsequence.FurtherincreasingaggregatecapacityviasponsedrepoisnotwithoutGSIBcostsaswellincludingtheSTWFsubsce

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