低波动率下的利率衍生品交易——2019年利率衍生品市场回顾与展望

文章回顾了2019年利率衍生品市场,认为在趋势投资相对受限、短期交易兴起的环境下,利率衍生品重要性上升。展望2020年,市场挑战是显性的,但机会也蕴藏在波动中。综合经济基本面、政策立场、机构资产负债等因素看,预计回购利率全年大概率继续在较宽的区间波动,Shibor品种利率中枢下降空间有限。衍生品市场基础设施逐渐完善、债市开放力度进一步加大等因素,有助于提升市场深度和定价准确性。

Interest Rate Derivatives Trading amid Low Volatility---Review and Prospect of Interest Rate Derivatives Market in 2019

The article reviews the interest rate derivatives market in 2019,and believes that under the environment of the relatively limited trend-following investment and the rise of short-term trading,interest rate derivatives have become more important.Looking ahead to 2020,the market will definitely face challenges,but opportunities will also be hidden in the volatilities.Taking into consideration of factors such as economic fundamentals,policy stances,and institutions’balance sheets,the bond repo rates will probably continue to fluctuate within a wide range throughout the year,and the room for the decline of Shibor rates will be limited.Factors such as the gradual improvement of the derivatives market infrastructure and the further opening-up of the bond market will be conducive to enhancing market depth and improving pricing accuracy.