从回购质押债扩容看境内外币债的定价和对冲  

The expanding of repo collateral bonds and the pricing and hedging of foreign currency bonds

作　　者：母丹[1] 

机构地区：[1]中国银行全球市场部

出　　处：《中国货币市场》2017年第8期60-63,共4页China Money

摘　　要：今年开始，全国银行间同业拆借中心本币交易系统将外币债纳入质押式回购债券范畴，实现押外币债借人民币的功能，这无疑将提升境内外币债的接受度和吸引力。为促进外币债交易的活跃，该文侧重从境内外币债发行定价、投资对冲、后期估值等操作性问题进行探讨，以期为市场机构提供参考。From this year on, the RMB Electronic Trading System of the National Interbank Funding Center starts to include foreign currency bonds as a type of collateral in the pledged repo market, allowing market players to borrow RMB capital using foreign currency bond collateral. This will undoubtedly enhance the attractiveness and acceptance of foreign currency bonds in China. To promote the active trading of foreign currency bonds, this paper probes into operational issues including the pricing, hedging and valuation of foreign currency bonds, in an attempt to provide references for market institutions.

关 键 词：质押式回购 发行定价 外币 境内 银行间同业拆借中心 本币交易系统 扩容 操作性问题 

分 类 号：F832.5[经济管理—金融学]