利率掉期的风险转移

Q1 Economics, Econometrics and Finance
Lee Baker, Richard Haynes, John Roberts, Rajiv Sharma, Bruce Tuckman
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引用次数: 0

摘要

在利率掉期(IRS)市场中,提出了实体净收益(ENNs)作为衡量利率风险转移的指标。与无处不在的名义金额指标不同,enn将风险归一化,并考虑交易对手关系中的多头和空头净额。根据美国报告实体的监管数据,按名义金额衡量的市场规模为231万亿美元,但按ENNs衡量的市场规模仅为13.9万亿美元,与其他大型美国固定收益市场规模相同。本文还量化了各个业务部门之间和内部IRS头寸的规模和方向。实证研究发现,92%使用IRS的实体是完全做多或完全做空。因此,绝大多数市场参与者都是典型的最终用户,市场上的大量净额可归因于相对较少的大型实体的活动。最后,一些特定行业的实证结果与普遍的先验信念不一致。例如,养老基金和保险公司通常被认为是做多美国国税局,以对冲其长期负债,这些行业确实是净做多,但这些行业中大约50%的个体实体实际上是净做空。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Risk Transfer with Interest Rate Swaps

This paper proposes Entity-Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap (IRS) market. Unlike the ubiquitous metric of notional amount, ENNs normalize for risk and account for the netting of longs and shorts within counterparty relationships. Using regulatory data for U.S.-reporting entities, the size of the market measured by notional amount is $231 trillion, but, measured by ENNs, is only $13.9 trillion 5-year swap equivalents, which is the same order of magnitude as other large U.S. fixed income markets. This paper also quantifies the size and direction of IRS positions across and within various business sectors. Among the empirical findings are that 92% of entities using IRS are exclusively long or exclusively short. Hence, the vast majority of market participants are prototypical end users, and the extensive amount of netting in the market is attributable to the activity of relatively few, larger entities. Finally, some sector-specific empirical findings are inconsistent with widespread, prior beliefs. For example, pension funds and insurance companies are typically thought to be long IRS to hedge their long-term liabilities, and these sectors are indeed net long, but approximately 50% of individual entities in these sectors are actually net short.

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来源期刊
Financial Markets, Institutions and Instruments
Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
1.80
自引率
0.00%
发文量
17
期刊介绍: Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.
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