{"id":6197,"date":"2023-02-17T17:25:42","date_gmt":"2023-02-17T15:25:42","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=6197"},"modified":"2024-08-18T09:57:17","modified_gmt":"2024-08-18T07:57:17","slug":"dluhopisy-vi","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=6197","title":{"rendered":"Dluhopisy \u2013 VI."},"content":{"rendered":"

\u00a0\u00a0 Dluhopisy jsou nuda. Zd\u00e1 se, \u017ee z dosavadn\u00edho popisu t\u00e9to problematiky v \u010dl\u00e1nc\u00edch nep\u0159in\u00e1\u0161\u00ed obchodov\u00e1n\u00ed dluhopis\u016f takov\u00e9 \u201epovyra\u017een\u00ed\u201c, jako jin\u00e9 t\u0159\u00eddy aktiv a nen\u00ed tak atraktivn\u00ed z pohledu mo\u017en\u00e9ho v\u00fdnosu k vynalo\u017een\u00e9 investici. Je to pravda? \u010c\u00e1ste\u010dn\u011b asi ano, pokud tedy budu sm\u011b\u0159ovat tyto typy investic do velmi konzervativn\u00edch a bezpe\u010dn\u00fdch typ\u016f dluhov\u00fdch n\u00e1stroj\u016f, nicm\u00e9n\u011b porozum\u011bn\u00ed podstat\u011b cenn\u00fdch pap\u00edr\u016f p\u0159in\u00e1\u0161ej\u00edc\u00edch pevn\u00fd v\u00fdnos je podle m\u00e9ho z\u00e1kladn\u00edm odrazov\u00fdm m\u016fstkem k pochopen\u00ed slo\u017eit\u011bj\u0161\u00edch investi\u010dn\u00edch n\u00e1stroj\u016f, kde dluhopisy tvo\u0159\u00ed jejich v\u00fdznamnou slo\u017eku. Mo\u017en\u00e1 se bude leckter\u00e9mu \u010dten\u00e1\u0159i m\u00e9ho blogu lehce vt\u00edrat do podv\u011bdom\u00ed ot\u00e1zka, pro\u010d jsem \u201ep\u0159ehodil v\u00fdhybku\u201c a z blogu zab\u00fdvaj\u00edc\u00edho se p\u0159ev\u00e1\u017en\u011b opcemi a op\u010dn\u00edm obchodov\u00e1n\u00edm najednou v\u011bnuji takovou pozornost pr\u00e1v\u011b (nudn\u00fdm) dluhopis\u016fm. Odpov\u011b\u010f je vcelku jednoduch\u00e1 – proto\u017ee to spolu velmi \u00fazce souvis\u00ed. Doba, kdy dr\u017een\u00ed dluhopisu nep\u0159in\u00e1\u0161elo v\u00fdznamn\u00e9 benefity, je pravd\u011bpodobn\u011b nadlouho pry\u010d. \u00daro\u010den\u00ed voln\u00fdch pen\u011bz v \u0159\u00e1dech desetin procent ro\u010dn\u011b je ji\u017e minulost\u00ed, cena t\u011bchto prost\u0159edk\u016f v\u00fdznamn\u011b vzrostla a je tak zapot\u0159eb\u00ed tohoto fenom\u00e9nu vyu\u017e\u00edt a pokusit se jej n\u011bjak zpracovat pro vlastn\u00ed prosp\u011bch. Nejsem nijak zdatn\u00fd v\u011b\u0161tec, ale tu\u0161\u00edm, \u017ee vy\u0161\u0161\u00ed \u00farokov\u00e9 sazby jen tak brzy nepominou a potrvaj\u00ed v\u00fdznamn\u00fd \u010das, proto by mohla b\u00fdt investice do dluhopis\u016f v okam\u017eic\u00edch vy\u0161\u0161\u00edch \u00farovn\u00ed t\u011bchto v\u00fdnos\u016f z\u00e1kladem dobr\u00e9 v\u00fdnosov\u00e9 slo\u017eky portfolia v budoucnosti. Pro\u010d si mysl\u00edm, \u017ee op\u010dn\u00ed kontrakty a dluhopisy spolu mohou souviset a jak t\u00e9to souvislosti poprv\u00e9 prakticky vyu\u017e\u00edt se pak stane p\u0159edm\u011btem n\u00e1sleduj\u00edc\u00edch \u0159\u00e1dk\u016f.<\/span><\/p>\n

\n

Dluhopisy a margin<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Na n\u00e1kup<\/strong> dluhov\u00e9ho cenn\u00e9ho pap\u00edru mus\u00edm m\u00edt pen\u00edze<\/strong>, to asi nen\u00ed \u017e\u00e1dn\u00e9 p\u0159ekvapiv\u00e9 zji\u0161t\u011bn\u00ed. K\u00a0tomu, abych mohl ocenit dr\u017een\u00e9 pen\u00edze n\u011bjakou cenou, tedy \u00farokem, mus\u00edm je sv\u011b\u0159it n\u011bkomu, kdo mou p\u0159edstavu o jejich cen\u011b spl\u0148uje. N\u00e1kup dluhopisu, tedy poskytnut\u00ed pen\u011bz dlu\u017en\u00edkovi emituj\u00edc\u00edmu\u00a0dluhov\u00fd cenn\u00fd pap\u00edr, takovou oce\u0148ovac\u00ed transakci m\u00fdch pen\u011bz rozhodn\u011b spl\u0148uje. O tom, jak si alespo\u0148 p\u0159ibli\u017en\u011b spo\u010d\u00edtat cenu p\u016fj\u010den\u00fdch pen\u011bz, bylo p\u0159edm\u011btem p\u0159edch\u00e1zej\u00edc\u00edch \u010dl\u00e1nk\u016f, nyn\u00ed ale mus\u00edm \u0159e\u0161it, krom\u011b samotn\u00e9ho rozhodovac\u00edho procesu s\u00a0v\u00fdb\u011brem dluhopisu a v\u00fdpo\u010detn\u00ed p\u0159\u00edpravou s\u00a0ur\u010den\u00edm p\u0159ibli\u017en\u00e9 ceny v\u00fdnosu, tak\u00e9 praktickou str\u00e1nku obchodu, tedy jeho realizaci v\u00a0obchodn\u00ed platform\u011b a jak se tato transakce projev\u00ed na m\u00e9m \u00fa\u010dtu.<\/span><\/p>\n

\u00a0\u00a0 Broker Interactive Brokers, kter\u00e9ho vyu\u017e\u00edv\u00e1m pro obchodov\u00e1n\u00ed, nab\u00edz\u00ed \u00faro\u010den\u00ed<\/a> <\/span><\/strong>voln\u00fdch prost\u0159edk\u016f podle n\u00ed\u017ee uveden\u00e9ho sch\u00e9matu platn\u00e9ho pro dobu, kdy p\u00ed\u0161u tento \u010dl\u00e1nek (\u00fanor 2023):<\/span><\/p>\n

\u00a0 \"\"\u00a0<\/span><\/p>\n

\u00a0\u00a0 M\u00e1m-li na \u00fa\u010dtu v\u00edce ne\u017e 10.000 USD, mohu pozorovat, \u017ee jsem opr\u00e1vn\u011bn p\u0159ij\u00edmat \u00faroky z\u00a0nevyu\u017eit\u00e9 cash na m\u00e9m obchodn\u00edm \u00fa\u010dtu ve v\u00fd\u0161i 4,070 % p.a.<\/strong>, prvn\u00edch 10.000 USD se do tohoto \u00faro\u010den\u00ed nezapo\u010d\u00edt\u00e1v\u00e1. Ke stanoven\u00ed \u00farokov\u00e9 sazby je rozhodn\u00e1 celkov\u00e1 v\u00fd\u0161e NAV (Net Asset Value) m\u00e9ho \u00fa\u010dtu. Pokud je ni\u017e\u0161\u00ed ne\u017e 100.000 USD, je \u00farokov\u00e1 sazba z tabulky v\u00fd\u0161e pom\u011brn\u011b p\u0159izp\u016fsobena t\u00e9to skute\u010dnosti. Pokud je NAV vy\u0161\u0161\u00ed ne\u017e 100.000 USD, bude m\u016fj \u00fa\u010det p\u0159ipisovat \u00faroky z nevyu\u017eit\u00fdch pen\u011b\u017en\u00edch prost\u0159edk\u016f pr\u00e1v\u011b podle tabulky v\u00fd\u0161e. Mohu si tak p\u0159edstavit, \u017ee m\u00e1m \u00fa\u010det, kter\u00fd m\u00e1 NAV<\/strong> na \u00farovni 95.000 USD<\/strong> (m\u00e9n\u011b ne\u017e 100.000 USD) a voln\u00e9 prost\u0159edky<\/strong> budou p\u0159edstavovat 80.000 USD<\/strong> (15.000 USD m\u00e1m n\u011bjak\u00fdm zp\u016fsobem zainvestov\u00e1no). Kolik mi broker bude \u00faro\u010dit m\u00e9 voln\u00e9 prost\u0159edky je simulov\u00e1no na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Pokud by byla NAV vy\u0161\u0161\u00ed ne\u017e 100.000 USD, byla by pou\u017eita sazba pro \u00faro\u010den\u00ed ve v\u00fd\u0161i 4.070 % p.a., j\u00e1 mam v\u0161ak NAV na hodnot\u011b pouze 95.000,- USD, proto bude tato tabulkov\u00e1 sazba pom\u011brn\u011b zkr\u00e1cena<\/strong> (4.070%*0.95) na sazbu 3.867% p.a. (1)<\/span><\/strong>. Potom, po ne\u00faro\u010den\u00ed prvn\u00edch 10.000 USD mi k \u00faro\u010den\u00ed z\u016fst\u00e1v\u00e1 \u010d\u00e1stka nevyu\u017eit\u00e9 cash (80.000 USD \u2013 10.000 USD) ve v\u00fd\u0161i 70.000,- USD (2)<\/span><\/strong>. Pokud by tyto podm\u00ednky z\u016fstaly zachov\u00e1ny cel\u00fd rok, \u010dinila by \u010d\u00e1stka p\u0159ijat\u00e9ho \u00faroku (70.000*3.867%) sumu 2.760,55 USD\/rok (3)<\/span><\/strong>. Pokud bych podm\u00ednky zm\u011bnil tak, \u017ee budu m\u00edt op\u011bt voln\u00e9 prost\u0159edky ve v\u00fd\u0161i 80.000 USD, ale NAV by byla vy\u0161\u0161\u00ed ne\u017e 100.000 USD, nap\u0159\u00edklad 150.000 USD, vypadal by v\u00fdpo\u010det n\u00e1sledovn\u011b:<\/span><\/p>\n

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\u00a0\u00a0 Vyzna\u010den\u00fdch 70.000 USD, p\u0159edstavuj\u00edc\u00edch voln\u00e9 neinvestovan\u00e9 prost\u0159edky po odpo\u010dtu ne\u00faro\u010den\u00fdch prvn\u00edch 10.000 USD, by bylo \u00faro\u010deno sazbou 4.070% p.a. (1)<\/span><\/strong> a p\u0159edstavovalo by p\u0159ipsan\u00fd ro\u010dn\u00ed \u00farok ve v\u00fd\u0161i +2.849 USD (2)<\/span><\/strong>.<\/span><\/p>\n

\u00a0\u00a0 \u00darokov\u00e1 sazba 4.070% p.a. je u Interactive Brokers stanovena jako hodnota Benchmark Rate<\/strong> sn\u00ed\u017eena o p\u016fl procentn\u00edho bodu, viz obr\u00e1zek s ur\u010den\u00edm \u00farokov\u00e9 sazby v \u010dl\u00e1nku v\u00fd\u0161e. Benchmark Rate p\u0159edstavuje tzv. Fed Funds Effective Rate<\/strong>, kterou lze odez\u00edrat z webov\u00fdch str\u00e1nek americk\u00e9 centr\u00e1ln\u00ed banky<\/a><\/strong><\/span> a pro aktu\u00e1ln\u011b popisovanou situaci nyn\u00ed v \u010dl\u00e1nku by tato sazba byla ke spat\u0159en\u00ed na tomto webu takto:<\/span><\/p>\n

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\u00a0\u00a0 Je jasn\u00e9, \u017ee tato m\u00edra \u00faro\u010den\u00ed u m\u00e9ho brokera se bude v \u010dase m\u011bnit a bude z\u00e1visl\u00e1 na zm\u011bn\u00e1ch \u00farokov\u00fdch sazeb americk\u00e9 centr\u00e1ln\u00ed banky. Mohu tedy jednodu\u0161e konstatovat, \u017ee pokud nebudu d\u011blat se sv\u00fdmi pen\u011bzi u sv\u00e9ho brokera v\u016fbec nic, budu je m\u00edt nyn\u00ed \u00faro\u010deny celkem slu\u0161nou \u00farokovou sazbou. V\u00fd\u0161e t\u011bchto \u00farok\u016f je zobrazov\u00e1na nap\u0159\u00edklad v okn\u011b Account platformy TWS:<\/span><\/p>\n

\"\" <\/span><\/p>\n

\u00a0\u00a0\u00a0 Sumarizace p\u0159ijat\u00fdch a zaplacen\u00fdch \u00farok\u016f je mo\u017en\u00e9 sledovat kumulativn\u011b v\u017edy od po\u010d\u00e1tku kalend\u00e1\u0159n\u00edho m\u011bs\u00edce, na tomto \u00fa\u010dtu nap\u0159\u00edklad p\u0159ipsaly tyto \u00faroky od za\u010d\u00e1tku m\u011bs\u00edce \u010d\u00e1stku +137,67 USD.<\/span><\/p>\n

\u00a0\u00a0 P\u0159esto\u017ee je p\u0159ij\u00edm\u00e1n\u00ed t\u011bchto pen\u011bz na obchodn\u00ed \u00fa\u010det jist\u011b velmi p\u0159\u00edjemn\u00e1 z\u00e1le\u017eitost, vy\u017eaduje, abych na takov\u00e9m \u00fa\u010dtu m\u011bl voln\u00e9 pen\u011b\u017en\u00ed prost\u0159edky, tedy nezapojoval tyto prost\u0159edky do obchodov\u00e1n\u00ed, proto jsem si ale zcela jist\u011b tento \u00fa\u010det nez\u0159izoval. Zapojen\u00edm prost\u0159edk\u016f na m\u00e9m \u00fa\u010dtu do obchodov\u00e1n\u00ed bude m\u00edt na jeho bilanci z\u00e1kladn\u00ed vliv, po\u0159\u00edzen\u00ed akci\u00ed vy\u017eaduje v\u00fddaj na tento n\u00e1kup ve v\u00fd\u0161i jejich ceny, po\u0159\u00edzen\u00ed deriv\u00e1tov\u00e9 pozice takt\u00e9\u017e, tyto investice tak sni\u017euj\u00ed objem voln\u00fdch prost\u0159edk\u016f, proto\u017ee jsou spot\u0159ebov\u00e1ny pr\u00e1v\u011b na tyto investi\u010dn\u00ed n\u00e1stroje. Z jednoduch\u00e9 logiky by pak m\u011blo platit, \u017ee mnou investovan\u00e9 prost\u0159edky do nejr\u016fzn\u011bj\u0161\u00edch investi\u010dn\u00edch p\u0159\u00edle\u017eitost\u00ed by m\u011bly m\u00edt v\u00fdkon, kter\u00fd aktu\u00e1ln\u011b v anualizovan\u00e9m tvaru p\u0159ed\u010d\u00ed zhodnocen\u00ed 4.070% p.a. Pokud tomu tak nen\u00ed nebo nejsem o takov\u00e9m v\u00fdkonu p\u0159esv\u011bd\u010den, bude patrn\u011b lep\u0161\u00ed nechat pen\u00edze na obchodn\u00edm \u00fa\u010dtu a spolehnout se na \u00farokov\u00e9 sazby nab\u00edzen\u00e9 brokerem.<\/span><\/p>\n

\u00a0\u00a0 Jsem p\u0159edev\u0161\u00edm op\u010dn\u00ed obchodn\u00edk a zaj\u00edm\u00e1 m\u011b, jak mohu vyu\u017e\u00edt fenom\u00e9nu slu\u0161n\u00e9ho \u00faro\u010den\u00ed pr\u00e1v\u011b v kombinaci s obchodov\u00e1n\u00edm op\u010dn\u00edch kontrakt\u016f. Nastal tak \u010das na popis prvn\u00ed situace, jak a pro\u010d zapojit do op\u010dn\u00edho obchodov\u00e1n\u00ed pr\u00e1v\u011b dluhov\u00e9 cenn\u00e9 pap\u00edry. K objasn\u011bn\u00ed podstaty pou\u017eiji konkr\u00e9tn\u00ed praktickou uk\u00e1zku. Na sv\u00e9m \u00fa\u010dtu budu cht\u00edt nakoupit 1000 akci\u00ed spole\u010dnosti MSFT a budu cht\u00edt tuto investici prov\u00e9st nikoliv dr\u017een\u00edm fyzick\u00fdch akci\u00ed, ale vytvo\u0159it tuto pozici synteticky pomoc\u00ed opc\u00ed. Takov\u00e1 pozice je zobrazena na obr\u00e1zku op\u010dn\u00edho \u0159et\u011bzce s expirac\u00ed za m\u011bs\u00edc (17.3.2023), v tomto \u010dasov\u00e9m horizontu m\u00e1m v \u00famyslu setrvat v t\u00e9to akciov\u00e9 pozici. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 P\u0159i aktu\u00e1ln\u00ed cen\u011b akcie MSFT<\/strong> na \u00farovni 269.32 USD (1)<\/span><\/strong> bych mohl nakoupit 10*Long Call 270<\/strong> a vypsat na stejn\u00e9m strike 10*Short Put 270 (2)<\/span><\/strong>, tato transakce by st\u00e1la -35 USD<\/strong> na jednu syntetickou pozici (3)<\/span><\/strong>, pro deset pozic reprezentuj\u00edc\u00edch syntetickou replikaci 1000 akci\u00ed MSFT bych tak musel vydat (-35 USD*10) \u010d\u00e1stku -350 USD. Co to bude znamenat s\u00a0finan\u010dn\u00edho pohledu na prost\u0159edky na m\u00e9m \u00fa\u010dtu? Mal\u00fd v\u00fddaj sni\u017euj\u00edc\u00ed objem voln\u00fdch prost\u0159edk\u016f a blokov\u00e1n\u00ed zna\u010dn\u011b velk\u00e9ho marginov\u00e9ho po\u017eadavku. \u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Mohu opravdu pozorovat, \u017ee v\u00fddajem na tuto syntetickou<\/strong> pozici Long 1000x MSFT (1)<\/span><\/strong> bude \u010d\u00e1stka -35 USD (2)<\/span><\/strong> za ka\u017edou z\u00a0nich v\u00a0celkov\u00e9 \u010d\u00e1stce -350 USD (3)<\/span><\/strong> bez poplatk\u016f. Co je pro m\u011b ale podstatn\u00e9, je zji\u0161t\u011bn\u00ed, \u017ee tato transakce zablokuje na m\u00e9m \u00fa\u010dtu \u010d\u00e1stku -39.850 USD<\/strong> jako maintenance margin (4)<\/span><\/strong>, tedy tuto \u010d\u00e1stku bude broker po\u017eadovat za overnight dr\u017een\u00ed t\u00e9to syntetick\u00e9 pozice. Toto nen\u00ed probl\u00e9m, proto\u017ee m\u00e1m na \u00fa\u010dtu dostatek voln\u00fdch pen\u011b\u017en\u00edch prost\u0159edk\u016f a s touto blokac\u00ed po\u010d\u00edt\u00e1m, mus\u00edm nav\u00edc po\u010d\u00edtat, \u017ee tato \u010d\u00e1stka se bude pr\u016fb\u011b\u017en\u011b m\u011bnit s t\u00edm, jak se bude m\u011bnit cena akcie MSFT. Co by m\u011b ale m\u011blo znepokojovat je skute\u010dnost, \u017ee tato \u010d\u00e1stka nebude nyn\u00ed nijak \u00faro\u010dena, proto\u017ee slou\u017e\u00ed m\u00e9mu brokerovi k zaji\u0161t\u011bn\u00ed rizika spojen\u00e9ho s dr\u017een\u00edm po\u0159\u00edzen\u00e9 pozice na m\u00e9m \u00fa\u010dtu a na tuto \u010d\u00e1stku se \u017e\u00e1dn\u00e9 \u00faro\u010den\u00ed nevztahuje. P\u0159esto\u017ee jsem utratil pouze -350 USD, tak t\u011bchto blokovan\u00fdch zhruba 40.000 USD nebude pracovat v m\u016fj prosp\u011bch, tedy p\u0159i mal\u00e9m sn\u00ed\u017een\u00ed bilance hotov\u00fdch prost\u0159edk\u016f po\u0159\u00edzen\u00edm investice do syntetick\u00fdch akciov\u00fdch pozic na m\u00e9m \u00fa\u010dtu jsem zablokoval jejich velkou \u010d\u00e1st po\u017eadavkem na margin a nav\u00edc tyto pen\u00edze nenesou \u017e\u00e1dn\u00fd v\u00fdnos. Co mohu nyn\u00ed ud\u011blat? Po\u0159\u00eddit takovou investici, kter\u00e1 m\u00e1 zcela opa\u010dn\u00e9 vlastnosti, tedy m\u00e1 mal\u00fd po\u017eadavek na margin a nese p\u0159im\u011b\u0159en\u00fd v\u00fdnos, a takovou investic\u00ed mohou b\u00fdt pr\u00e1v\u011b dluhopisy.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span> jsem popisoval konkr\u00e9tn\u00ed nakoupenou pozici americk\u00fd vl\u00e1dn\u00edch zerobond\u016f, tedy po\u0159\u00edzen\u00ed kr\u00e1tkodob\u00fdch T-Bills se splatnost\u00ed v dubnu 2023, kter\u00e9 p\u0159in\u00e1\u0161ely v \u010dl\u00e1nku vypo\u010d\u00edtan\u00fd v\u00fdnos 4.565% p.a. Mohu tak tuto pozici prozkoumat z pohledu blokovan\u00e9ho marginu a tuto skute\u010dnost mohu odez\u00edrat ve sv\u00e9m Account Management. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0sekci Performance & Reports\/Statements\/Other Report\/Margin<\/strong> mohu sledovat zat\u00ed\u017een\u00ed sv\u00e9ho \u00fa\u010dtu jednotliv\u00fdmi marginov\u00fdmi po\u017eadavky pro ka\u017edou dr\u017eenou pozici. Mohu tak cht\u00edt sledovat, jakou v\u00fd\u0161i marginu je zat\u00ed\u017een\u00e1 m\u00e1 dluhopisov\u00e1 pozice popisovan\u00e1 v minul\u00e9m \u010dl\u00e1nku.<\/span><\/p>\n

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\u00a0\u00a0 Dluhopisy z\u00a0Face Value 50.000 USD a s\u00a0aktu\u00e1ln\u00ed cenou 49.572,81 USD (1)<\/span><\/strong> jsou zat\u00ed\u017eeny po\u017eadavkem na margin ve v\u00fd\u0161i 495.73 USD (2)<\/span><\/strong>. Tato \u010d\u00e1stka blokovan\u00e9ho marginu p\u0159esn\u011b odpov\u00edd\u00e1 v\u00fdpo\u010dtu marginov\u00e9ho po\u017eadavku pro po\u0159\u00edzen\u00ed vl\u00e1dn\u00edch dluhopis\u016f m\u00e9ho brokera:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Margin ve v\u00fd\u0161i 1% z aktu\u00e1ln\u00ed ceny dluhopisu se splatnost\u00ed krat\u0161\u00ed ne\u017e \u0161est m\u011bs\u00edc\u016f je p\u0159esn\u011b to, co budu od takov\u00e9 investice po\u017eadovat, tedy vyu\u017eit\u00ed jako kolater\u00e1l pro n\u00e1kup akciov\u00fdch syntetick\u00fdch pozic MSFT. Mohu tak po\u0159\u00edzen\u00edm t\u011bchto dluhopis\u016f vyu\u017e\u00edt n\u00edzk\u00e9ho po\u017eadavku na margin a nahradit v\u00fdpadek z celkem slu\u0161n\u00e9ho \u00faro\u010den\u00ed voln\u00fdch prost\u0159edk\u016f m\u00fdm brokerem, jednodu\u0161e vym\u011bn\u00edm sazbu poskytovanou brokerem za \u00faroky, kter\u00e9 mi p\u0159inesou nakoupen\u00e9 zerobondy, tyto maj\u00ed nav\u00edc vy\u0161\u0161\u00ed v\u00fdnos, ne\u017e by mi p\u0159ineslo \u00faro\u010den\u00ed brokerem. Pokud bych tedy konkr\u00e9tn\u011b cht\u011bl vyu\u017e\u00edt n\u00e1kup dluhopis\u016f se splatnost\u00ed bl\u00edzkou expiraci m\u00e9 akciov\u00e9 syntetick\u00e9 pozice, mohl bych toto prov\u00e9st n\u00e1sledovn\u011b:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 T-Bills se splatnost\u00ed 16.3.2023 (1)<\/span><\/strong>, tedy jeden den p\u0159ed expirac\u00ed m\u00fdch op\u010dn\u00edch kontrakt\u016f tvo\u0159\u00edc\u00ed syntetick\u00fd long na akcie MSFT (expiruj\u00ed 17.3.2023), bych nakoupil v po\u010dtu 40*1000 USD p\u0159edstavuj\u00edc\u00edch Face Value<\/strong> t\u011bchto zerobond\u016f (2)<\/strong><\/span>. Na tuto investici bych vydal -39.874,48 USD<\/strong> po zapo\u010dten\u00ed komis\u00ed (3)<\/strong><\/span>, o tuto hodnotu bych sn\u00ed\u017eil voln\u00e9 prost\u0159edky na m\u00e9m \u00fa\u010dtu. Nicm\u00e9n\u011b marginov\u00fd po\u017eadavek by se nav\u00fd\u0161il pouze o 1% z\u00a0hodnoty t\u00e9to dluhopisov\u00e9 investice, konkr\u00e9tn\u011b o 399 USD<\/span> (4)<\/strong><\/span>. Pokud bych tedy m\u011bl tuto pozici takto vytvo\u0159enu, tedy slo\u017eeninu syntetick\u00e9 akciov\u00e9 pozice a dluhopisovou pozici, m\u011bl bych vyd\u00e1no z\u00a0voln\u00fdch pen\u011b\u017en\u00edch prost\u0159edk\u016f -350 USD za n\u00e1kup 1000x Syntetick\u00fdch Long akci\u00ed MSFT a -39.874,48 USD za n\u00e1kup zerobond\u016f, tedy celkov\u011b bych volnou cash<\/strong> sn\u00ed\u017eil o -40.224,48 USD<\/strong>. Marginov\u00fd po\u017eadavek by odpov\u00eddal \u010d\u00e1stce -39.850 USD jako maintenance margin za n\u00e1kup 1000x Syntetick\u00fdch Long akci\u00ed MSFT a \u010d\u00e1stce -399 USD za po\u0159\u00edzen\u00ed b\u0159eznov\u00fdch zerobond\u016f, dohromady by pak tento celkov\u00fd margin<\/strong> \u010dinil -40.249 USD<\/strong>. Tato pozice by pak, na rozd\u00edl od pouh\u00e9ho dr\u017een\u00ed syntetick\u00fdch akci\u00ed, p\u0159isp\u011bla na m\u016fj \u00fa\u010det p\u0159ijat\u00fdm \u00farokem, kter\u00fd mi vygeneruj\u00ed nakoupen\u00e9 zerobondy bez ohledu na to, jak se bude vyv\u00edjet cena akci\u00ed MSFT do expirace opc\u00ed a splatnosti dluhopis\u016f. Pokud by se mi poda\u0159ilo tyto zerobondy po\u0159\u00eddit nyn\u00ed, kdy p\u00ed\u0161u tento \u010dl\u00e1nek za cenu, kterou vid\u00edm ve sv\u00e9 obchodn\u00ed platform\u011b, mohl bych si v\u00fdnos vypo\u010d\u00edtat pomoc\u00ed excelu z minul\u00e9ho \u010dl\u00e1nku<\/a><\/strong><\/span> takto:<\/span><\/p>\n

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\u00a0 \u00a0P\u0159ijat\u00fd \u00farok ze zerobond\u016f by se rovnal zhodnocen\u00ed 4.392% p.a. <\/strong>P\u0159esto\u017ee bych m\u011bl tedy zablokov\u00e1no zhruba -40.000 USD jako marginov\u00fd po\u017eadavek na tuto celou pozici (syntetick\u00e9 akcie + dluhopisy), mohl bych se t\u011b\u0161it minim\u00e1ln\u011b z \u00faroku, kter\u00e9 mi p\u0159inesou tyto nakoupen\u00e9 zerobondy, pokud bych je nepo\u0159\u00eddil, \u017e\u00e1dn\u00e9 \u00faroky bych od sv\u00e9ho brokera na zablokovan\u00fdch prost\u0159edc\u00edch neinkasoval.\u00a0\u00a0<\/span><\/p>\n

\n

\u00a0\u00a0 Po\u0159\u00edzen\u00edm velmi kvalitn\u00edho a bezrizikov\u00e9ho dluhopisu (m\u00e1m na mysli americk\u00e9 vl\u00e1dn\u00ed dluhopisy), nem\u016f\u017eu nic v\u00fdrazn\u011b zkazit. Jako dopln\u011bk k jin\u00fdm obchodn\u00edm transakc\u00edm se v\u00edce ne\u017e hod\u00ed, a pokud jej po\u0159\u00edd\u00edm do takto strukturovan\u00e9mu obchodu, tak mohu vyu\u017e\u00edt jejich sou\u010dasn\u00fd \u00farokov\u00fd potenci\u00e1l. Zcela z\u00e1m\u011brn\u011b jsem zvolil op\u010dn\u00ed obchod tak, aby rozd\u00edl mezi vynalo\u017eenou \u010d\u00e1stkou na po\u0159\u00edzen\u00ed pozice a zablokovan\u00fdm marginem byla co nejv\u011bt\u0161\u00ed a vyu\u017eit\u00ed tohoto typu dluhopis\u016f bylo co nejplasti\u010dt\u011bj\u0161\u00ed. Americk\u00e9 vl\u00e1dn\u00ed dluhopisy, zejm\u00e9na ty s kr\u00e1tkou dobou splatnosti, \u00a0jsou mimo\u0159\u00e1dn\u011b likvidn\u00ed t\u0159\u00eddou aktiv a lze je kdykoliv bez probl\u00e9m\u016f prodat a p\u0159etavit tak tuto investici zp\u011bt do voln\u00fdch pen\u011b\u017en\u00edch prost\u0159edk\u016f. Pokud bych ve sv\u00e9m p\u0159\u00edkladu pou\u017eil nam\u00edsto syntetick\u00e9ho po\u0159\u00edzen\u00ed long akci\u00ed jejich p\u0159\u00edm\u00e9 fyzick\u00e9 dr\u017een\u00ed, vznikla by mi na marginov\u00e9m \u00fa\u010dtu samoz\u0159ejm\u011b stejn\u00e1 p\u0159\u00edle\u017eitost kompenzovat ne\u00faro\u010den\u00ed zablokovan\u00fdch pen\u011bz nakoupen\u00edm dluhopis\u016f, pouze by se v p\u0159\u00edkladu jednalo o jinou \u010d\u00e1stku spot\u0159ebovan\u00fdch voln\u00fdch prost\u0159edk\u016f, tato je samoz\u0159ejm\u011b u n\u00e1kupu fyzick\u00fdch akci\u00ed vy\u0161\u0161\u00ed. Mohl bych tak\u00e9 toto pomocn\u00e9 \u00faro\u010den\u00ed dluhopisy sv\u011b\u0159it jin\u00fdm typ\u016fm dluhopis\u016f (municip\u00e1ln\u00ed, korpor\u00e1tn\u00ed) ne\u017e americk\u00fdm vl\u00e1dn\u00edm, tam mus\u00edm v\u00e9st v patrnosti, \u017ee marginov\u00e9 po\u017eadavky na jejich n\u00e1kup ji\u017e nebudou tak „luxusn\u00ed“ jako u popisovan\u00fdch kr\u00e1tkodob\u00fdch US-T zerobond\u016f a budou se li\u0161it, zejm\u00e9na v z\u00e1vislosti na vyhodnocen\u00ed rizikovosti dan\u00e9ho dluhopisu, koneckonc\u016f rizika spojen\u00e1 s dr\u017een\u00edm dluhopisu budou p\u0159edm\u011btem dal\u0161\u00edho \u010dl\u00e1nku\u2026:c)<\/span><\/p>\n

\u00a0 \u00a0Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky k tomuto \u010dl\u00e1nku pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do tohoto vl\u00e1kna<\/strong><\/a><\/span> :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 Dluhopisy jsou nuda. Zd\u00e1 se, \u017ee z dosavadn\u00edho popisu t\u00e9to problematiky v \u010dl\u00e1nc\u00edch nep\u0159in\u00e1\u0161\u00ed obchodov\u00e1n\u00ed dluhopis\u016f takov\u00e9 \u201epovyra\u017een\u00ed\u201c, jako jin\u00e9 t\u0159\u00eddy aktiv a nen\u00ed tak atraktivn\u00ed z pohledu mo\u017en\u00e9ho v\u00fdnosu k vynalo\u017een\u00e9 investici. Je to pravda? \u010c\u00e1ste\u010dn\u011b asi ano, pokud tedy budu sm\u011b\u0159ovat tyto typy investic do velmi konzervativn\u00edch Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":6198,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[60],"tags":[61],"class_list":["post-6197","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-dluhopisy","tag-dluhopisy"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2023\/02\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1BX","jetpack-related-posts":[{"id":6010,"url":"https:\/\/dobretrejdy.com\/?p=6010","url_meta":{"origin":6197,"position":0},"title":"Dluhopisy \u2013 III.","author":"dobretrejdy :c)","date":"14.12.2022","format":false,"excerpt":"\u00a0\u00a0N\u00e1kupem dluhopisu p\u016fj\u010duji pen\u00edze. Nejjednodu\u0161\u0161\u00ed definice, kterou by si mohla zaslou\u017eit odpov\u011b\u010f na ot\u00e1zku, co to vlastn\u011b dluhopis je. Emitent dluhopisu \u2013 dlu\u017en\u00edk - vstupuje do pr\u00e1vn\u00edho svazku s v\u011b\u0159itelem (t\u0159eba se mnou), kter\u00fd je zalo\u017een na z\u00e1vazku dlu\u017en\u00edka platit v\u011b\u0159iteli periodick\u00fd \u00farok ve form\u011b kup\u00f3nu a splatit celou p\u016fvodn\u011b\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":6340,"url":"https:\/\/dobretrejdy.com\/?p=6340","url_meta":{"origin":6197,"position":1},"title":"Dluhopisy – IX.","author":"dobretrejdy :c)","date":"26.4.2023","format":false,"excerpt":"\u00a0 \u00a0Obchody s dluhopisy maj\u00ed sv\u016fj smysl a nen\u00ed od v\u011bci porozum\u011bt jejich fungov\u00e1n\u00ed. Pozn\u00e1n\u00ed teorie je skv\u011bl\u00e1 v\u011bc, nicm\u00e9n\u011b nesm\u00edm zapomenout v p\u0159em\u00ed\u0159e teoretizov\u00e1n\u00ed tak\u00e9 na praktickou str\u00e1nku tohoto typu obchodov\u00e1n\u00ed, tedy jak skute\u010dn\u011b dluhopis po\u0159\u00eddit. Dne\u0161n\u00ed \u010dl\u00e1nek pak bude o dluhopisech v prost\u0159ed\u00ed m\u00e9ho brokera Interactive Brokers, kde\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/SC1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/SC1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/SC1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7175,"url":"https:\/\/dobretrejdy.com\/?p=7175","url_meta":{"origin":6197,"position":2},"title":"Dluhopisy \u2013 XIX.","author":"dobretrejdy :c)","date":"10.7.2024","format":false,"excerpt":"\u00a0\u00a0 Dluhopisov\u00e1 deriv\u00e1tov\u00e1 j\u00edzda pokra\u010duje :c). V prvn\u00edm \u010dl\u00e1nku o dluhopisov\u00fdch futures Dluhopisy \u2013 XIV. jsem popisoval existenci a vlastnosti \u201evelk\u00fdch\u201c Treasury futures, kter\u00e9 p\u0159edstavovaly term\u00ednov\u00e9 kontrakty, jejich\u017e podkladov\u00fdmi aktivy byly dluhopisy se splatnost\u00ed 2 a v\u00edce let podle jednotliv\u00e9 specifikace pro ka\u017ed\u00fd typ tohoto futures kontraktu. Tyto \u201evelk\u00e9\u201c Treasury\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/07\/Bill1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6742,"url":"https:\/\/dobretrejdy.com\/?p=6742","url_meta":{"origin":6197,"position":3},"title":"Dluhopisy \u2013 XIII.","author":"dobretrejdy :c)","date":"28.10.2023","format":false,"excerpt":"\u00a0\u00a0 Poznat a pochopit dluhopisov\u00fd trh, porozum\u011bt z\u00e1kladn\u00edm princip\u016fm spojen\u00fdch s nakl\u00e1d\u00e1n\u00ed s dluhopisy a zjednodu\u0161en\u00fd vhled do mo\u017enost\u00ed, jak je u sv\u00e9ho brokera nakoupit a co to m\u016f\u017ee pro m\u011b znamenat, bylo p\u0159edm\u011btem p\u0159edchoz\u00edch \u010dl\u00e1nk\u016f. Nabyt\u00e9 poznatky pak mohu aplikovat na zapojen\u00ed dluhopis\u016f do sv\u00e9ho obchodov\u00e1n\u00ed a nemus\u00ed to\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/10\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":6234,"url":"https:\/\/dobretrejdy.com\/?p=6234","url_meta":{"origin":6197,"position":4},"title":"Dluhopisy \u2013 VII.","author":"dobretrejdy :c)","date":"22.3.2023","format":false,"excerpt":"\u00a0 Vypad\u00e1 to doposud, jakoby obchodov\u00e1n\u00ed s\u00a0dluhopisy bylo bezpe\u010dnou proch\u00e1zkou les\u00edkem, sta\u010d\u00ed m\u00edt pouze p\u0159im\u011b\u0159en\u00e9 oble\u010den\u00ed, hezk\u00e9 po\u010das\u00ed a dobrou n\u00e1ladu a pocit celkov\u00e9ho \u0161t\u011bst\u00ed m\u011b pot\u00e9 nem\u016f\u017ee minout. Stejn\u011b jako u jin\u00fdch obchodovan\u00fdch t\u0159\u00edd aktiv plat\u00ed, \u017ee v\u00fd\u0161e podstupovan\u00e9ho rizika je odm\u011b\u0148ov\u00e1na adekv\u00e1tn\u00ed porc\u00ed mo\u017en\u00e9ho profitu, je takto formulovan\u00e1\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6561,"url":"https:\/\/dobretrejdy.com\/?p=6561","url_meta":{"origin":6197,"position":5},"title":"Dluhopisy \u2013 XI.","author":"dobretrejdy :c)","date":"26.8.2023","format":false,"excerpt":"\u00a0\u00a0Dluhopisov\u00fd seri\u00e1l pokra\u010duje, p\u00ed\u0161e se jeho dal\u0161\u00ed d\u00edl. Pokud se zd\u00e1, \u017ee se podrobn\u011b a mo\u017en\u00e1 zbyte\u010dn\u011b v\u011bnuji americk\u00fdm vl\u00e1dn\u00edm dluhopis\u016fm, tak tento \u010dl\u00e1nek op\u011bt nebude o ni\u010dem jin\u00e9m, n\u011b\u017e pr\u00e1v\u011b o t\u00e9to kategorii dluhov\u00fdch cenn\u00fdch pap\u00edr\u016f. Pro\u010d tomu tak je vypl\u00fdv\u00e1 z m\u00e9ho praktick\u00e9ho pohledu na v\u011bc. Krom\u011b toho,\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/08\/Aukce1.jpg?resize=700%2C400 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6197","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=6197"}],"version-history":[{"count":17,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6197\/revisions"}],"predecessor-version":[{"id":7314,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6197\/revisions\/7314"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/6198"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6197"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6197"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6197"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}