{"id":6833,"date":"2023-12-07T18:07:10","date_gmt":"2023-12-07T16:07:10","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=6833"},"modified":"2024-08-18T17:04:56","modified_gmt":"2024-08-18T15:04:56","slug":"dluhopisy-xiv","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=6833","title":{"rendered":"Dluhopisy \u2013 XIV. \u00a0\u00a0\u00a0\u00a0"},"content":{"rendered":"

\u00a0 \u00a0Pravd\u011bpodobn\u011b nejv\u00fdznamn\u011bj\u0161\u00edmi dluhopisov\u00fdmi deriv\u00e1ty jsou dluhopisov\u00e9 futures<\/strong>. Napodobit dr\u017een\u00ed dluhopis\u016f (v tomto \u010dl\u00e1nku americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f), ani\u017e bych se jich jen dotknul, mi pom\u016f\u017ee existence tzv. \u201eTreasury Futures\u201c kontrakt\u016f. Nebudu se nyn\u00ed nijak v\u00fdznamn\u011b zdr\u017eovat n\u011bjak\u00fdm kv\u011btnat\u00fdm \u00favodem \u010dl\u00e1nku a bez ot\u00e1len\u00ed se pono\u0159\u00edm p\u0159\u00edmo do pozoruhodn\u00e9ho t\u00e9matu, kter\u00fd je natolik specifick\u00fd a navazuj\u00edc\u00ed na p\u0159edchoz\u00ed \u010dl\u00e1nky dluhopisov\u00e9ho seri\u00e1lu, \u017ee mysl\u00edm nyn\u00ed p\u0159i\u0161el jeho prav\u00fd \u010das.<\/span><\/p>\n

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\u00a0\u00a0 Obchodov\u00e1n\u00ed futures kontrakt\u016f na americk\u00e9 vl\u00e1dn\u00ed dluhopisy organizuje americk\u00e1 burza CME Group<\/a><\/strong> <\/span>a nutno ihned na za\u010d\u00e1tku podotknout, \u017ee obchodov\u00e1n\u00ed dluhopisov\u00fdch futures nen\u00ed \u017e\u00e1dn\u00e1 \u201epralesn\u00ed liga\u201c, ale mimo\u0159\u00e1dn\u011b likvidn\u00ed trh s\u00a0obrovsk\u00fdm Open Interest a denn\u00edm Volume proveden\u00fdch obchod\u016f. Na obr\u00e1zku n\u00ed\u017ee souhrnn\u00fd obr\u00e1zek trh\u016f s\u00a0dluhopisov\u00fdmi futures za posledn\u00edch v\u00edce ne\u017e dvacet let.<\/span><\/p>\n

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\u00a0\u00a0 Pokud bych cht\u011bl toto tvrzen\u00ed o skv\u011bl\u00e9 likvidit\u011b t\u011bchto trh\u016f d\u00e1le roz\u0161\u00ed\u0159it o n\u011bjak\u00e1 dal\u0161\u00ed konkr\u00e9tn\u011bj\u0161\u00ed data, tak k\u00a0jejich grafick\u00e9mu vyobrazen\u00ed by mohly pomoci n\u00ed\u017ee uveden\u00e9 obr\u00e1zky, t\u00fdkaj\u00edc\u00ed se nap\u0159\u00edklad futures<\/strong> kontrakt\u016f na americk\u00e9 dluhopisy s\u00a0desetiletou splatnost\u00ed<\/strong>, kter\u00e9 podle souhrnn\u00e9ho obr\u00e1zku v\u00fd\u0161e objem\u016fm obchod\u016f v\u00e9vod\u00ed:<\/span><\/p>\n

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\u00a0\u00a0 Posledn\u00ed m\u011bs\u00edc v\u00a0histogramu zobrazuje denn\u00ed Volume<\/strong> ve v\u00fd\u0161i cca dvou milion\u016f<\/strong> zobchodovan\u00fdch futures kontrakt\u016f, kter\u00e9 gradovalo do sv\u00e9ho dvojn\u00e1sobku ke konci zobrazovan\u00e9ho obdob\u00ed (modr\u00e9 sloupce s\u00a0levou osou \u201ey\u201c) a Open Interest<\/strong>, jako po\u010det otev\u0159en\u00fdch futures kontrakt\u016f zobrazen\u00fd modrou k\u0159ivkou s\u00a0hodnotami na prav\u00e9 ose \u201ey\u201c, s\u00a0hodnotou lehce koketuj\u00edc\u00ed po cel\u00e9 obdob\u00ed ve v\u00fd\u0161i zhruba p\u011bt milion\u016f<\/strong> kontrakt\u016f. Zasadit tato \u010d\u00edsla do souvislosti s\u00a0\u00fadaji z\u00a0ned\u00e1vn\u00e9 minulosti a vytvo\u0159it n\u011bjak\u00e9 minisrovn\u00e1n\u00ed, kter\u00e9 by m\u011blo odr\u00e1\u017eet setrval\u00fd stav likvidity a obrovsk\u00e9ho objemu obchod\u016f mohu vy\u010d\u00edst z\u00a0m\u011bs\u00ed\u010dn\u00edho reportu burzy:<\/span><\/p>\n

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\u00a0\u00a0 Po\u010det zobchodovan\u00fdch futures na desetilet\u00e9 vl\u00e1dn\u00ed dluhopisy za m\u011bs\u00edc \u0159\u00edjen 2023<\/strong> byl na \u00farovni 43 milion\u016f kontrakt\u016f<\/strong> ve srovn\u00e1n\u00ed s\u00a0\u0159\u00edjnem<\/strong> p\u0159ede\u0161l\u00e9ho roku 2022<\/strong> s\u00a0hodnotou 34 milion\u016f kontrakt\u016f (1)<\/span><\/strong>.<\/span> Pokud bych cht\u011bl srovnat del\u0161\u00ed \u010dasov\u00fd \u00fasek, tak od za\u010d\u00e1tku roku 2023<\/strong> do konce \u0159\u00edjna 2023 byl tento po\u010det zobchodovan\u00fdch futures kontrakt\u016f na \u00factyhodn\u00e9 \u00farovni 403 milion\u016f kontrakt\u016f<\/strong>, srovnateln\u00e9 obdob\u00ed minul\u00e9ho roku 2022<\/strong> by pak p\u0159ineslo hodnotu 390 milion\u016f zobchodovan\u00fdch futures (2)<\/span><\/strong>. O pokles likvidity na tomto trhu se nemus\u00edm ob\u00e1vat. Mohu pak (pro srovn\u00e1n\u00ed) porovnat tyto objemy se zna\u010dn\u011b obl\u00edben\u00fdmi futures kontrakty na akciov\u00e9 indexy S&P500 a Nasdaq 100 ozna\u010dovan\u00e9 jako e-mini S&P500 <\/strong>a e-mini Nasdaq 100 <\/strong>nebo jejich mikrovariantami micro e-mini S&P500<\/strong> a micro e-mini Nasdaq 100<\/strong>.<\/span><\/p>\n

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\u00a0 \u00a0Objemu obchod\u016f s dluhopisov\u00fdmi futures se vyrovnaj\u00ed pouze obchody s e-mini S&P500 futures kontrakty. Pokud byste vs\u00e1zeli na to, \u017ee objemy obchod\u016f s indexov\u00fdmi futures budou daleko objemn\u011bj\u0161\u00ed ne\u017e obchody s dluhopisov\u00fdmi futures, nebyla by to pravda, tyto trhy dluhopisov\u00fdch futures tak zcela jist\u011b zaslou\u017e\u00ed pozornost a nen\u00ed to opravdu nic \u201emal\u00e9ho a k p\u0159ehl\u00e9dnut\u00ed\u201c.<\/span><\/p>\n

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Co z\u00e1kladn\u00edho je k obchodov\u00e1n\u00ed?<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Dluhopisov\u00e1 futures m\u011b budou zaj\u00edmat zejm\u00e9na z praktick\u00e9ho hlediska, tedy budu zkoumat pouze to, co mohu vyu\u017e\u00edt pro sv\u00e9 obchodov\u00e1n\u00ed ve sv\u011btle toho, co mi umo\u017e\u0148uje m\u016fj broker Interactive Brokers. Nebudu se tak nyn\u00ed zab\u00fdvat dluhopisov\u00fdmi deriv\u00e1ty, kter\u00e9 nejdou u tohoto brokera zobchodovat nebo kter\u00e9 jsou pro m\u016fj trading nevyu\u017eiteln\u00e9 a z\u016fstanu u klasick\u00fdch dluhopisov\u00fdch futures a snahy pochopit jejich fungov\u00e1n\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Prozkoum\u00e1n\u00ed existence dluhopisov\u00fdch futures na str\u00e1nk\u00e1ch domovsk\u00e9 burzy CME m\u00e1 tento v\u00fdsledek:<\/span><\/p>\n

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\u00a0\u00a0 Mohu vypozorovat, \u017ee existuje aktu\u00e1ln\u011b sedm typ\u016f dluhopisov\u00fdch futures kontrakt\u016f<\/strong>, kdy\u017e kontrakt TWEH4<\/strong> \u2013 dluhopisov\u00e9 futures na dvacetilet\u00e9 bondy s\u00a0expirac\u00ed v\u00a0b\u0159eznu 2024 nen\u00ed listov\u00e1no<\/strong> (\u010derven\u00e1 \u0161ipka). V\u00a0tabulce tak mohu shora dol\u016f vypozorovat aktu\u00e1ln\u00ed nab\u00eddku dluhopisov\u00fdch futures kontrakt\u016f s\u00a0nejbli\u017e\u0161\u00ed expirac\u00ed v\u00a0b\u0159eznu 2024 (p\u0159\u00edznak H4), tedy ZT<\/strong> \u2013 dluhopisov\u00e9 futures na dvoulet\u00e9<\/strong> americk\u00e9 vl\u00e1dn\u00ed dluhopisy, Z3N<\/strong> \u2013 dluhopisov\u00e9 futures na t\u0159\u00edlet\u00e9<\/strong> americk\u00e9 vl\u00e1dn\u00ed dluhopisy, ZF<\/strong> \u2013 dluhopisov\u00e9 futures na p\u011btilet\u00e9<\/strong> americk\u00e9 vl\u00e1dn\u00ed dluhopisy, ZN<\/strong> \u2013 dluhopisov\u00e9 futures na desetilet\u00e9<\/strong> americk\u00e9 vl\u00e1dn\u00ed dluhopisy, TN<\/strong> \u2013 \u201eultra\u201c dluhopisov\u00e9 futures na desetilet\u00e9<\/strong> americk\u00e9 vl\u00e1dn\u00ed dluhopisy, ZB<\/strong> \u2013 dluhopisov\u00e9 futures na t\u0159icetilet\u00e9<\/strong> americk\u00e9 vl\u00e1dn\u00ed dluhopisy a UB<\/strong> \u2013 \u201eultra\u201c dluhopisov\u00e9 futures na t\u0159icetilet\u00e9<\/strong> americk\u00e9 vl\u00e1dn\u00ed dluhopisy.<\/span><\/p>\n

\u00a0\u00a0 Stejn\u00e9 pozorov\u00e1n\u00ed pak mohu aplikovat na futures mikrokontrakty<\/strong>, kde mohu vid\u011bt n\u00ed\u017ee uveden\u00fd obr\u00e1zek:<\/span><\/p>\n

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\u00a0\u00a0 Podle n\u00e1zvu jednotliv\u00fdch kontrakt\u016f je patrn\u00e9, ke kter\u00fdm americk\u00fdm vl\u00e1dn\u00edmu dluhopis\u016fm podle splatnosti se tyto mikrokontrakty v\u00e1\u017eou. Mohu tak nyn\u00ed ji\u017e prov\u00e9st prvn\u00ed z\u00e1kladn\u00ed orientaci v dluhopisov\u00fdch futures a vyhodnotit, \u017ee pokud \u201evelk\u00e9\u201c futures jsou zobrazeny s cenami „kolem stovky bod\u016f“, bude patrn\u011b toto \u010d\u00edslo nav\u00e1z\u00e1no na hodnotu<\/strong> (cenu) podkladov\u00fdch dluhopis\u016f<\/strong>, u mikrokontrakt\u016f s hodnotou aktu\u00e1ln\u011b kolem \u010dty\u0159ky bude jejich hodnota odvozena od v\u00fdnos\u016f<\/strong> pokladov\u00fdch<\/strong> americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f<\/strong>, co\u017e koneckonc\u016f je vt\u011bleno tak\u00e9 do jejich n\u00e1zvu \u2013 nap\u0159. Micro 10-Year Yield <\/strong>Futures. Pohledem do m\u00e9 obchodn\u00ed aplikace TWS brokera Interactive Brokers mohu vypozorovat dostupnost t\u011bchto investi\u010dn\u00edch n\u00e1stroj\u016f s\u00a0t\u00edmto v\u00fdsledkem:<\/span><\/p>\n

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\u00a0 \u00a0V\u0161echny v\u00fd\u0161e popsan\u00e9 produkty mohu u sv\u00e9ho brokera obchodovat, co\u017e je skv\u011bl\u00e9. Nezb\u00fdv\u00e1 ne\u017e pochopit, jak tyto investi\u010dn\u00ed n\u00e1stroje funguj\u00ed.<\/span><\/p>\n

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Co p\u0159edstavuje cena dluhopisov\u00e9ho futures?<\/strong><\/span><\/h1>\n

\u00a0\u00a0 P\u0159edm\u011btem tohoto \u010dl\u00e1nku pak bude hled\u00e1n\u00ed odpov\u011bdi na ot\u00e1zku uv\u00e1d\u011bj\u00edc\u00ed tento odstavec, tedy p\u00e1tr\u00e1n\u00ed po tom, co vlastn\u011b p\u0159edstavuje cena dluhopisov\u00e9ho futures. Pokud se mi to poda\u0159\u00ed, mohu bl\u00ed\u017ee porozum\u011bt fungov\u00e1n\u00ed \u201evelk\u00fdch\u201c futures kontrakt\u016f, pochopit bl\u00ed\u017ee jejich konstrukci a toto v\u0161e pak mohu zapojit do p\u0159\u00edpadn\u00e9ho obchodov\u00e1n\u00ed. P\u00ed\u0161u tento \u010dl\u00e1nek v\u00a0prosinci a z\u00a0obr\u00e1zku s\u00a0p\u0159ehledem s\u00a0aktu\u00e1ln\u00edmi futures kontrakty mohu vy\u010d\u00edst, \u017ee nejbli\u017e\u0161\u00ed expirace t\u011bchto kontrakt\u016f je s\u00a0ozna\u010den\u00edm b\u0159ezen 2024, dal\u0161\u00ed pozorovanou vlastnost\u00ed t\u011bchto kontrakt\u016f je pak jejich t\u0159\u00edm\u011bs\u00ed\u010dn\u00ed cyklus<\/strong>, mohu tak v\u00a0pr\u016fb\u011bhu roku investovat do dluhopisov\u00fdch futures s\u00a0dod\u00e1n\u00edm v\u00a0b\u0159eznu<\/strong> (H), \u010dervnu<\/strong> (M), z\u00e1\u0159\u00ed<\/strong> (U) a prosinci<\/strong> (Z). Zapeklit\u00fdm probl\u00e9mem, podle m\u00e9ho kl\u00ed\u010dov\u00fdm pro pochopen\u00ed cel\u00e9 mechaniky dluhopisov\u00e9ho futures, je zji\u0161t\u011bn\u00ed \u201eco se vlastn\u011b dod\u00e1v\u00e1?<\/strong><\/em>\u201c na vypo\u0159\u00e1d\u00e1van\u00fd futures kontrakt u settlement procedury a pro\u010d m\u00e1 aktu\u00e1ln\u00ed dluhopisov\u00e9 futures \u201epr\u00e1v\u011b tuto cenu<\/em><\/strong>\u201c.<\/span><\/p>\n

\u00a0\u00a0 N\u00e1kup kuku\u0159i\u010dn\u00e9ho futures kontraktu s dod\u00e1n\u00edm v kv\u011btnu 2024 za cenu 495 znamen\u00e1 dohodu mezi kupcem a prodejcem futures, \u017ee ve stanovenou dobu v kv\u011btnu p\u0159\u00ed\u0161t\u00edho roku (nyn\u00ed je rok 2023) jsem povinen odebrat 5000 bu\u0161l\u016f kuku\u0159ice za cenu 495 cent\u016f\/bu\u0161l. Kuku\u0159i\u010dn\u00fd bu\u0161l p\u0159edstavuje 25.40 kg a odeb\u00edran\u00e9 mno\u017estv\u00ed je 5000 bu\u0161l\u016f, tedy 127 000 kg nebo tak\u00e9 127 tun. Tato hromada 127 tun m\u011b pak vyjde podle nakoupen\u00e9ho futures na (4.95 USD*5000)\/127, co\u017e je 195 USD za tunu kuku\u0159ice. Zcela \u017eiv\u011b si um\u00edm p\u0159edstavit telefon\u00e1t z na\u0161eho n\u00e1dra\u017e\u00ed, \u017ee byly p\u0159istaveny na kusou kolej k vylo\u017een\u00ed dva vagony s kuku\u0159ic\u00ed (do vag\u00f3nu se vleze cca 100 tun), kter\u00e9 jsem si v prosinci dojednal za cenu 495 cent\u016f\/bu\u0161l, co\u017e p\u0159i aktu\u00e1ln\u00edm kurzu dolaru ke korun\u011b znamen\u00e1 cenu 4290 CZK\/tunu dod\u00e1van\u00e9 kuku\u0159ice. Fyzick\u00e9 dod\u00e1n\u00ed t\u00e9to komodity podle parametr\u016f po\u0159izovan\u00e9ho futures kontraktu se d\u00e1 velmi jednodu\u0161e p\u0159edstavit, mohu ji tak aplikovat na dal\u0161\u00ed vag\u00f3ny s p\u0161enic\u00ed nebo s\u00f3jov\u00fdmi boby, p\u0159istaven\u00e9 cisterny s ropou, benz\u00ednem \u010di ethanolem, chlad\u00edrensk\u00e9 vozy nacpan\u00e9 hov\u011bz\u00edm masem nebo p\u016flkami prasat, mimo p\u0159edstavivost nejsou ani kub\u00edky plynu v potrub\u00ed \u010di barely s topn\u00fdm olejem. Pokud je p\u0159edm\u011btem futures kontraktu povinnost v budoucnosti<\/strong> n\u011bco dodat protistran\u011b<\/strong> za aktu\u00e1ln\u011b akceptovatelnou cenu<\/strong>, mus\u00edm se logicky pt\u00e1t, co budu v p\u0159\u00edpad\u011b dluhopisov\u00e9ho futures dod\u00e1vat, v jak\u00e9m tvaru, v jak\u00e9m mno\u017estv\u00ed a kolik toto mno\u017estv\u00ed stoj\u00ed pr\u00e1v\u011b dnes. Toto mi pak odpov\u00ed na z\u00e1kladn\u00ed ot\u00e1zku, co vlastn\u011b reprezentuje aktu\u00e1ln\u00ed cena dluhopisov\u00e9ho futures. Na obr\u00e1zku n\u00ed\u017ee je z\u00e1kladn\u00ed p\u0159ehled dluhopisov\u00fdch futures kontrakt\u016f s parametry dod\u00e1van\u00fdch podklad\u016f:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee pokud po\u0159\u00edd\u00edm dluhopisov\u00e9 futures s\u00a0podkladem p\u0159edstavuj\u00edc\u00ed dluhopisy se splatnost\u00ed 5 a v\u00edce let<\/strong> (ZF, ZN, TN, ZB a UB) jsou mi dod\u00e1ny dluhopisy s Face Value<\/strong> s hodnotou 100.000 USD<\/strong>, pokud po\u0159\u00edd\u00edm dluhopisov\u00e9 futures s podkladov\u00fdmi dluhopisy se splatnost\u00ed do t\u0159\u00ed let<\/strong> (ZT a Z3N) jsou mi dod\u00e1ny dluhopisy s Face Value<\/strong> na \u00farovni 200.000 USD<\/strong>. Mohu tak ji\u017e nyn\u00ed p\u0159i p\u0159\u00edpadn\u00fdch budouc\u00edch obchodech s dluhopisov\u00fdmi futures konstatovat, \u017ee hodnota pohybu jednoho bodu<\/strong> (nap\u0159\u00edklad z ceny 110,275 na cenu 111,275 u futures ZNH4 –\u00a0 desetilet\u00e9 futures) bude \u010dinit +1.000 USD. <\/strong>\u00a0Stejn\u00fd r\u016fstov\u00fd pohyb o jeden bod u futures ZT<\/strong> a Z3N<\/strong> (nejkrat\u0161\u00ed dvoulet\u00e9 a t\u0159\u00edlet\u00e9 futures) p\u0159edstavuje pohyb o +2.000 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Dluhopisov\u00e9 futures tedy p\u0159edstavuje hypotetick\u00e9 nakl\u00e1d\u00e1n\u00ed z\u00a0dluhopisov\u00fdmi podklady (fyzick\u00fdmi dluhopisy) ve v\u00fd\u0161i 100.000 USD (200.000 USD u dvoulet\u00fdch a t\u0159\u00edlet\u00fdch dluhopisov\u00fdch futures), pot\u0159ebuji ale v\u011bd\u011bt, kter\u00e9 konkr\u00e9tn\u00ed dluhopisy to jsou. M\u00e1m p\u0159edstavu o dod\u00e1van\u00e9 hromad\u011b kuku\u0159ice, na kterou bych si mohl na n\u00e1dra\u017e\u00ed fyzicky s\u00e1hnout, jak\u00fd konkr\u00e9tn\u00ed dluhopis<\/strong> mi ale dod\u00e1 prodejce dluhopisov\u00e9ho desetilet\u00e9ho futures kontraktu s\u00a0dod\u00e1n\u00edm v\u00a0b\u0159eznu 2024? Na obr\u00e1zku n\u00ed\u017ee je zobrazen \u201eseznam\u201c dluhopis\u016f, kter\u00e9 jsou dod\u00e1v\u00e1ny podle jednotliv\u00fdch typ\u016f dluhopisov\u00fdch futures.<\/span><\/p>\n

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

\u00a0 \u00a0 Z obr\u00e1zku vypl\u00fdv\u00e1, \u017ee ka\u017ed\u00e9mu dluhopisov\u00e9mu futures<\/strong> jsou p\u0159i\u0159azeny k dod\u00e1n\u00ed americk\u00e9 vl\u00e1dn\u00ed dluhopisy<\/strong> se splatnostmi podle nazna\u010den\u00e9ho sch\u00e9matu<\/strong>. Nen\u00ed to tak jeden konkr\u00e9tn\u00ed dluhopis s konkr\u00e9tn\u00ed splatnost\u00ed a konkr\u00e9tn\u00edm kup\u00f3nem, ale \u201ecel\u00fd ko\u0161\u201c (Delivery Basket<\/strong>) dluhopis\u016f, kter\u00e9 jsou ur\u010deny k dod\u00e1n\u00ed p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed dluhopisov\u00e9ho futures mezi stranami kontraktu. Tak jako dod\u00e1van\u00e1 kuku\u0159ice mus\u00ed m\u00edt odpov\u00eddaj\u00edc\u00ed vlastnosti, kvalitu a mno\u017estv\u00ed, tak bude p\u0159edm\u011btem doru\u010den\u00ed dluhopisu snaha o jeho \u201estandardizaci\u201c. Jedn\u00edm z hlavn\u00edch d\u016fvod\u016f vyb\u00edr\u00e1n\u00ed p\u0159i\u0159azovan\u00e9ho futures z ko\u0161e dluhopis\u016f je nevytvo\u0159it cenov\u00fd tlak na konkr\u00e9tn\u00ed dluhopis, pokud by p\u0159edm\u011btem dod\u00e1n\u00ed byl p\u0159edem stanoven\u00fd jedin\u00fd konkr\u00e9tn\u00ed dluhov\u00fd cenn\u00fd pap\u00edr. Mohu tak nap\u0159\u00edklad u desetilet\u00e9ho futures kontraktu ZN<\/strong> vypozorovat, \u017ee ko\u0161 dluhopis\u016f, ze kter\u00e9ho se bude vyb\u00edrat u vypo\u0159\u00e1d\u00e1n\u00ed budou americk\u00e9 vl\u00e1dn\u00ed dluhopisy (T-Notes) se splatnost\u00ed mezi 6 a p\u016fl rokem<\/strong> a 7 a t\u0159i\u010dtvrt\u011b rokem (1)<\/span><\/strong>. Mohu tak\u00e9 vypozorovat, \u017ee \u201eUltra\u201c dluhopisov\u00fd desetilet\u00fd futures kontrakt (TN) m\u00e1 dod\u00e1van\u00e9 dluhopisy z jinak poskl\u00e1dan\u00e9ho ko\u0161e dluhopis\u016f, a to konkr\u00e9tn\u011b z dluhopis\u016f se splatnost\u00ed mezi 9 5\/12 roku a\u017e 10 let (2)<\/span><\/strong>. P\u0159esto\u017ee se tak jedn\u00e1 o desetilet\u00fd futures kontrakt, m\u00e1 k dod\u00e1n\u00ed jin\u00e9 dluhopisy, proto se jeho cena tak\u00e9 li\u0161\u00ed od \u201eklasick\u00e9ho\u201c desetilet\u00e9ho futures kontraktu ZN, poznamen\u00e1v\u00e1m pak, \u017ee toto je jedin\u00e1 odli\u0161nost tohoto \u201eultra\u201c futures, v\u0161echny ostatn\u00ed vlastnosti jsou pak stejn\u00e9. Stejn\u00fd rozd\u00edl s r\u016fznost\u00ed ko\u0161e dod\u00e1van\u00fdch dluhopis\u016f je pak tak\u00e9 u t\u0159icetilet\u00fdch futures, kde mohu vypozorovat dod\u00e1van\u00e9 maturity u klasick\u00e9ho t\u0159icetilet\u00e9ho futures (ZB) v rozsahu splatnosti 15 \u2013 25 let (3)<\/strong><\/span>, kde\u017eto Ultra t\u0159icetilet\u00e9 futures (UB) m\u00e1 delivery basket slo\u017een z dluhopis\u016f se splatnost\u00ed 25 \u2013 30 let (4)<\/strong><\/span>.<\/span><\/p>\n

\u00a0 \u00a0\u00a0Existence souboru r\u016fzn\u00fdch dluhopis\u016f, kter\u00e9 mohu obdr\u017eet\/dodat p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed dluhopisov\u00e9ho futures kontraktu je sice dobr\u00e9 zji\u0161t\u011bn\u00ed, nicm\u00e9n\u011b mi nijak neodpov\u011bd\u011blo na ot\u00e1zku, kter\u00fd z\u00a0tohoto souboru dluhopis\u016f mohu pova\u017eovat za reprezentanta pro vypo\u0159\u00e1d\u00e1n\u00ed. Jak je tato v\u011bc vy\u0159e\u0161ena uk\u00e1\u017eu na aktu\u00e1ln\u00edm ZNH4, tedy desetilet\u00e9m (10Y) dluhopisov\u00e9m futures s\u00a0dod\u00e1n\u00edm v\u00a0b\u0159eznu 2024. Jeho dne\u0161n\u00ed parametry v\u00a0m\u00e9 obchodn\u00ed platform\u011b jsou n\u00ed\u017ee uveden\u00e9:<\/span><\/p>\n

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\u00a0\u00a0 ZNH4<\/strong> kontrakt m\u00e1 nyn\u00ed cenu 109.80<\/strong> a reprezentuje dluhopisov\u00e9 futures s podkladem, tedy dluhopisem, kter\u00fd m\u00e1 n\u00ed\u017ee uveden\u00e9 vlastnosti uveden\u00e9 ve specifikaci<\/a><\/strong><\/span> zve\u0159ejn\u011bn\u00e9 na str\u00e1nk\u00e1ch CME:\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Ze specifikace tohoto futures kontraktu vypl\u00fdv\u00e1, \u017ee doru\u010dovan\u00fd dluhopis p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed futures mus\u00ed m\u00edt splatnost z intervalu 6 a \u00bd roku a\u017e 7 a \u00be roku a mus\u00ed n\u00e9st ro\u010dn\u00ed v\u00fdnos (kup\u00f3n) 6% p.a.. Ostatn\u00ed text nen\u00ed pro tuto chv\u00edli podstatn\u00fd. Mohu si tedy pro tuto situaci s doru\u010dov\u00e1n\u00edm n\u011bkter\u00e9ho z dluhopis\u016f, kter\u00e9 budou m\u00edt po\u017eadovanou vlastnost, zobrazit v\u00fd\u010det v\u0161ech dluhopis\u016f, kter\u00e9 budou vyhovovat alespo\u0148 spln\u011bn\u00ed podm\u00ednky pro interval jejich splatnosti.<\/span><\/p>\n

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\u00a0\u00a0 Pro ZNH4<\/strong> dluhopisov\u00e9 futures s\u00a0cenou 109.80 (1)<\/span><\/strong> budou p\u0159ich\u00e1zet v\u00a0\u00favahu dluhopisy<\/strong>, kter\u00e9 jsou na zbyl\u00fdch \u0159\u00e1dc\u00edch obr\u00e1zku z obchodn\u00ed platformy (2)<\/strong><\/span>, v\u0161echny budou m\u00edt splatnost v\u00a0rozmez\u00ed 6 a \u00bd roku a\u017e 7 a \u00be roku v\u00a0dob\u011b vypo\u0159\u00e1d\u00e1n\u00ed tohoto futures v\u00a0b\u0159eznu 2024. Je ale patrn\u00e9, \u017ee ka\u017ed\u00fd dluhopis m\u00e1 jin\u00fd ro\u010dn\u00ed v\u00fdnos – kup\u00f3n (3)<\/span><\/strong> a tak\u00e9 jinou cenu<\/strong> (4)<\/strong> <\/span>a je tak jist\u00e9, \u017ee \u017e\u00e1dn\u00fd z nich se neobchoduje za Face Value a tak\u00e9 nenese ro\u010dn\u00ed v\u00fdnos, p\u0159edstavuj\u00edc\u00ed kup\u00f3n ve v\u00fd\u0161i 6% p.a., tak jak je uvedeno ve specifikaci tohoto futures kontraktu. Jak je za\u0159\u00edzeno f\u00e9rov\u00e9 ocen\u011bn\u00ed dan\u00e9ho futures a zaji\u0161t\u011bna rovnost \u201edodac\u00edch podm\u00ednek\u201c pro \u00fa\u010dastn\u00edky trhu dluhopisov\u00fdch futures by se dalo usoudit z n\u00e1sleduj\u00edc\u00edho teoretick\u00e9ho p\u0159\u00edkladu, kter\u00fd vych\u00e1z\u00ed z p\u0159edpokladu, \u017ee by k doru\u010den\u00ed mohl b\u00fdt n\u00e1hodn\u011b vybr\u00e1n dluhopis se splatnost\u00ed v listopadu 2030<\/strong> a s kup\u00f3nem 4.375 % p.a. (5)<\/span><\/strong>, kter\u00fd se aktu\u00e1ln\u011b obchoduje za 101.053 %<\/strong> Face Value.<\/span><\/p>\n

Hypotetick\u00fd p\u0159\u00edklad<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Vyjdu z jednoduch\u00e9 situace, kdy nem\u00e1m \u017e\u00e1dn\u00e9 pen\u00edze, ale mohu si na voln\u00e9m trhu zajistit kr\u00e1tkodobou p\u016fj\u010dku za 8% p.a. Potom, v hypotetick\u00e9m p\u0159\u00edkladu, bych mohl dnes prodat ZNH4<\/strong> dluhopisov\u00e9 futures s aktu\u00e1ln\u00ed cenou 109.80 bodu a utr\u017eit +109.080 USD<\/strong>. Sou\u010dasn\u011b bych si p\u016fj\u010dil 101.053 USD<\/strong> s \u00farokem 8% p.a.<\/strong> a nakoupil<\/strong> bych za tuto \u010d\u00e1stku pr\u00e1v\u011b v\u00fd\u0161e uveden\u00fd (n\u00e1hodn\u011b vybran\u00fd) podkladov\u00fd dluhopis<\/strong> se splatnost\u00ed v listopadu 2030 a s kup\u00f3nem 4.375 % p.a.<\/strong> za jeho aktu\u00e1ln\u00ed cenu podle obr\u00e1zku. Do vypo\u0159\u00e1d\u00e1n\u00ed dluhopisov\u00e9ho futures ZNH4 zb\u00fdv\u00e1 p\u0159esn\u011b 108 kalend\u00e1\u0159n\u00edch dn\u016f. Jak\u00e1 by byla situace u dod\u00e1n\u00ed dluhopisu za necel\u00e9 \u010dty\u0159i m\u011bs\u00edce?<\/span><\/p>\n

\u00a0\u00a0 Celkov\u011b jsem p\u0159ijal<\/strong> \u010d\u00e1stku +109.080,- USD<\/strong> za prodej dluhopisov\u00e9ho futures a p\u0159ijal kup\u00f3n<\/strong> z nakoupen\u00e9ho dluhopisu (4.375 USD*108\/365) ve v\u00fd\u0161i +1.295,- USD<\/strong>, celkov\u011b jsem p\u0159ijal (109.080 USD + 1.295,- USD) \u010d\u00e1stku +110.375,- USD<\/strong>. U vypo\u0159\u00e1d\u00e1n\u00ed v b\u0159eznu 2024 dod\u00e1v\u00e1m nakoupen\u00fd dluhopis s Face Value 100.000 USD, za kter\u00fd jsem ale utratil<\/strong> sumu -101.053,- USD<\/strong> a musel zaplatit \u00faroky z p\u016fj\u010dky<\/strong> ve v\u00fd\u0161i 8% p.a. za dobu 108 kalend\u00e1\u0159n\u00edch dn\u016f (101.053*0.08*108\/365) ve v\u00fd\u0161i -2.391,- USD<\/strong>, celkov\u011b jsem vydal (-101.053,- USD \u2013 2.391,- USD) sumu ve v\u00fd\u0161i -103.444,- USD<\/strong>. Proto\u017ee jsem p\u0159ijal +110.375 USD a vydal pouze -103.444,- USD, tak m\u016fj profit na t\u00e9to transakci by byl +6.931,- USD<\/strong>, co\u017e by bylo skv\u011bl\u00e9. Na takto strukturovan\u00e9m obchodu bych vyd\u011blal ji\u017e v okam\u017eiku jeho vstupu, nic jin\u00e9ho by se nemohlo st\u00e1t a byly by to bezpracn\u011b vyd\u011blan\u00e9 pen\u00edze, je tak jist\u00e9, \u017ee takto to ve skute\u010dnosti nefunguje. Bu\u010f je \u0161patn\u011b aktu\u00e1ln\u00ed cena futures nebo je n\u011bco pochybn\u00e9ho na dod\u00e1van\u00e9m dluhopisu, je zapot\u0159eb\u00ed zjistit, jak takov\u00fd mechanismus ve skute\u010dnosti funguje.<\/span><\/p>\n

\u00a0\u00a0 Vyjdu-li z p\u0159edpokladu, \u017ee u hypotetick\u00e9ho p\u0159\u00edkladu je spr\u00e1vn\u011b definov\u00e1na a ocen\u011bna hodnota futures kontraktu, mus\u00ed b\u00fdt n\u011bjak\u00fd probl\u00e9m s dod\u00e1van\u00fdm podkladem. Pokud by to takto fungovalo, dodal bych (jako prodejce futures ZNH4) dr\u017eiteli tohoto futures podklad, kter\u00fd nem\u00e1 takovou hodnotu, jakou reprezentuje sjednan\u00e1 cena futures p\u0159i n\u00e1kupu a kter\u00e1 vych\u00e1z\u00ed ze specifikace futures kontraktu, tedy obdr\u017eet dluhopisy z Face Value ve v\u00fd\u0161i 100.000 USD, kter\u00e9 nesou kup\u00f3nov\u00fd v\u00fdnos 6% p.a.. Je patrn\u00e9, \u017ee jsem dodal dluhopisy sice s Face Value 100.000 USD, ale toto dodan\u00e9 mno\u017estv\u00ed, s cenou 101.053% z Face Value se splatnost\u00ed v povolen\u00e9m intervalu a s kup\u00f3nem 4.375% p.a., nep\u0159edstavuje standardizovan\u00fd po\u017eadavek z prospektu. Pokud bych byl dr\u017eitel futures kontraktu, byl bych s dodan\u00fdm pln\u011bn\u00edm nespokojen, proto\u017ee neodpov\u00edd\u00e1 tomu, k \u010demu se dodavatel zav\u00e1zal. M\u00e1m sice dod\u00e1no \u201en\u011bco\u201c, co m\u00e1 deklarovanou jmenovitou hodnotu 100.000,- USD a ro\u010dn\u00ed garantovan\u00fd kup\u00f3nov\u00fd v\u00fdnos 4.375% p.a., a p\u0159esto\u017ee mohu nyn\u00ed \u201etoto\u201c prodat za 101.053,- USD, v \u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b v\u0161ak dodan\u00e9 pln\u011bn\u00ed nep\u0159edstavuje dr\u017een\u00ed dodan\u00e9ho investi\u010dn\u00edho n\u00e1stroje se jmenovitou hodnotou 100.000 USD a ro\u010dn\u00edm kup\u00f3nem 6% p.a. K tomu, abych byl spokojen a vypo\u0159\u00e1d\u00e1n\u00ed bylo f\u00e9rov\u00e9, mus\u00ed vypo\u0159\u00e1dac\u00ed procedura za\u0159\u00eddit<\/strong>, aby do\u0161lo k napln\u011bn\u00ed podm\u00ednky standardizace<\/strong> dod\u00e1van\u00e9ho mno\u017estv\u00ed za p\u0159edem stanovenou cenu v dan\u00e9m okam\u017eiku vypo\u0159\u00e1d\u00e1n\u00ed. Mohu se tak vr\u00e1tit k textu popisuj\u00edc\u00edm tvar a kvalitu dod\u00e1van\u00e9ho podkladu a v\u0161imnout si zbyl\u00e9ho popisu, kter\u00fd jej charakterizuje.<\/span><\/p>\n

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\u00a0\u00a0 Ozna\u010den\u00fd text sd\u011bluje, \u017ee p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed je dod\u00e1v\u00e1no podkladov\u00e9 aktivum \u2013 dluhopis \u2013 za tzv. Invoice Price<\/strong>, kter\u00e1 je tvo\u0159ena vypo\u0159\u00e1dac\u00ed cenou dluhopisov\u00e9ho futures vyn\u00e1sobenou hodnotou tzv. Conversion Factor<\/strong> a s p\u0159i\u010dten\u00edm zbyl\u00fdch \u00farok\u016f z titulu vypo\u0159\u00e1d\u00e1n\u00ed dod\u00e1n\u00ed dluhopisem, jeho\u017e kup\u00f3nov\u00e1 platba nen\u00ed p\u0159esn\u011b ve vypo\u0159\u00e1dac\u00ed den (Accrued Interest). Co tedy jednodu\u0161e znamen\u00e1? Jednoduch\u00fd trik, kdy dod\u00e1v\u00e1m jeden z vybran\u00fdch dluhopis\u016f z Delivery ko\u0161e, jeho cena je ale upravena tak, aby byla spln\u011bna podm\u00ednka 6% v\u00fdnosu dod\u00e1van\u00e9ho dluhopisu. Je tak velmi pravd\u011bpodobn\u00e9, \u017ee pokud by se stal p\u0159edm\u011btem vypo\u0159\u00e1d\u00e1n\u00ed v hypotetick\u00e9m p\u0159\u00edkladu n\u00e1hodn\u011b vybran\u00fd dluhopis s cenou 101.053 a kup\u00f3nem 4.375% p.a., musela by jeho dodac\u00ed cena upravena tak, aby p\u0159edstavovala pr\u00e1v\u011b 6% v\u00fdnos dod\u00e1van\u00e9ho n\u00e1stroje, byl by mi pravd\u011bpodobn\u011b dod\u00e1n za<\/strong> daleko ni\u017e\u0161\u00ed cenu<\/strong>, ne\u017e je jeho aktu\u00e1ln\u00ed obchodovan\u00e1 cena.<\/span><\/p>\n

Conversion Factor<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Conversion Factor, tedy jak\u00fdsi koeficient, kter\u00fd p\u0159epo\u010d\u00edt\u00e1v\u00e1 cenu dluhopisu, je zve\u0159ej\u0148ov\u00e1n na str\u00e1nk\u00e1ch CME pro ka\u017ed\u00fd dluhopis, kter\u00fd je p\u0159edm\u011btem mo\u017en\u00e9ho vypo\u0159\u00e1d\u00e1n\u00ed p\u0159\u00edslu\u0161n\u00e9ho dluhopisov\u00e9ho futures, tedy je zve\u0159ejn\u011bn pro dluhopisy<\/strong>, kter\u00e9 pat\u0159\u00ed do schv\u00e1len\u00e9ho intervalu podle splatnost\u00ed<\/strong> uveden\u00e9 ve specifikaci p\u0159\u00edslu\u0161n\u00e9ho futures kontraktu. Tabulka s Conversion Factors pro jednotliv\u00e9 dod\u00e1van\u00e9 dluhopisy je ke sta\u017een\u00ed z tohoto um\u00edst\u011bn\u00ed,<\/a><\/strong><\/span> kter\u00e9 je na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0 \u00a0Po zobrazen\u00ed t\u00e9to webov\u00e9 str\u00e1nky m\u016f\u017eu n\u00e1sledn\u011b kliknut\u00edm na „Treasury Conversion Factors<\/strong>“ n\u00e1sledn\u011b z\u00edskat aktu\u00e1ln\u00ed hodnoty Conversion Factor na tomto odkazu:<\/span><\/p>\n

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\u00a0\u00a0 Sta\u017een\u00edm a rozbalen\u00edm excelovsk\u00e9ho se\u0161itu z odkazu ozna\u010den\u00e9ho \u010derven\u00fdm r\u00e1me\u010dkem m\u016f\u017eu vyhodnocovat, jak\u00e1 bude Invoice Price<\/strong> dod\u00e1van\u00e9ho dluhopisu vypo\u010d\u00edtan\u00e1 podle p\u0159\u00edslu\u0161n\u00e9ho Conversion Factor<\/strong>. V\u00a0t\u00e9to sta\u017een\u00e9 excelovsk\u00e9 tabulce vyberu dod\u00e1van\u00e9 dluhopisy odpov\u00eddaj\u00edc\u00ed 10-ti let\u00e9mu futures kontraktu:<\/span><\/p>\n

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

\u00a0\u00a0\u00a0Z obr\u00e1zku je patrn\u00e9, jak jsem vyb\u00edral do sv\u00e9 obchodn\u00ed platformy v\u0161echny dluhopisy, kter\u00e9 svou splatnost\u00ed vyhovuj\u00ed dod\u00e1n\u00ed p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed b\u0159eznov\u00e9ho dluhopisov\u00e9ho futures \u2013 pou\u017eit\u00edm tohoto seznamu (sloupec CUSIP Number). Mohu pak zjistit, \u017ee mnou uv\u00e1d\u011bn\u00fd hypotetick\u00fd p\u0159\u00edklad<\/strong> dluhopisu<\/strong> se splatnost\u00ed v 30. listopadu 2030 a kup\u00f3nem ve v\u00fd\u0161i 4.375% p.a. (\u010derven\u00fd r\u00e1me\u010dek) p\u0159\u00edslu\u0161\u00ed Conversion Factor<\/strong> pro vypo\u0159\u00e1d\u00e1n\u00ed v dluhopisov\u00e9ho futures ZNH4 (b\u0159ezen 2024) s hodnotou 0,9136<\/strong> (\u010derven\u00e1 \u0161ipka). Zjistit, jakou hodnotu m\u00e1 Conversion Factor pro dan\u00fd dluhopis, kter\u00fd je vhodn\u00fd pro doru\u010den\u00ed, mohu tak\u00e9 z tabulky, kter\u00e1 je v\u00fdchoz\u00edm materi\u00e1lem pro vytvo\u0159en\u00ed excelovsk\u00e9 tabulky pro dan\u00e9 konkr\u00e9tn\u00ed dluhopisov\u00e9 futures, ze kter\u00e9ho aktu\u00e1ln\u011b \u010derp\u00e1m. Tato tabulka s obecn\u00fdm n\u00e1vodem stanoven\u00ed tohoto p\u0159epo\u010d\u00edtac\u00edho koeficientu je ke sta\u017een\u00ed na t\u00e9to str\u00e1nce<\/a><\/strong><\/span>.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Mohu pak kliknut\u00edm na \u201eDowload The Look-Up Tables<\/strong>\u201c vygenerovat op\u011bt excelovsk\u00fd se\u0161it, kter\u00fd m\u016f\u017ee evokovat existenci matematicko-fyzik\u00e1ln\u00edch tabulek (pro star\u0161\u00ed ro\u010dn\u00edky :c), ze kter\u00e9ho mohu zji\u0161\u0165ovat Conversion Factor<\/strong> pro jak\u00e9koliv dluhopisov\u00e9 futures<\/strong> a jak\u00fdkoliv mo\u017en\u00fd dod\u00e1van\u00fd dluhopis. Proto\u017ee nyn\u00ed pou\u017e\u00edv\u00e1m v\u00a0p\u0159\u00edkladu desetilet\u00e9 dluhopisov\u00e9 futures a zab\u00fdv\u00e1m se modelovou mo\u017enost\u00ed dodat dluhopis se splatnost\u00ed 30.11.2030 s\u00a0kup\u00f3nem 4.375% p.a., vypadal by v\u00fdsledek pro vyhled\u00e1n\u00ed Conversion Factor pro tento dluhopis n\u00e1sledovn\u011b:<\/span><\/p>\n

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\u00a0\u00a0 Ve sta\u017een\u00e9 tabulce nejd\u0159\u00edve vyberu list excelovsk\u00e9 se\u0161itu, kter\u00fd odpov\u00edd\u00e1 desetilet\u00e9mu dluhopisov\u00e9mu futures (1)<\/span><\/strong>. Mohu pak vypozorovat nep\u0159ebern\u00e9 mno\u017estv\u00ed koeficient\u016f \u2013 Conversion Factors pro dluhopisy s\u00a0r\u016fzn\u00fdmi kup\u00f3nov\u00fdmi v\u00fdnosy a s\u00a0r\u016fznou dobou do splatnosti (tato odpov\u00edd\u00e1 rozsahu dan\u00e9m specifikac\u00ed desetilet\u00e9ho dluhopisov\u00e9ho futures). Mohu pak vypozorovat, \u017ee pro dluhopis, kter\u00fd by nesl kup\u00f3n 6% p.a. (2)<\/span><\/strong> je Conversion Factor na hodnot\u011b jedna<\/strong> pro v\u0161echny dluhopisy bez ohledu na jejich splatnost, takov\u00fd dluhopis toti\u017e p\u0159esn\u011b spl\u0148uje podm\u00ednku specifikace, aby jeho splatnost byla v\u00a0po\u017eadovan\u00e9m \u010dasov\u00e9m intervalu v\u00a0budoucnosti a m\u011bla deklarovan\u00fd ro\u010dn\u00ed kup\u00f3n ve v\u00fd\u0161i 6% p.a. M\u016fj dluhopis<\/strong> ale nese kup\u00f3n 4.375% p.a. (3)<\/span><\/strong>, proto mus\u00edm hledat Conversion Factor v \u0159\u00e1dku s t\u00edmto kup\u00f3nem. Proto\u017ee mnou vybran\u00fd dluhopis m\u00e1 splatnost 30.11.2030 a v dob\u011b vypo\u0159\u00e1d\u00e1n\u00ed bude m\u00edt do splatnosti 6 let a zhruba sedm m\u011bs\u00edc\u016f (jak to zjist\u00edm mohu vypo\u010d\u00edtat v t\u00e9to excelovsk\u00e9 tabulce<\/a><\/strong><\/span> ze str\u00e1nek CME), bude se na n\u011bj vztahovat p\u0159epo\u010d\u00edt\u00e1vac\u00ed koeficient \u2013 Conversion Factor<\/strong> \u2013 ve v\u00fd\u0161i 0.9136<\/strong>, tedy stejn\u00e1 hodnota jako u tabulky s konkr\u00e9tn\u00edm dluhopisem v\u00fd\u0161e. Z t\u00e9to excelovsk\u00e9 pom\u016fcky, tabulky pro Conversion Factor jak\u00e9hokoliv dluhopisu, pak do\u0161lo k vybr\u00e1n\u00ed t\u00e9to hodnoty pro konkr\u00e9tn\u00ed dluhopis a konkr\u00e9tn\u00ed dluhopisov\u00e9 futures (ZNH4).<\/span><\/p>\n

\u00a0\u00a0 Co tedy Conversion Factor prakticky znamen\u00e1? Pokud se vr\u00e1t\u00edm ke sv\u00e9mu modelov\u00e9mu p\u0159\u00edkladu s b\u0159eznov\u00fdm dluhopisov\u00fdm futures, kter\u00e9 aktu\u00e1ln\u011b stoj\u00ed 109.080 bodu a dod\u00e1van\u00e9mu dluhopisu s cenou 101.053 a kup\u00f3nem 4.375% p.a., mohl bych si p\u0159edstavit, \u017ee pr\u00e1v\u011b nyn\u00ed by tato cena dluhopisov\u00e9ho futures byla vypo\u0159\u00e1dac\u00ed cenou a pro toto dod\u00e1n\u00ed by byl vybr\u00e1n pr\u00e1v\u011b tento dluhopis. Tento dluhopis by byl doru\u010den na \u00fa\u010det dr\u017eitele futures a byla by mu stanovena Invoice Price<\/strong>, tedy jak\u00e1si \u201efakturovan\u00e1 cena\u201c vypo\u010dtena takto:<\/span><\/p>\n

Invoice Price = Vypo\u0159\u00e1d\u00e1vac\u00ed Cena Futures kontraktu*Conversion Factor + Accrued Interest<\/span><\/em><\/p>\n

\u00a0 \u00a0V m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edkladu by Invoice Price<\/strong> byla (101\u00a0053 USD*0,9136 + Accrued Interest) ve v\u00fd\u0161i 92\u00a0322,02 USD<\/strong> + Accrued Interest<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Cenu Invoice Price<\/strong>, tedy 92 322,02 USD<\/strong> zaplat\u00ed dr\u017eitel Long b\u0159eznov\u00e9ho futures<\/strong> jeho dodavateli<\/strong> \u2013 protistran\u011b, kter\u00e1 futures prodala, za dod\u00e1n\u00ed dluhopisu se splatnost\u00ed 30.11.2030 s kup\u00f3nem 4.375% p.a. K t\u00e9to \u010d\u00e1stce pak dostane mal\u00fd bonus za \u00faroky z kup\u00f3nu, kter\u00fd na dod\u00e1van\u00e9m dluhopisu nab\u011bhl od jeho posledn\u00ed v\u00fdplaty ke dni zm\u011bny majitele dluhopisu (Accrued Interest). Po\u0159izovac\u00ed cena tohoto dluhopisu by pak m\u011bla reprezentovat po\u0159\u00edzen\u00ed dluhopisu z definovan\u00e9ho intervalu splatnost\u00ed a se zaru\u010den\u00fdm v\u00fdnosem ve v\u00fd\u0161i 6% p.a., logika vypo\u0159\u00e1d\u00e1n\u00ed pak le\u017e\u00ed v \u00faprav\u011b ceny dod\u00e1van\u00e9ho dluhopisu na takovou \u00farove\u0148, aby jeho nov\u00e9mu dr\u017eiteli garantovala vlastnosti popsan\u00e9 ve specifikaci dluhopisov\u00e9ho futures kontraktu, tedy dodat takov\u00fd dluhopis, kter\u00fd m\u00e1 po\u017eadovanou splatnost a po\u017eadovan\u00fd v\u00fdnos.\u00a0 \u00a0<\/span><\/p>\n

\u00a0Cheapest-To-Deliver Issue\u00a0<\/strong><\/span><\/h2>\n

\u00a0 St\u00e1le mohu setrvat v\u00a0modelov\u00e9m p\u0159\u00edkladu, kdy jsem prodejce ZNH4 dluhopisov\u00e9ho futures, kter\u00e9 mus\u00edm vypo\u0159\u00e1dat tak, \u017ee dod\u00e1v\u00e1m dr\u017eiteli futures jeden z\u00a0dluhopis\u016f, kter\u00fd je sou\u010d\u00e1st\u00ed Delivery Basket. Cena tohoto dluhopisu bude upravena a dr\u017eitel dluhopisov\u00e9ho futures za tento dod\u00e1van\u00fd dluhopis zaplat\u00ed Invoice Price, tedy cenu upravenou koeficientem, kter\u00fd je ozna\u010den jako tzv. Conversion Factor. V\u00a0m\u00e9m hypotetick\u00e9m p\u0159\u00edpad\u011b je vypo\u0159\u00e1d\u00e1vac\u00ed cena ZNH4 futures na \u00farovni 109.080 bodu a mnou dod\u00e1van\u00fd dluhopis je dluhopisem se splatnost\u00ed 30.11.2030 a nese kup\u00f3n 4.375% p.a.. Mohu nyn\u00ed pokro\u010dit v\u00a0m\u00e9 hypotetick\u00e9 \u00favaze d\u00e1l, a to tak, \u017ee jako prodejce dluhopisov\u00e9ho futures mus\u00edm opravdu dodat fyzick\u00fd dluhopis za n\u011bjakou cenu a sou\u010dasn\u011b \u017e\u00e1dn\u00fd takov\u00fd dluhopis nevlastn\u00edm. Mus\u00edm se tedy rozhodnout, kter\u00fd z\u00a0vhodn\u00fdch dluhopis\u016f z\u00a0povolen\u00e9ho rozp\u011bt\u00ed splatnost\u00ed pro dan\u00e9 dluhopisov\u00e9 futures na voln\u00e9m trhu nakoup\u00edm a dod\u00e1m dr\u017eiteli Long dluhopisov\u00e9ho futures, kdy\u017e m\u00e1 dosavadn\u00ed volba dod\u00e1van\u00e9ho dluhopisu se splatnost\u00ed 30.11.2030 s kup\u00f3nem 4.375% p.a. v\u00a0hypotetick\u00e9m p\u0159\u00edkladu byla ryze n\u00e1hodnou volbou. Pokud bych toti\u017e m\u011bl mo\u017enost takov\u00e9 volby mezi n\u011bkolika dod\u00e1van\u00fdmi cenn\u00fdmi pap\u00edry americk\u00fdmi vl\u00e1dn\u00edmi dluhopisy s \u201edod\u00e1vac\u00edho ko\u0161e\u201c, vybral bych si patrn\u011b ten, kter\u00fd koup\u00edm nejlevn\u011bji<\/strong>. Tato mo\u017enost v\u00fdb\u011bru pro stranu, kter\u00e1 prodala dluhopisov\u00e9 futures (Short Seller), toti\u017e opravdu existuje, jako vypisovatel tohoto futures mohu ozn\u00e1mit CME, kter\u00fd z\u00a0dluhopis\u016f budu na sv\u016fj prodan\u00fd dluhopisov\u00fd futures kontrakt dod\u00e1vat, tak\u00e9 to znamen\u00e1, \u017ee jako protistrana, dr\u017eitel Long pozice v\u00a0dluhopisov\u00e9m futures nev\u00edm, jak\u00fd dluhopis bude p\u0159edm\u011btem vypo\u0159\u00e1d\u00e1n\u00ed a kter\u00fd p\u0159\u00edpadn\u011b p\u0159istane na m\u00e9m \u00fa\u010dtu jako vypo\u0159\u00e1d\u00e1n\u00ed ze settlement procedury. \u00a0<\/span><\/p>\n

\u00a0\u00a0 Tato volba v\u00fdb\u011bru nejlevn\u011bj\u0161\u00edho dod\u00e1van\u00e9ho dluhopisu vych\u00e1z\u00ed z\u00a0pozn\u00e1n\u00ed, \u017ee zn\u00e1m aktu\u00e1ln\u00ed cenu<\/strong> dluhopisov\u00e9ho futures<\/strong> a zn\u00e1m aktu\u00e1ln\u00ed ceny<\/strong> v\u0161ech dluhopis\u016f<\/strong>, kter\u00e9 pat\u0159\u00ed do Delivery Basket\u00a0 a sou\u010dasn\u011b v\u00edm<\/strong>, jak\u00fd je jejich Conversion Factor<\/strong>. Mohu potom vypo\u010d\u00edt\u00e1vat (jako prodejce dluhopisov\u00e9ho futures), kter\u00fd z dluhopis\u016f by byl nejvhodn\u011bj\u0161\u00ed pro doru\u010den\u00ed p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed nebo dokonce uva\u017eovat p\u0159ed settlement, kter\u00fd dluhopis nakoup\u00edm \u201edop\u0159edu\u201c, abych jej mohl protistran\u011b doru\u010dit.<\/span><\/p>\n

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

\u00a0 \u00a0Kliknut\u00edm na tento odkaz z\u00edsk\u00e1m zobrazen\u00ed z\u00e1kladn\u00edho analytick\u00e9ho okna, kde mohu vypozorovat nejen mo\u017enost zobrazovat grafick\u00e1 vyobrazen\u00ed souvisej\u00edc\u00ed s dluhopisov\u00fdmi futures kontrakty, ale mohu tak\u00e9 nav\u0161t\u00edvit sekci, kter\u00e1 m\u011b nyn\u00ed zaj\u00edm\u00e1, tedy sekci se zobrazen\u00edm dluhopis\u016f s Delivery Basket pro zadan\u00e9 dluhopisov\u00e9 futures.<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0sekci \u201eDeliverables\u201c (1)<\/span><\/strong> vyb\u00edr\u00e1m dluhopisov\u00e9 futures, kter\u00e9 m\u011b zaj\u00edm\u00e1, v\u00a0m\u00e9m p\u0159\u00edpad\u011b 10 Yr<\/strong>, tedy desetilet\u00e9 dluhopisov\u00e9 futures ZN (2)<\/span><\/strong>, potvrzen\u00edm t\u00e9to volby dojde k iniciaci okna s dluhopisy vhodn\u00fdmi k dod\u00e1n\u00ed tohoto dluhopisov\u00e9ho futures.<\/span><\/p>\n

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\u00a0\u00a0 Z\u00e1kladn\u00ed pohled na anal\u00fdzu dluhopisov\u00e9ho futures ZN4 z pohledu jeho ceny a podkladov\u00fdch dluhopis\u016f m\u00e1m nyn\u00ed mo\u017enost sledovat na jednom m\u00edst\u011b. V \u010d\u00e1sti \u201eSecurities\u201c (1)<\/span><\/strong> m\u00e1m mo\u017enost vypozorovat seznam v\u0161ech dluhopis\u016f s Delivery Basket, tedy dluhopis\u016f zp\u016fsobil\u00fdch k doru\u010den\u00ed p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed dluhopisov\u00e9ho futures. V \u010d\u00e1sti \u201eAnalysis\u201c (2)<\/span><\/strong> jsou pak vyobrazeny v\u00fdsledky v\u00fdpo\u010dt\u016f, kter\u00e9 vedou k vyhled\u00e1n\u00ed Cheapest-To-Delivery dluhopisov\u00e9 emise, tedy takov\u00e9ho dluhopisu, kter\u00fd je aktu\u00e1ln\u011b pro doru\u010den\u00ed k vypo\u0159\u00e1d\u00e1n\u00ed nejlevn\u011bj\u0161\u00ed, tato dluhopisov\u00e1 emise je ozna\u010dena mod\u0159e podbarven\u00fdm \u0159\u00e1dkem v p\u0159ehledu (6)<\/strong><\/span>. Ze sloupc\u016f m\u016f\u017ee b\u00fdt zaj\u00edmav\u00fd sloupec Basis Net of Carry (3)<\/span><\/strong>, kter\u00fd vypo\u010d\u00edt\u00e1v\u00e1 aktu\u00e1ln\u00ed rozd\u00edl mezi cenou futures kontraktu a cenou dan\u00e9ho dluhopisu p\u0159epo\u010d\u00edtanou pomoc\u00ed p\u0159\u00edslu\u0161n\u00e9ho p\u0159edem stanoven\u00e9ho Conversion Factor (4)<\/span><\/strong>. Pokud by se postupovalo p\u0159i v\u00fdb\u011bru dod\u00e1van\u00e9ho dluhopisu podle tohoto \u00fadaje, znamenalo by to dod\u00e1v\u00e1n\u00ed s n\u011bjakou ztr\u00e1tou, mohu vid\u011bt u jin\u00fdch dluhopis\u016f, \u017ee carry nesou u jin\u00fdch dluhopis\u016f v p\u0159ehledu i kladn\u00e9 hodnoty. D\u016fle\u017eit\u00fdm faktorem p\u0159i v\u00fdb\u011bru Cheapest-To-Delivery dluhopisu pak hraj\u00ed dal\u0161\u00ed benefity a n\u00e1klady, kter\u00e9 bych musel k po\u0159\u00edzen\u00ed dod\u00e1van\u00e9ho dluhopisu zapo\u010d\u00edtat. Pokud bych se tedy nyn\u00ed rozhodl, \u017ee po\u0159\u00edd\u00edm dluhopis, kter\u00fd budu dod\u00e1vat v b\u0159eznu p\u0159\u00ed\u0161t\u00edho roku jako m\u00e9 pln\u011bn\u00ed p\u0159i settlement b\u0159eznov\u00e9ho futures, mus\u00edm do ceny nakupovan\u00e9ho dluhopisu zohlednit kup\u00f3n, kter\u00e9 mi dluhopisy z Face Value v hodnot\u011b 100.000 USD p\u0159inesou, \u010d\u00e1sti kup\u00f3n\u016f, kter\u00e9 z\u00edsk\u00e1m p\u0159i po\u0159\u00edzen\u00ed t\u011bchto dluhopis\u016f za dobu od jejich posledn\u00ed v\u00fdplaty (Accrued Interest) a tak\u00e9 zde budou zohledn\u011bny n\u00e1klady, kter\u00e9 od tohoto po\u0159\u00edzen\u00ed mus\u00edm ode\u010d\u00edst, tedy hodnota po\u0159izovac\u00ed ceny dluhopis\u016f v aktu\u00e1ln\u00ed \u00farokov\u00e9 sazb\u011b za dobu od jejich dr\u017een\u00ed a\u017e do vypo\u0159\u00e1d\u00e1n\u00ed (viz p\u0159\u00edklad v\u00fd\u0161e, kdy si na doru\u010dovan\u00fd dluhopis p\u016fj\u010duji, proto\u017ee nem\u00e1m pen\u00edze) a mus\u00edm tak\u00e9 ode\u010d\u00edst \u010d\u00e1st kup\u00f3n\u016f, kter\u00e9 odevzd\u00e1m budouc\u00edmu dr\u017eiteli dluhopisu za dobu, kdy mi tyto kup\u00f3ny nepat\u0159\u00ed (nedod\u00e1v\u00e1m dluhopisy p\u0159esn\u011b v den v\u00fdplaty kup\u00f3n\u016f).<\/span><\/p>\n

\u00a0\u00a0 Pom\u011b\u0159\u00edm-li hodnotu Basis Net Of Carry (3)<\/span><\/strong> upravenou o v\u00fd\u0161e uveden\u00e9 n\u00e1klady a v\u00fddaje s\u00a0hodnotou dluhopisu upravenou o Conversion Factor<\/strong> a tak\u00e9 upravenou<\/strong> o v\u00fd\u0161e uveden\u00e9 n\u00e1klady a v\u00fddaje<\/strong> a vyd\u011blenou dobou<\/strong> kdy budu dod\u00e1van\u00e9 dluhopisy dr\u017eet<\/strong>, z\u00edsk\u00e1m nejd\u016fle\u017eit\u011bj\u0161\u00ed \u00fadaj o \u201elevnosti\u201c dod\u00e1van\u00e9ho dluhopisu, tedy hodnotu Implied Repo Rate (5)<\/span><\/strong>. Hodnota Implied Repo Rate mi ukazuje v\u00fd\u0161i mo\u017en\u00e9ho v\u00fdnosu, kter\u00fd prodejce futures kontraktu m\u016f\u017ee dos\u00e1hnout, pokud nyn\u00ed po\u0159\u00edd\u00ed dluhopisy, kter\u00e9 mus\u00ed v term\u00ednu povinnosti doru\u010dit k vypo\u0159\u00e1d\u00e1n\u00ed. Aktu\u00e1ln\u00ed dluhopis s vypo\u010d\u00edtanou nejvy\u0161\u0161\u00ed sazbou Implied Repo Rate je hledan\u00fdm Cheapest-To-Deliver<\/strong>\u00a0dluhopisem, v obr\u00e1zku mohu zjistit, \u017ee je to dluhopis s CUSIP 91282CJG7<\/strong> se splatnost\u00ed 31.10.2023 a s kup\u00f3nem 4.875% p.a. (6)<\/strong><\/span>.<\/span><\/p>\n

\u00a0\u00a0 P\u0159esto\u017ee to vypad\u00e1 jako \u00fapln\u011b zbyte\u010dn\u00e9 analyzov\u00e1n\u00ed a zkoum\u00e1n\u00ed, pohledem na aktu\u00e1ln\u00ed cenov\u00e9 parametry Cheapest-To-Deliver dluhopisu se dost\u00e1v\u00e1m k odpov\u011bdi na z\u00e1sadn\u00ed ot\u00e1zku z \u00favodu \u010dl\u00e1nku \u201eCo p\u0159edstavuje cena dluhopisov\u00e9ho futures?\u201c. Proto\u017ee \u00fa\u010dastn\u00edci trh\u016f neust\u00e1le pom\u011b\u0159uj\u00ed hodnotu dluhopisov\u00e9ho futures s n\u00e1klady na jeho vypo\u0159\u00e1d\u00e1n\u00ed, a toto je nejefektivn\u011bj\u0161\u00ed prost\u0159ednictv\u00edm emise dluhopis\u016f, kter\u00e1 je pro vypo\u0159\u00e1d\u00e1n\u00ed nejlevn\u011bj\u0161\u00ed, je hodnota nejlevn\u011bj\u0161\u00edho dluhopisu upravena o Conversion Factor \u201ep\u0159edobrazem\u201c pro cenu dluhopisov\u00e9ho futures, vypo\u010dtenou takto:<\/span><\/p>\n

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\u00a0\u00a0 Mohu pak tento teoretick\u00fd v\u00fdraz prozkoumat prakticky:<\/span><\/p>\n

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\u00a0\u00a0 Aktu\u00e1ln\u00ed cen ZNH4<\/strong>\u00a0futures je 110.63 (1)<\/span><\/strong> a cena dluhopisu s\u00a0CUSIP 91282CJG7 se splatnost\u00ed 31.10.2023 a s\u00a0kup\u00f3nem 4.875% p.a. ozna\u010den\u00e1 jako Cheapest-To-Deliver<\/strong>\u00a0dluhopis je na hodnot\u011b 103.75977 (2)<\/span><\/strong>. Hodnota Conversion Factor<\/strong> pro tento dluhopis je 0.9402<\/strong>, potom: \u00a0\u00a0<\/span><\/p>\n

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

\u00a0\u00a0\u00a0 Vypo\u010d\u00edtan\u00e1 cena 110.40<\/strong> pro dluhopisov\u00e9 futures ZNH4<\/strong> je \u201eteoretickou cenou\u201c kolem kter\u00e9 by m\u011bla oscilovat, proto\u017ee je odvozena od aktu\u00e1ln\u011b nejv\u00fdhodn\u011bj\u0161\u00edho zp\u016fsobu dod\u00e1n\u00ed dluhopisov\u00e9ho podkladu. Odpov\u011b\u010f na ot\u00e1zku polo\u017eenou v \u00favodu \u010dl\u00e1nku, „Co p\u0159edstavuje aktu\u00e1ln\u00ed cena dluhopisov\u00e9ho futures kontraktu?“<\/strong><\/em> by tak mohla b\u00fdt vm\u011bstn\u00e1na do odpov\u011bdi: \u201eAktu\u00e1ln\u00ed cenu nejlevn\u011bji doru\u010diteln\u00e9ho dluhopisu vyhovuj\u00edc\u00edho podm\u00ednk\u00e1m specifikace p\u0159\u00edslu\u0161n\u00e9ho futures\u201c<\/strong><\/em>, a je to\u2026:c)<\/span><\/p>\n

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\u00a0\u00a0\u00a0 To nejlep\u0161\u00ed nakonec? Mo\u017en\u00e1\u2026, v\u0161echno, co bylo naps\u00e1no v\u00fd\u0161e o doru\u010den\u00ed dluhopis\u016f p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed dluhopisov\u00e9ho futures kontraktu slou\u017eilo pouze jako popis hled\u00e1n\u00ed odpov\u011bdi na ot\u00e1zku, co si mohu pod cenou dluhopisov\u00e9ho futures p\u0159edstavit a jak vlastn\u011b toto futures m\u016f\u017ee fungovat. V re\u00e1ln\u00e9m obchodov\u00e1n\u00ed (u Interactive Brokers) toti\u017e nebudete \u017e\u00e1dn\u00e9 dluhopisy fyzicky doru\u010dovat, proto\u017ee to nen\u00ed u tohoto brokera umo\u017en\u011bno. Stejn\u011b jako neobdr\u017e\u00edte vag\u00f3ny kuku\u0159ice, nestanete se vlastn\u00edkem kub\u00edk\u016f plynu v potrub\u00ed a nebude mi po zahrad\u011b b\u011bhat \u201ep\u0159i\u0159azen\u00e9\u201c hov\u011bz\u00ed, doru\u010den\u00ed podkladov\u00fdch dluhopis\u016f se nemus\u00edm ob\u00e1vat. Nebudu tak nyn\u00ed ji\u017e d\u00e1le rozeb\u00edrat a popisovat konkr\u00e9tn\u00ed mechaniku a \u010dasosled krok\u016f p\u0159i p\u0159\u00edpadn\u00e9m dod\u00e1v\u00e1n\u00ed dluhopisov\u00fdch podklad\u016f u settlement procedury, proto\u017ee by to bylo zbyte\u010dn\u00e9. V kalend\u00e1\u0159i pro mnou pozorovan\u00e9 b\u0159eznov\u00e9 dluhopisov\u00e9 futures na tomto odkazu<\/a><\/strong><\/span> bych pak mohl vid\u011bt tyto jednotliv\u00e9 term\u00edny:<\/span><\/p>\n

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\u00a0\u00a0 Posledn\u00ed mo\u017enost obchodovat ZNH4, tedy dluhopisov\u00e9 futures s expirac\u00ed v b\u0159eznu 2024 je datum 19.3.2024, pot\u00e9 n\u00e1sleduje procedura settlement, kter\u00e1 m\u00e1 pro \u00fa\u010dastn\u00edky trh\u016f, kte\u0159\u00ed se ji cht\u011bj\u00ed a mohou z\u00fa\u010dastnit n\u011bkolik n\u00e1sleduj\u00edc\u00edch f\u00e1z\u00ed. Takov\u00fdch \u00fa\u010dastn\u00edk\u016f je ale jen zlomek z t\u011bch, kte\u0159\u00ed tento kontrakt nyn\u00ed obchoduj\u00ed, drtiv\u00e1 v\u011bt\u0161ina \u00fa\u010dastn\u00edk\u016f trh\u016f z dluhopisov\u00fdmi futures toti\u017e tuto pozici zav\u0159e p\u0159ed Last Trading Day. Na obr\u00e1zku n\u00ed\u017ee je pak tabulka s po\u010dtem futures kontrakt\u016f, kter\u00e9 byly p\u0159edm\u011btem vypo\u0159\u00e1d\u00e1n\u00ed s doru\u010dov\u00e1n\u00edm podkladov\u00fdch dluhopis\u016f:\u00a0\u00a0<\/span><\/p>\n

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

\u00a0\u00a0 \u00dadaje za roky 1990 \u2013 2022 ukazuj\u00ed, \u017ee v\u00a0p\u0159\u00edpad\u011b desetilet\u00e9ho futures<\/strong> kontraktu pouze 2.8%<\/strong> v\u0161ech kontrakt\u016f dosp\u011blo do stadia vypo\u0159\u00e1d\u00e1n\u00ed, pro v\u0161echna<\/strong> dluhopisov\u00e1 futures<\/strong> pak \u010din\u00ed toto procento tak\u00e9 2.8%<\/strong> ze v\u0161ech obchodovan\u00fdch kontrakt\u016f<\/strong>. Fyzick\u00e9 doru\u010dov\u00e1n\u00ed podkladov\u00fdch dluhopis\u016f nen\u00ed pro m\u00e9 \u00favahy nad\u00e1le podstatn\u00e9. Pokud se pod\u00edv\u00e1m na specifikaci dluhopisov\u00e9ho futures u m\u00e9ho brokera Interactive Brokers, mohu vypozorovat, \u017ee tento broker takov\u00e9 dr\u017een\u00ed kontraktu do vypo\u0159\u00e1d\u00e1n\u00ed opravdu neumo\u017e\u0148uje:<\/span><\/p>\n

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\u00a0\u00a0 Mohu si tak b\u00fdt jit\u00fd, \u017ee m\u011b m\u016fj broker do vypo\u0159\u00e1d\u00e1n\u00ed nepust\u00ed, a tak jako nap\u0159\u00edklad u ostatn\u00edch komoditn\u00edch futures m\u00e1 stanoveny term\u00edny<\/a><\/strong><\/span>, do kter\u00fdch mi umo\u017en\u00ed tyto futures kontrakty dr\u017eet :<\/span><\/p>\n

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\u00a0\u00a0 Stejn\u011b jako u v\u011bt\u0161ina komoditn\u00edch futures jsou r\u016fzn\u00e9 term\u00edny pro maxim\u00e1ln\u00ed dobu dr\u017een\u00ed Long futures a Short futures kontrakt\u016f. Z obr\u00e1zku v\u00fd\u0161e vypl\u00fdv\u00e1, \u017ee m\u016fj broker mi mou p\u0159\u00edpadnou Long futures pozici s b\u0159eznovou expirac\u00ed umo\u017en\u00ed dr\u017eet do 28.2.2024 a stejnou Short futures pozici do 19.3.2024. Mohu se spolehnout, \u017ee pokud pozici neuzav\u0159u s\u00e1m, bude tato pozice uzav\u0159ena brokerem, t\u00e9to akci bude samoz\u0159ejm\u011b p\u0159edch\u00e1zet sada v\u00fdstra\u017en\u00fdch upozorn\u011bn\u00ed, abych tento uzav\u00edrac\u00ed obchod provedl s\u00e1m. M\u00e9 doporu\u010den\u00ed je uzav\u00edrat v\u017edy s dostate\u010dn\u00fdm p\u0159edstihem, proto\u017ee akce vynucen\u00e9ho uzav\u00edr\u00e1n\u00ed futures kontrakt\u016f ze strany brokera p\u0159ich\u00e1z\u00ed v okam\u017eiku zv\u00fd\u0161en\u00fdch objem\u016f obchod\u016f na p\u0159\u00edslu\u0161n\u00e9 komoditn\u00ed burze (uzav\u00edraj\u00ed v\u0161ichni :c), a toto uzav\u00edr\u00e1n\u00ed se d\u011bje za p\u0159\u00edkaz MARKET, tedy v obdob\u00ed zv\u00fd\u0161en\u00e9ho objemu obchod\u016f nemus\u00edte b\u00fdt uzav\u0159eni za zcela dobrou cenu.<\/span><\/p>\n

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\u00a0\u00a0 Dluhopisov\u00e9 futures nenese \u017e\u00e1dn\u00fd kup\u00f3n a je deriv\u00e1tem podkladov\u00e9ho dluhopisu, kter\u00fd je aktu\u00e1ln\u011b nejvhodn\u011bj\u0161\u00ed k vypo\u0159\u00e1d\u00e1n\u00ed. Obchodov\u00e1n\u00ed dluhopisov\u00e9ho futures v jeho nejjednodu\u0161\u0161\u00ed form\u011b (Long nebo Short) tak spo\u010d\u00edv\u00e1 v zachycov\u00e1n\u00ed cenov\u00e9ho pohybu podkladov\u00fdch dluhopis\u016f a vzhledem k marginov\u00e9 politice spojen\u00e9 s dluhopisov\u00fdm futures m\u016f\u017ee b\u00fdt v\u00edce ne\u017e vhodn\u00fdm n\u00e1strojem ke zobchodov\u00e1n\u00ed o\u010dek\u00e1van\u00e9ho cenov\u00e9ho pohybu dluhopis\u016f v souvislosti se zm\u011bnou v\u00fdnos\u016f, kter\u00e9 jsou odrazem n\u00e1lady na trz\u00edch \u00farokov\u00fdch sazeb a celkov\u00e9ho ekonomick\u00e9ho prost\u0159ed\u00ed. Po p\u0159e\u010dten\u00ed \u010dl\u00e1nku mo\u017en\u00e1 nabydete dojmu, pro\u010d jsem v\u016fbec popisoval tak nudnou v\u011bc, jako je hled\u00e1n\u00ed odpov\u011bdi na ot\u00e1zku „co p\u0159edstavuje cena dluhopisov\u00e9ho futures?“, kdy\u017e odpov\u011b\u010f le\u017eela v popisu settlement procedury, kter\u00e9 se jako b\u011b\u017en\u00fd trader u drtiv\u00e9 v\u011bt\u0161iny broker\u016f nakonec stejn\u011b nemohu z\u00fa\u010dastnit. Zd\u00e1nliv\u011b zbyte\u010dn\u011b komplikovan\u00fd a nudn\u00fd popis hled\u00e1n\u00ed t\u00e9to odpov\u011bdi douf\u00e1m nalezne uplatn\u011bn\u00ed v dal\u0161\u00edm \u010dl\u00e1nku o mo\u017enostech obchodov\u00e1n\u00ed dluhopisov\u00fdch futures a z\u00e1kladn\u00edch strategi\u00edch, kter\u00e9 mohu (d\u00edky nyn\u00ed prozkouman\u00e9 povaze ceny) p\u0159i obchodov\u00e1n\u00ed pou\u017e\u00edt.<\/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<\/a><\/strong><\/span> :c)\u00a0\u00a0 \u00a0 \u00a0 \u00a0\u00a0<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u00a0Pravd\u011bpodobn\u011b nejv\u00fdznamn\u011bj\u0161\u00edmi dluhopisov\u00fdmi deriv\u00e1ty jsou dluhopisov\u00e9 futures. Napodobit dr\u017een\u00ed dluhopis\u016f (v tomto \u010dl\u00e1nku americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f), ani\u017e bych se jich jen dotknul, mi pom\u016f\u017ee existence tzv. \u201eTreasury Futures\u201c kontrakt\u016f. Nebudu se nyn\u00ed nijak v\u00fdznamn\u011b zdr\u017eovat n\u011bjak\u00fdm kv\u011btnat\u00fdm \u00favodem \u010dl\u00e1nku a bez ot\u00e1len\u00ed se pono\u0159\u00edm p\u0159\u00edmo do pozoruhodn\u00e9ho t\u00e9matu, kter\u00fd Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":6864,"comment_status":"open","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-6833","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\/12\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1Md","jetpack-related-posts":[{"id":7097,"url":"https:\/\/dobretrejdy.com\/?p=7097","url_meta":{"origin":6833,"position":0},"title":"Dluhopisy \u2013 XVIII.","author":"dobretrejdy :c)","date":"20.5.2024","format":false,"excerpt":"\u00a0\u00a0 Sv\u011bt dluhopisov\u00fdch deriv\u00e1t\u016f je v\u00edce ne\u017e flexibiln\u00ed. V minul\u00fdch \u010dl\u00e1nc\u00edch jsem popisoval existenci a z\u00e1kladn\u00ed mo\u017enosti nakl\u00e1d\u00e1n\u00ed s \u201evelk\u00fdm\u201c dluhopisov\u00fdm US Treasury futures kontraktem, jeho\u017e podkladov\u00fdm aktivem p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed je p\u0159\u00edslu\u0161n\u00fd americk\u00fd vl\u00e1dn\u00ed dluhopis s Face Value 100.000 USD vybran\u00fd z ko\u0161e odpov\u00eddaj\u00edc\u00edch emis\u00ed (Delivery Basket) upraven\u00fd o koeficient\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\/05\/MF1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/MF1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/05\/MF1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7650,"url":"https:\/\/dobretrejdy.com\/?p=7650","url_meta":{"origin":6833,"position":1},"title":"Dluhopisy \u2013 XXIV.","author":"dobretrejdy :c)","date":"27.11.2025","format":false,"excerpt":"\u00a0 \u00a0Neuv\u011b\u0159iteln\u00fdch osm m\u011bs\u00edc\u016f od naps\u00e1n\u00ed posledn\u00edho \u010dl\u00e1nku nic neubralo na v\u00fdznamu zji\u0161t\u011bn\u00ed, \u017ee \u201edluhopisov\u00e9 opce\u201c opravdu nejsou \u201eopce na dluhopisy\u201c, tedy jejich podkladov\u00fdm aktivem nen\u00ed jak\u00e1koliv konkr\u00e9tn\u00ed emise dluhopis\u016f, ale tyto dluhopisov\u00e9 opce jsou nav\u00e1z\u00e1ny na futures kontrakty, kter\u00e9 ale ji\u017e souvisej\u00ed s konkr\u00e9tn\u00edmi dluhopisov\u00fdmi emisemi nebo \u00farokov\u00fdmi sazbami.\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\/2025\/11\/ZB1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/11\/ZB1.jpg?resize=700%2C400 2x"},"classes":[]},{"id":6900,"url":"https:\/\/dobretrejdy.com\/?p=6900","url_meta":{"origin":6833,"position":2},"title":"Dluhopisy \u2013 XV.\u00a0","author":"dobretrejdy :c)","date":"31.1.2024","format":false,"excerpt":"\u00a0 \u00a0Popisem a principem ur\u010den\u00ed ceny dluhopisov\u00fdch futures kontrakt\u016f jsem se zab\u00fdval v minul\u00e9m \u010dl\u00e1nku, poskytuje se mi tak z\u00e1kladn\u00ed n\u00e1hled na z\u00e1kladn\u00ed dluhopisov\u00fd deriv\u00e1t, kter\u00fd se vyzna\u010duje v\u00fdznamn\u00fdmi objemy obchod\u016f a z toho odvozenou zna\u010dnou likviditou. Jak mohu ale toto dluhopisov\u00e9 futures vyu\u017e\u00edt prakticky by mohlo b\u00fdt n\u00e1pln\u00ed n\u00e1sleduj\u00edc\u00edch\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\/01\/F2.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/F2.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/F2.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/F2.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7416,"url":"https:\/\/dobretrejdy.com\/?p=7416","url_meta":{"origin":6833,"position":3},"title":"Dluhopisy \u2013 XXII.\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"2.1.2025","format":false,"excerpt":"\u00a0\u00a0 Trvale vysok\u00e1 likvidita na americk\u00fdch vl\u00e1dn\u00edch dluhopisech s nejr\u016fzn\u011bj\u0161\u00edmi splatnostmi vytvo\u0159ila p\u0159\u00edle\u017eitost vytvo\u0159it na n\u011b nav\u00e1zan\u00e9 deriv\u00e1ty \u2013 dluhopisov\u00e9 futures kontrakty. V minul\u00fdch \u010dl\u00e1nc\u00edch tak byly pops\u00e1ny \u201evelk\u00e9\u201c dluhopisov\u00e9 Treasury futures a n\u00e1sledn\u011b jejich desetinov\u00e9 klony - Treasury Micro futures. Oba tyto futures kontrakty replikuj\u00ed zm\u011bnu ceny podkladov\u00fdch aktiv\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\/2025\/01\/Opt1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":7175,"url":"https:\/\/dobretrejdy.com\/?p=7175","url_meta":{"origin":6833,"position":4},"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":7042,"url":"https:\/\/dobretrejdy.com\/?p=7042","url_meta":{"origin":6833,"position":5},"title":"Dluhopisy \u2013 XVII.","author":"dobretrejdy :c)","date":"21.3.2024","format":false,"excerpt":"\u00a0\u00a0 Pocit \u00fanavy ze slo\u017eitosti p\u0159edch\u00e1zej\u00edc\u00edho \u010dl\u00e1nku s popisem derivac\u00ed cenov\u00e9 funkce kup\u00f3nov\u00e9ho dluhopisu a mo\u017en\u00e9 frustrace z nemo\u017enosti aplikovat zji\u0161t\u011bnou dolarovou hodnotu jednoho bazick\u00e9ho bodu na stotis\u00edcov\u00e9 dluhopisov\u00e9 portfolio s hed\u017eov\u00e1n\u00edm pomoc\u00ed stotis\u00edcov\u00e9ho dluhopisov\u00e9ho futures, proto\u017ee t\u011bchto sto tis\u00edc dolar\u016f prost\u011b nem\u00e1m, by mohly vykompenzovat n\u00e1sleduj\u00edc\u00ed \u0159\u00e1dky \u010dl\u00e1nku, kter\u00e9\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\/03\/Y1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2024\/03\/Y1.jpg?resize=525%2C300 1.5x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6833","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=6833"}],"version-history":[{"count":21,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6833\/revisions"}],"predecessor-version":[{"id":7326,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6833\/revisions\/7326"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/6864"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6833"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6833"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6833"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}

\u00a0\u00a0 Mohu si p\u0159edstavit, \u017ee tento v\u00fdpo\u010det zvl\u00e1dnu pomoc\u00ed vlastn\u00edho excelu a streamovan\u00fdch cen dluhopis\u016f s Delivery Basket, proto\u017ee pokud zn\u00e1m aktu\u00e1ln\u00ed cenu dluhopisov\u00e9ho futures (tuto si mohu nechat streamovat do stejn\u00e9ho excelu koneckonc\u016f tak\u00e9), tak p\u0159i znalosti hodnoty Conversion Factor pro ka\u017ed\u00fd jednotliv\u00fd dluhopis by potom pro ka\u017ed\u00fd dluhopis nem\u011blo b\u00fdt slo\u017eit\u00e9 vybrat mezi mo\u017en\u00fdmi dluhopisy ten nejlevn\u011bj\u0161\u00ed. Tuto \u010dinnost ale nemus\u00edm prov\u00e1d\u011bt, pokud ji n\u011bkdo vytvo\u0159\u00ed za m\u011b, a to je\u0161t\u011b na str\u00e1nk\u00e1ch burzy, kde se dluhopisov\u00e1 futures obchoduj\u00ed. N\u00e1v\u0161t\u011bvou sekce dluhopisov\u00fdch futures na webu CME mohu kliknout na odkaz Treasury Analytics<\/a><\/strong><\/span>\u00a0 \u00a0\u00a0<\/span><\/p>\n