{"id":6900,"date":"2024-01-31T15:44:21","date_gmt":"2024-01-31T13:44:21","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=6900"},"modified":"2024-08-18T17:06:46","modified_gmt":"2024-08-18T15:06:46","slug":"dluhopisy-xv","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=6900","title":{"rendered":"Dluhopisy \u2013 XV.\u00a0"},"content":{"rendered":"

\u00a0 \u00a0Popisem a principem ur\u010den\u00ed ceny dluhopisov\u00fdch futures kontrakt\u016f jsem se zab\u00fdval v minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span>, 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 \u0159\u00e1dk\u016f \u010dl\u00e1nku o dluhopisov\u00fdch deriv\u00e1tech. Nebudu se tak ji\u017e nyn\u00ed v\u011bnovat podstatou t\u011bchto futures, zp\u016fsob\u016fm jejich vypo\u0159\u00e1d\u00e1n\u00ed a dal\u0161\u00edmu zkoum\u00e1n\u00ed, co p\u0159esn\u011b znamen\u00e1 jejich cena, ale pokus\u00edm se p\u0159ibl\u00ed\u017eit jejich prvn\u00ed jednoduch\u00e9 praktick\u00e9 vyu\u017eit\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Dluhopisov\u00e9 futures nevzniklo samo od sebe, ale jejich existence a obchodovatelnost m\u00e1 n\u011bkolik z\u00e1kladn\u00edch d\u016fvod\u016f. Po\u0159\u00edzen\u00ed dluhopisov\u00e9ho futures m\u00e1 za \u00fakol simulovat<\/strong> po\u0159\u00edzen\u00ed adekv\u00e1tn\u00edho fyzick\u00e9ho dluhopisu s\u00a0Face Value 100.000 USD<\/strong> u futures s 5-ti let\u00fdm a v\u00edcelet\u00fdm podkladov\u00fdm dluhopisem (ZF, ZN, TN, ZB a UB) nebo s Face Value 200.000 USD<\/strong> u nejkrat\u0161\u00edch futures s podkladov\u00fdmi dluhopisy se splatnost\u00ed 2 a 3 roky (ZT, Z3N). Pokud m\u00e1m tedy obchodn\u00ed my\u0161lenku, kter\u00e1 je spojen\u00e1 s n\u00e1kupem dluhopis\u016f v t\u011bchto objemech, mohu se pokusit tuto ideu realizovat prost\u0159ednictv\u00edm odpov\u00eddaj\u00edc\u00edch futures kontrakt\u016f. S odkazem na minul\u00fd \u010dl\u00e1nek p\u0159ipom\u00edn\u00e1m, \u017ee s dr\u017een\u00edm dluhopisov\u00e9ho futures kontraktu nejsou spojena \u017e\u00e1dn\u00e1 pr\u00e1va ke kup\u00f3n\u016fm podkladov\u00fdch dluhopis\u016f a po\u0159\u00edzen\u00fd dluhopisov\u00fd futures kontrakt odr\u00e1\u017e\u00ed pouze cenu podkladov\u00e9ho dluhopisu, a to upravenou cenu (Conversion Factor) aktu\u00e1ln\u011b jeho nejlevn\u011bj\u0161\u00ed varianty (Cheapest-To-Delivery) z mo\u017en\u00e9ho okruhu vhodn\u00fdch dluhopis\u016f (Delivery Basket) definovanou ve specifikaci po\u0159izovan\u00e9ho dluhopisov\u00e9ho futures kontraktu. Po\u0159\u00edzen\u00ed dluhopisov\u00e9ho futures je tak spojeno s n\u00e1hledem na cenov\u00fd v\u00fdvoj podkladov\u00fdch dluhopis\u016f a nikoliv s v\u00fdplatou (a v\u00fd\u0161\u00ed) jejich kup\u00f3n\u016f. Co to pro m\u00e9 obchodov\u00e1n\u00ed s dluhopisov\u00fdmi futures vlastn\u011b m\u016f\u017ee znamenat? Jednoduch\u00e9 konstatov\u00e1n\u00ed, \u017ee (tak jako ostatn\u011b u ka\u017ed\u00e9ho futures kontraktu) za \u201em\u00e1lo pen\u011bz mohu po\u0159\u00eddit hodn\u011b muziky\u201c.<\/span><\/p>\n

Margin nebo Cash<\/strong><\/span><\/h1>\n

\u00a0 \u00a0N\u00e1kup fyzick\u00fdch americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f s desetiletou splatnost\u00ed v hodnot\u011b 100.000 USD vy\u017eaduje opravdov\u00fd v\u00fddaj p\u0159ibli\u017en\u011b t\u00e9to sumy (dluhopisy se t\u00e9m\u011b\u0159 nikdy neobchoduj\u00ed za 100% Face Value), kdy\u017e cena takto nakupovan\u00fdch dluhopis\u016f mus\u00ed b\u00fdt splacena v cel\u00e9 sv\u00e9 v\u00fd\u0161i. Po\u017eadovan\u00e9 dluhopisy tak budu m\u00edt na sv\u00e9m obchodn\u00edm \u00fa\u010dtu a mohu se t\u011b\u0161it z jejich kup\u00f3nov\u00e9ho v\u00fdnosu. Pokud jsem rozhodnut dr\u017eet dluhopisy a\u017e do jejich splatnosti, nebude m\u011b patrn\u011b nijak v\u00fdznamn\u011b zaj\u00edmat jejich aktu\u00e1ln\u00ed cena, proto\u017ee v\u00edm, \u017ee u splatnosti obdr\u017e\u00edm hodnotu jejich Face Value na sv\u016fj \u00fa\u010det. Z nabyt\u00fdch zku\u0161enost\u00ed o cenov\u00fdch pohybech dluhopis\u016f pak budu po cel\u00e9 desetilet\u00e9 obdob\u00ed dr\u017een\u00ed po\u0159\u00edzen\u00fdch dluhopis\u016f pozorovat cenov\u00fd pohyb<\/strong> takto nabyt\u00e9 investice, kter\u00fd bude odpov\u00eddat v\u00fdvoji \u00farokov\u00fdch sazeb<\/strong> na dluhopisov\u00fdch trz\u00edch, kter\u00fd se bude prom\u00edtat do aktu\u00e1ln\u00ed hodnoty m\u00e9 investice. Pokud nebude trh \u00farokov\u00fdch sazeb za dan\u00e9 obdob\u00ed dr\u017een\u00ed dluhopisov\u00e9ho portfolia s desetiletou splatnost\u00ed nijak v\u00fdznamn\u011b volatiln\u00ed, bude tento cenov\u00fd pohyb pro m\u011b znamenat pouh\u00fd \u201e\u0161um\u201c, kter\u00fd bude odr\u00e1\u017eet situaci na dluhopisov\u00fdch trz\u00edch. Mohu pak pozorovat ve sv\u00e9 obchodn\u00ed platform\u011b pr\u016fb\u011b\u017enou ztr\u00e1tu nebo profit vypl\u00fdvaj\u00edc\u00ed z cenov\u00e9ho pohybu mnou nakoupen\u00e9ho dluhopisu, vypl\u00fdvaj\u00edc\u00ed z rozd\u00edlu po\u0159izovac\u00ed a aktu\u00e1ln\u011b obchodovan\u00e9 ceny. Na obr\u00e1zku n\u00ed\u017ee je zobrazena konkr\u00e9tn\u00ed dluhopisov\u00e1 investice z obchodn\u00ed platformy Interactive Brokers:<\/span><\/p>\n

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\u00a0\u00a0 Americk\u00e9 vl\u00e1dn\u00ed dluhopisy z\u00a0Face Value 100.000 USD se splatnost\u00ed v\u00a0roce 2040 a kup\u00f3nem 1.375% p.a. jsem po\u0159\u00eddil za 65.49368%<\/strong> z\u00a0Face Value (1)<\/strong><\/span>, moment\u00e1ln\u011b se ale tento dluhopis nab\u00edz\u00ed za 63.713 %<\/strong> z\u00a0Face Value (2)<\/strong><\/span>. Cena dluhopisu tak klesla a j\u00e1 bych mohl tento dluhopis nyn\u00ed po\u0159\u00eddit levn\u011bji, zobrazen\u00ed tohoto rozd\u00edlu je pak aktu\u00e1ln\u00ed ztr\u00e1tou<\/strong> vypl\u00fdvaj\u00edc\u00ed z\u00a0poklesu ceny tohoto dluhov\u00e9ho cenn\u00e9ho pap\u00edru ve v\u00fd\u0161i -1.781 USD (3)<\/span><\/strong>. Tato ztr\u00e1ta se pak samoz\u0159ejm\u011b projevuje ve statementu m\u00e9ho obchodn\u00edho \u00fa\u010dtu a tato ztr\u00e1ta p\u0159edstavuje sn\u00ed\u017een\u00ed \u010dist\u00e9 hodnoty aktiv, kterou na sv\u00e9m obchodn\u00edm \u00fa\u010dtu eviduji. P\u0159esto\u017ee v\u00edm, \u017ee u splatnosti dluhopis\u016f v roce 2040 obdr\u017e\u00edm hodnotu Face Value ve v\u00fd\u0161i 100.000 USD zp\u011bt, aktu\u00e1ln\u011b je tato dluhopisov\u00e1 pozice ve ztr\u00e1t\u011b. Jenom pro dopln\u011bn\u00ed, s odkazem na \u010dl\u00e1nek Dluhopisy \u2013 V.<\/a><\/strong><\/span>, uv\u00e1d\u00edm, \u017ee krom\u011b aktu\u00e1ln\u00ed ztr\u00e1ty -1.781 USD m\u00e1m u t\u00e9to investice prozat\u00edm tak\u00e9 negativn\u00ed Cash Flow<\/strong> vypl\u00fdvaj\u00edc\u00ed ze skute\u010dnosti, \u017ee jsem tento dluhopis po\u0159\u00eddil 5.1.2024 a nejbli\u017e\u0161\u00ed kup\u00f3nov\u00e1 v\u00fdplata je 15.2.2024. V den v\u00fdplaty kup\u00f3nu dostanu sice plnou \u010d\u00e1st vyzna\u010den\u00e9ho kup\u00f3nu (polovinu z 1.375%), nicm\u00e9n\u011b musel jsem u n\u00e1kupu dluhopisu \u010d\u00e1st tohoto kup\u00f3nov\u00e9ho p\u0159\u00edjmu odevzdat p\u0159edchoz\u00edmu dr\u017eiteli nakoupen\u00fdch dluhopis\u016f, proto\u017ee tomuto n\u00e1le\u017e\u00ed jeho \u010d\u00e1st od jeho posledn\u00ed v\u00fdplaty (15.8.2023) do dne p\u0159edch\u00e1zej\u00edc\u00edho dni, kdy jsem jej po\u0159\u00eddil j\u00e1 (za obdob\u00ed 15.8.2023 do 4.1.2024). Na obr\u00e1zku n\u00ed\u017ee je toto negativn\u00ed cash flow vyzna\u010deno ve v\u00fdpisu z \u00fa\u010dtu pro den po\u0159\u00edzen\u00ed t\u00e9to dluhopisov\u00e9 pozice:<\/span><\/p>\n

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\u00a0\u00a0 Nejenom \u017ee m\u00e1m nyn\u00ed kapit\u00e1lovou ztr\u00e1tu na nakoupen\u00fdch dluhopisech, je\u0161t\u011b mus\u00edm zaevidovat \u010d\u00e1stku -203.98 USD jako aktu\u00e1ln\u011b dal\u0161\u00ed v\u00fddaj spojen\u00fd s po\u0159\u00edzen\u00edm dluhopis\u016f. Tento v\u00fddaj bude samoz\u0159ejm\u011b u n\u00e1sleduj\u00edc\u00ed v\u00fdplaty kup\u00f3n\u016f 15.2.2024 vyrovn\u00e1n a na m\u00e9m \u00fa\u010dtu budu evidovat kladn\u00fd \u00farokov\u00fd p\u0159\u00edjem vypl\u00fdvaj\u00edc\u00ed z rozd\u00edlu inkasa cel\u00e9 kup\u00f3nov\u00e9 platby a takto p\u0159ed\u010dasn\u011b odevzdan\u00e9 \u010d\u00e1stky kup\u00f3nov\u00e9 platby b\u00fdval\u00e9mu vlastn\u00edkovi dluhopis\u016f. Jak je mo\u017en\u00e9, \u017ee cena dluhopisu klesla a vytvo\u0159ila mi ztr\u00e1tu je patrn\u00e9 na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku je vynesena cena nakoupen\u00e9ho dluhopisu<\/strong> sou\u010dasn\u011b s aktu\u00e1ln\u00ed hodnotou desetilet\u00fdch v\u00fdnos\u016f<\/strong>. P\u0159esto\u017ee m\u016fj dluhopis m\u00e1 splatnost za \u0161estn\u00e1ct let, pro ilustraci jsem do obr\u00e1zku p\u0159enesl v\u00fdvoj desetilet\u00fdch \u00farokov\u00fdch sazeb (modr\u00e1 te\u010dkovan\u00e1 k\u0159ivka) za obdob\u00ed dr\u017een\u00ed dluhopisu ve srovn\u00e1n\u00ed s v\u00fdvojem ceny nakoupen\u00fdch dluhopis\u016f. Je patrn\u00e9, \u017ee v den po\u0159\u00edzen\u00ed dluhopis\u016f 5.1.2024<\/strong> (zelen\u00e1 \u0161ipka) byly \u00farokov\u00e9 sazby pro desetilet\u00e9 splatnosti na \u00farovni 4.05%<\/strong>, co\u017e odpov\u00eddalo n\u00e1kupn\u00ed cen\u011b dluhopisu ve v\u00fd\u0161i 65,49%<\/strong> Face Value. T\u0159\u00edt\u00fddenn\u00ed interval dr\u017een\u00ed (od 5.1.2024 do 26.1.2024) zobrazuje aktu\u00e1ln\u00ed \u00farokovou sazbu 4.14%<\/strong>, tedy tato hodnota narostla o +9 bazick\u00fdch bod\u016f<\/strong>. Proto\u017ee r\u016fst \u00farokov\u00fdch sazeb zp\u016fsobuje pokles ceny dluhopis\u016f, mohu vypozorovat, \u017ee tato zm\u011bna se propsala do ceny mnou nakoupen\u00fdch dluhopis\u016f, kdy\u017e aktu\u00e1ln\u00ed cena je na hodnot\u011b ve v\u00fd\u0161i 63.70%<\/strong> Face Value. Je tak patrn\u00e9, \u017ee p\u0159i v\u011bt\u0161\u00ed investici do fyzick\u00fdch dluhopis\u016f sta\u010d\u00ed velmi mal\u00fd pohyb \u00farokov\u00fdch sazeb k tomu, aby se cena investice podstatn\u011b zm\u011bnila. \u010c\u00edm del\u0161\u00ed je splatnost po\u0159\u00edzen\u00fdch dluhopis\u016f, t\u00edm je tato citlivost vy\u0161\u0161\u00ed, toto ostatn\u011b zachycuje durace dluhopisu popisovan\u00e1 zejm\u00e9na v \u010dl\u00e1nku Dluhopisy \u2013 VIII.<\/a><\/strong><\/span>.<\/span><\/p>\n

\u00a0\u00a0 Nem\u00e1m 100.000,- USD, nezaj\u00edmaj\u00ed m\u011b vypl\u00e1cen\u00e9 kup\u00f3ny, ale m\u00e1m v\u00fdrazn\u00fd z\u00e1jem zobchodovat cenov\u00fd pohyb (nap\u0159\u00edklad desetilet\u00fdch) dluhopis\u016f odpov\u00eddaj\u00edc\u00ed t\u00e9to zna\u010dn\u00e9 sum\u011b dolar\u016f. Nejjednodu\u0161\u0161\u00edm zp\u016fsobem by pak bylo vyu\u017e\u00edt pr\u00e1v\u011b dluhopisov\u00e9 futures, jeho\u017e obchodov\u00e1n\u00ed mi m\u016fj broker Interactive Broker umo\u017e\u0148uje. Na obr\u00e1zku n\u00ed\u017ee je patrn\u00e9, \u017ee po\u0159\u00edzen\u00ed desetilet\u00e9ho dluhopisov\u00e9ho futures kontraktu nen\u00ed nic nemo\u017en\u00e9ho a v\u00fdznamn\u011b drah\u00e9ho:<\/span><\/p>\n

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\u00a0\u00a0 N\u00e1kup dluhopisov\u00e9ho futures<\/strong> replikuj\u00edc\u00edho dluhopisy s\u00a0Face Value 100.000 USD se splatnost\u00ed deset let (ZN) a expirac\u00ed v\u00a0b\u0159eznu 2024 (ZNH4) by m\u011b st\u00e1lo blokaci maintenance marginov\u00e9ho po\u017eadavku ve v\u00fd\u0161i 2.128 USD (1)<\/span><\/strong> a p\u0159edstavovalo investici do t\u011bchto dluhopis\u016f ve v\u00fd\u0161i 111.189,67 USD (2)<\/span><\/strong>. Nemus\u00edm tak nyn\u00ed disponovat volnou \u010d\u00e1stkou hotovosti v\u00a0\u0159\u00e1du stovky tis\u00edc dolar\u016f, abych byl schopen prov\u00e9st dluhopisov\u00fd obchod, kter\u00fd by souvisel s\u00a0cenov\u00fdm pohybem dluhopis\u016f. Nab\u00edz\u00ed se mi tak elegantn\u011bj\u0161\u00ed \u0159e\u0161en\u00ed ve form\u011b po\u0159\u00edzen\u00ed dluhopisov\u00e9ho deriv\u00e1tu \u2013 dluhopisov\u00e9ho futures kontraktu replikuj\u00edc\u00edho dr\u017een\u00ed v\u00fdznamn\u00e9ho objemu americk\u00fdch vl\u00e1dn\u00edch dluhopis\u016f s\u00a0po\u017eadovanou splatnost\u00ed podle typu vybran\u00e9ho dluhopisov\u00e9ho futures. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\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 Jednoduch\u00fd Long nebo Short<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Nyn\u00ed ji\u017e v\u00edm, z pohledu do minulosti, \u017ee v obdob\u00ed od 5.1.2024 do 26.1.2024 do\u0161lo k m\u00edrn\u00e9mu n\u00e1r\u016fstu v\u00fdnos\u016f na desetilet\u00fdch dluhopisech, co\u017e zp\u016fsobilo pokles jejich ceny, toto bylo patrn\u00e9 na konkr\u00e9tn\u00ed fyzick\u00e9 dluhopisov\u00e9 pozici na americk\u00fdch vl\u00e1dn\u00edch dluhopisech v \u010dl\u00e1nku v\u00fd\u0161e. Dr\u017e\u00edm tyto dlouhodob\u00e9 dluhopisy na sv\u00e9m \u00fa\u010dtu s p\u0159edstavou poklesu t\u011bchto v\u00fdnos\u016f a r\u016fstu jejich ceny d\u00edky jejich duraci a \u010dek\u00e1n\u00ed na tuto obchodn\u00ed p\u0159\u00edle\u017eitost si hodl\u00e1m vylep\u0161ovat inkasem kup\u00f3nov\u00fdch plateb. P\u0159i po\u0159\u00edzen\u00ed t\u011bchto fyzick\u00fdch dluhopis\u016f jsem byl p\u0159esv\u011bd\u010den, \u017ee v\u00fdnosy dluhopis\u016f s dlouhou dobou do splatnosti (deset let a d\u00e9le) maj\u00ed sv\u016fj vrchol za sebou a tyto v\u00fdnosy budou v budoucnosti klesat. Avizovan\u00e9 sni\u017eov\u00e1n\u00ed \u00farokov\u00fdch sazeb americkou centr\u00e1ln\u00ed bankou (FED) v tomto roce by mohlo b\u00fdt v\u00edce ne\u017e v\u00fdrazn\u00fdm impulzem k takov\u00e9mu o\u010dek\u00e1van\u00e9mu cenov\u00e9mu pohybu. Je ale jist\u00e9, \u017ee z kr\u00e1tkodob\u00e9ho pohledu jsem se doposud m\u00fdlil a v\u00fdnosy na t\u011bchto splatnostech (by\u0165 nepatrn\u011b) vyrostly. Mohu tak nyn\u00ed tuto obchodn\u00ed my\u0161lenku otestovat na dr\u017een\u00ed dluhopisov\u00e9ho futures a zjistit, jak by se mi vedlo p\u0159i replikaci dr\u017een\u00ed stotis\u00edcov\u00e9ho fyzick\u00e9ho dr\u017een\u00ed dluhopis\u016f formou dluhopisov\u00e9ho futures kontraktu ZNH4, tedy futures s expirac\u00ed v b\u0159eznu 2024, jednalo by se tak o nejbli\u017e\u0161\u00ed dluhopisov\u00e9 futures.<\/span><\/p>\n

\u00a0\u00a0 Zadan\u00e9 testovan\u00e9 pozorov\u00e1n\u00ed bych mohl zasadit do \u00favahy, vypl\u00fdvaj\u00edc\u00ed z popisu dluhopisov\u00e9ho futures v minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span>. Uv\u00e1d\u011bl jsem, \u017ee podkladov\u00fdm aktivem dluhopisov\u00e9ho futures je tzv. Cheapest-To-Delivery dluhopis, tedy fyzick\u00fd dluhopis, jeho\u017e dod\u00e1n\u00ed je pro prodejce dluhopisov\u00e9ho futures n\u00e1kladov\u011b nejv\u00fdhodn\u011bj\u0161\u00ed volbou z cel\u00e9ho ko\u0161e dluhopis\u016f, kter\u00fd by mohl p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed dodat. Pokud budu zkoumat obchod zalo\u017een\u00fd na investici do nejbli\u017e\u0161\u00edho dluhopisov\u00e9ho futures kontraktu, vyberu si k porovn\u00e1n\u00ed jeho v\u00fdkonnosti za pl\u00e1novan\u00e9 obdob\u00ed pr\u00e1v\u011b v\u00fdkonnost nejvhodn\u011bj\u0161\u00edho \u201espotov\u00e9ho\u201c podkladov\u00e9ho dluhopisu za stejn\u00e9 obdob\u00ed. Mohu pak z analytick\u00fdch str\u00e1nek<\/a><\/strong><\/span> burzy CME odhalit, \u017ee Cheapest-To-Delivery dluhopis je aktu\u00e1ln\u011b tento cenn\u00fd pap\u00edr:<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0analytick\u00e9 tabulce vyberu po\u017eadovan\u00e9 dluhopisov\u00e9 futures (1)<\/span><\/strong>, tedy s\u00a0expirac\u00ed v\u00a0b\u0159eznu 2024, kter\u00e9 se mi prop\u00ed\u0161e do z\u00e1hlav\u00ed tabulky (2)<\/span><\/strong>. Zaj\u00edm\u00e1 m\u011b hled\u00e1n\u00ed CTD (Cheapest-To-Delivery) desetilet\u00e9ho dluhopisu<\/strong> pro tento futures kontrakt (3)<\/strong><\/span> s\u00a0v\u00fdsledkem ozna\u010den\u00e9m v\u00a0\u010derven\u00e9m r\u00e1me\u010dku (4)<\/strong><\/span>. Mohu konstatovat, \u017ee nejv\u00fdhodn\u011bj\u0161\u00edm dluhopisem je ten, kter\u00fd m\u00e1 CUSIP 91282CJG7<\/strong>, a to proto, \u017ee jeho Implied Repo Rate<\/strong> je nejvy\u0161\u0161\u00ed (5)<\/strong><\/span>. Budu se tak sna\u017eit zjistit, nakolik mi nahrad\u00ed investice do b\u0159eznov\u00e9ho dluhopisov\u00e9ho futures fyzick\u00fd n\u00e1kup t\u011bchto CTD dluhopis\u016f v\u00a0objemu Face Value ve v\u00fd\u0161i 100.000 USD. Mohu pak vypozorovat, \u017ee oba investi\u010dn\u00ed n\u00e1stroje, tedy b\u0159eznov\u00e9 dluhopisov\u00e9 futures i CTD dluhopis mohu v\u00a0platform\u011b TWS zobchodovat.<\/span><\/p>\n

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\u00a0\u00a0 Pro zji\u0161t\u011bn\u00ed historick\u00fdch cen dluhopis\u016f i futures mi pom\u016f\u017ee samotn\u00e1 platforma TWS, kde mohu tyto historick\u00e9 ceny stahovat.<\/span><\/p>\n

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\u00a0\u00a0 Kliknut\u00edm prav\u00fdm tla\u010d\u00edtkem my\u0161i na \u0159\u00e1dek s\u00a0dluhopisem (1)<\/span><\/strong> dojde k\u00a0iniciaci menu s\u00a0nab\u00eddkou Price History (2)<\/span><\/strong>, po jej\u00edm potvrzen\u00ed se objev\u00ed tabulka s\u00a0historick\u00fdmi daty:<\/span><\/p>\n

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\u00a0\u00a0 V\u00fdb\u011br volby \u201eOptions\u201c (zelen\u00e1 \u0161ipka) mohu tato data exportovat volbou \u201eExport\u2026\u201c (1)<\/span><\/strong>.<\/span><\/span><\/p>\n

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\u00a0\u00a0 P\u0159i volb\u011b \u201eExport\u2026\u201c mohu n\u00e1sledn\u011b upravit rozsah stahovan\u00fdch dat (1)<\/span><\/strong> a upravit m\u00edsto<\/strong>, kam bude excelovsk\u00fd soubor s historick\u00fdmi cenami tohoto CTD dluhopisu ve form\u00e1tu *csv v m\u00e9m po\u010d\u00edta\u010di ulo\u017een (2)<\/strong><\/span>. Potvrzen\u00edm \u201eOK\u201c (3)<\/span><\/strong> dojde ke sta\u017een\u00ed do vybran\u00e9ho m\u00edsta v m\u00e9m po\u010d\u00edta\u010di. Na okraj nyn\u00ed podot\u00fdk\u00e1m, \u017ee t\u00edmto zp\u016fsobem lze stahovat data pro t\u00e9m\u011b\u0159 ka\u017ed\u00fd investi\u010dn\u00ed n\u00e1stroj, kter\u00fd se v platform\u011b TWS nal\u00e9z\u00e1, nap\u0159\u00edklad pro akcie toto funguje bezvadn\u011b a nemus\u00edm hledat jin\u00e1 \u0159e\u0161en\u00ed stahov\u00e1n\u00ed z nejr\u016fzn\u011bj\u0161\u00edch specializovan\u00fdch web\u016f. Stejn\u00fdm zp\u016fsobem mohu stahovat data tak\u00e9 pro testovan\u00e9 b\u0159eznov\u00e9 dluhopisov\u00e9 futures. Po \u00faprav\u011b a kontrole sta\u017een\u00fdch dat mohu vytvo\u0159it tabulku pro srovn\u00e1n\u00ed cen dluhopisov\u00e9ho futures a CTD dluhopisu za sledovan\u00e9 obdob\u00ed od 5.1.2024 do dne\u0161n\u00edho dne 24.1.2024, tedy dne, kdy p\u00ed\u0161u tuto \u010d\u00e1st \u010dl\u00e1nku. V grafick\u00e9m zobrazen\u00ed cenov\u00e9ho pr\u016fb\u011bhu obou investic mohu vid\u011bt tento v\u00fdsledek:<\/span><\/p>\n

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\u00a0\u00a0 Cenov\u00fd pr\u016fb\u011bh t\u0159\u00edt\u00fddenn\u00edho dr\u017een\u00ed dluhopisov\u00e9 futures velmi v\u011brn\u011b a t\u011bsn\u011b kop\u00edruje cenov\u00fd v\u00fdvoj CTD dluhopisu. Mohu pak tento t\u011bsn\u00fd vztah prom\u00edtnout do tabulky konkr\u00e9tn\u00ed v\u00fdkonnosti obou obchod\u016f s\u00a0t\u00edm, \u017ee m\u011b bude p\u0159edev\u0161\u00edm zaj\u00edmat v\u00fdkonnost levn\u011b po\u0159\u00edzen\u00e9ho dluhopisov\u00e9ho futures nam\u00edsto v\u00fdkonnosti stotis\u00edcov\u00e9 investice do fyzick\u00e9ho dluhopisu:<\/span><\/p>\n

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\u00a0\u00a0 Mohu pak konkr\u00e9tn\u011b vypozorovat, \u017ee p\u0159i avizovan\u00e9m zv\u00fd\u0161en\u00ed \u00farokov\u00fdch sazeb na dluhopisech se splatnost\u00ed deset let o +9 <\/strong>bazick\u00fdch bod\u016f (+0.09%)<\/strong> za obdob\u00ed 5.1.2024<\/strong> a\u017e 24.1.2024<\/strong> by vedlo k\u00a0prod\u011blku<\/strong> na CTD dluhopisu<\/strong> ve v\u00fd\u0161i -601 USD<\/strong> (zelen\u00e1 \u0161ipka), takovou ztr\u00e1tu bych patrn\u011b vid\u011bl ve sv\u00e9 obchodn\u00ed platform\u011b, pokud bych na Close 5.1.2024 tyto dluhopisy nakoupil a dr\u017eel je do Close po dobu t\u0159\u00ed t\u00fddn\u016f do 24.1.2024. Pokud bych tento obchod nahradil investic\u00ed do front b\u0159eznov\u00e9ho dluhopisov\u00e9ho futures kontraktu, tak za stejn\u00e9 obdob\u00ed 5.1.2024 a\u017e 24.1.2024 by tento obchod vykazoval ztr\u00e1tu -750 USD<\/strong> (\u010derven\u00e1 \u0161ipka). Mohu tak velmi obecn\u011b konstatovat (neberu v \u00favahu Ask\/Bid spready p\u0159i po\u0159izov\u00e1n\u00ed obou investic), \u017ee oba obchody se vyv\u00edjej\u00ed velmi podobn\u011b a maj\u00ed velmi podobnou v\u00fdkonnost. R\u016fst ceny v\u00fdnos\u016f na t\u011bchto dluhopisech zp\u016fsobuje ztr\u00e1tu jejich ceny (prod\u011blek na fyzick\u00fdch dluhopisech) a sou\u010dasn\u011b kles\u00e1 tak\u00e9 cena odpov\u00eddaj\u00edc\u00edch dluhopisov\u00fdch futures kontrakt\u016f (ztr\u00e1ta na futures). Je tak jist\u00e9, \u017ee mohu spekulovat na cenov\u00fd pohyb fyzick\u00fdch dluhopis\u016f nikoliv prost\u0159ednictv\u00edm p\u0159\u00edm\u00e9 investice do t\u011bchto dluhopis\u016f, ale mohu vyu\u017e\u00edt p\u0159\u00edslu\u0161n\u00e9 dluhopisov\u00e9 futures, jeho\u017e po\u0159\u00edzen\u00ed pro m\u011b bude p\u0159edstavovat zlomek ceny fyzick\u00fdch dluhopis\u016f. Je tak\u00e9 patrn\u00e9, jak nebezpe\u010dn\u00e9 m\u016f\u017ee b\u00fdt takto spekulovat prost\u0159ednictv\u00edm futures kontrakt\u016f a zcela z\u00e1m\u011brn\u011b jsem zvolil p\u0159\u00edklad se ztr\u00e1tov\u00fdm obchodem, proto\u017ee v modelov\u00e9 situaci si mohu p\u0159edstavit nap\u0159\u00edklad investici do Long deseti ZN dluhopisov\u00fdch futures s v\u00fddajem n\u011bco m\u00e1lo p\u0159es 20.000 USD (marginov\u00fd po\u017eadavek), kter\u00e9 reprezentuje desetilet\u00e9 dr\u017een\u00ed dluhopis\u016f s Face Value jeden milion dolar\u016f. P\u0159i r\u016fstu \u00farokov\u00fdch sazeb o +9 bazick\u00fdch bod\u016f, co\u017e je nepatrn\u00fd pohyb, by pak ztr\u00e1ta na t\u011bchto desetilet\u00fdch futures ji\u017e p\u0159edstavovala \u010d\u00e1stku p\u0159esahuj\u00edc\u00ed sedm tis\u00edc dolar\u016f. \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Popisovan\u00fd p\u0159\u00edklad je p\u0159\u00edkladem nespr\u00e1vn\u00e9ho odhadu v\u00fdvoje \u00farokov\u00fdch sazeb, kter\u00fd zp\u016fsobil pokles ceny dluhopis\u016f a tak\u00e9 souvisej\u00edc\u00edho dluhopisov\u00e9ho futures. Je pak jasn\u00e9, \u017ee pokud bych tento dluhopis ve sledovan\u00e9 obdob\u00ed shortoval, p\u0159edstavoval by tento obchod v\u00a0testovan\u00e9 obdob\u00ed samoz\u0159ejm\u011b profit ve stejn\u00e9 v\u00fd\u0161i, jako je zobrazovan\u00e1 ztr\u00e1ta. N\u00edzk\u00e1 cena po\u0159\u00edzen\u00ed dluhopisov\u00e9ho futures a jeho cenov\u00e9 efekty replikuj\u00edc\u00ed stotis\u00edcov\u00e9 dluhopisov\u00e9 portfolio jej pak p\u0159edur\u010duje k\u00a0dal\u0161\u00edmu pou\u017eit\u00ed, kter\u00e9 m\u016f\u017ee v\u00fdrazn\u011b p\u0159isp\u011bt ke spr\u00e1v\u011b dluhopisov\u00e9ho portfolia nebo k\u00a0v\u00fdrazn\u011b bezrizikov\u011bj\u0161\u00edmu dr\u017een\u00ed jednotliv\u00fdch dluhopis\u016f.<\/span><\/p>\n

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Dluhopis, inkaso kup\u00f3n\u016f a dluhopisov\u00e9 futures<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Podobn\u00fd prod\u011blek \u010di zisk na sou\u010dasn\u011b dr\u017een\u00e9m CTD dluhopisu a odpov\u00eddaj\u00edc\u00edm dluhopisov\u00e9m futures se mohu pokusit p\u0159etavit do jednoduch\u00e9ho obchodu. Z dosavadn\u00edho textu vypl\u00fdv\u00e1, \u017ee po\u0159izov\u00e1n\u00ed futures m\u016f\u017ee p\u0159edev\u0161\u00edm slou\u017eit jako hedge k podkladov\u00fdm dluhopis\u016fm, tedy po\u0159\u00edzen\u00e9 futures mi m\u016f\u017ee pomoci zajistit nep\u0159\u00edjemn\u00e9 cenov\u00e9 pohyby dluhopisov\u00e9ho portfolia, pokud k jeho Long podob\u011b budu shortovat odpov\u00eddaj\u00edc\u00ed mno\u017estv\u00ed a typ dluhopisov\u00e9ho futures. Z dosavadn\u00edho pozn\u00e1n\u00ed o simulaci dluhopisov\u00e9ho portfolia pomoc\u00ed dluhopisov\u00e9ho futures, zejm\u00e9na s p\u0159ihl\u00e9dnut\u00edm k vypo\u0159\u00e1d\u00e1n\u00ed futures jedn\u00edm z dluhopis\u016f z mo\u017en\u00e9ho ko\u0161e vhodn\u00fdch dluhopis\u016f, nebude kop\u00edrov\u00e1n\u00ed pohybu futures kontraktu zcela p\u0159esn\u011b kop\u00edrovat pohyby fyzick\u00e9ho dluhopisu, nicm\u00e9n\u011b tyto cenov\u00e9 pohyby budou velmi t\u011bsn\u00e9 a podobn\u00e9. \u00a0<\/span><\/p>\n

\u00a0\u00a0 Mohu v\u00a0teoretick\u00e9m historick\u00e9m p\u0159\u00edkladu vyj\u00edt z\u00a0n\u00e1sleduj\u00edc\u00ed situace. Je prvn\u00ed obchodn\u00ed den v\u00a0leto\u0161n\u00edm roce<\/strong> (2.1.2024) a rozhoduji se po\u0159\u00eddit desetilet\u00fd dluhopis<\/strong> s\u00a0CUSIP 91282CHZ7<\/strong> s\u00a0Face Value 100.000 USD. Jeho parametry z\u00a0obchodn\u00ed platformy TWS n\u00ed\u017ee na obr\u00e1zku:<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Jedn\u00e1 se o dluhopis se splatnost\u00ed v\u00a0z\u00e1\u0159\u00ed 2030 a je jedn\u00edm z\u00a0dluhopis\u016f, kter\u00fd je ur\u010den\u00fd pro vypo\u0159\u00e1d\u00e1n\u00ed desetilet\u00e9ho futures kontraktu (ZNH4), tedy s\u00a0dod\u00e1n\u00edm v\u00a0b\u0159eznu leto\u0161n\u00edho roku. Dluhopis nese kup\u00f3n<\/strong> ve v\u00fd\u0161i 4.625% p.a.<\/strong>, kter\u00fd je nejbl\u00ed\u017ee splatn\u00fd 31.3.2024<\/strong>, p\u0159edch\u00e1zej\u00edc\u00ed kup\u00f3n byl splatn\u00fd 30.9.2023<\/strong>. Dluhopisy s\u00a0Face Value 100.000 USD tedy po\u0159izuji 2.1.2024<\/strong> a m\u00e1m sou\u010dasn\u011b pl\u00e1n dluhopisy dr\u017eet pouze t\u0159i t\u00fddny<\/strong> do p\u00e1tku 26.1.2024<\/strong>, v\u00a0tento den se pl\u00e1nuji dluhopis\u016f zbavit. V\u00a0tomto obchodu m\u011b pak p\u016fjde zejm\u00e9na o to, abych za dobu t\u0159\u00edt\u00fddenn\u00edho dr\u017een\u00ed dluhopis\u016f obdr\u017eel kup\u00f3nov\u00fd v\u00fdnos<\/strong>, kter\u00fd je na dluhopisu vyzna\u010den a na kter\u00fd m\u00e1m n\u00e1rok.<\/span><\/p>\n

\u00a0\u00a0 Dr\u017een\u00ed americk\u00e9ho vl\u00e1dn\u00edho dluhopisu s\u00a0kup\u00f3nem ve v\u00fd\u0161i 4.625% od 2.1.2024 do 26.1.2024 p\u0159edstavuje dr\u017een\u00ed dluhopisu po dobu 24 kalend\u00e1\u0159n\u00edch dn\u016f. N\u00e1kup dluhopisu 2.1.2024 m\u011b oprav\u0148uje ji\u017e za tento den obdr\u017eet jednodenn\u00ed kup\u00f3nov\u00fd v\u00fdnos, v\u00a0den prodeje 26.1.2024 ji\u017e na tento jednodenn\u00ed kup\u00f3nov\u00fd v\u00fdnos n\u00e1rok nem\u00e1m, mohu tak po\u010d\u00edtat s\u00a0kup\u00f3nem za 23 kalend\u00e1\u0159n\u00edch dn\u016f<\/strong>. Proto\u017ee se jedn\u00e1 o US-Treasuries dluhopis, je p\u0159i v\u00fdpo\u010dtu \u00faroku z\u00a0kup\u00f3nu pou\u017eita konvence 30\/360<\/strong>, znamen\u00e1 to, \u017ee d\u00e9lka jednoho m\u011bs\u00edce je 30 dn\u016f a kalend\u00e1\u0159n\u00ed rok m\u00e1 360 dn\u016f, pololet\u00ed tak trv\u00e1 180 dn\u016f. Americk\u00e9 vl\u00e1dn\u00ed dluhopisy maj\u00ed pololetn\u00ed v\u00fdplatu kup\u00f3n\u016f, v\u00fdpo\u010det \u00farok\u016f pak bude podle tohoto jednoduch\u00e9ho vzorce:\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Tento zcela jist\u00fd kup\u00f3nov\u00fd p\u0159\u00edjem<\/strong> ve v\u00fd\u0161i 295.47 USD<\/strong> ale m\u016f\u017ee zhatit cenov\u00fd pohyb<\/strong> na dr\u017een\u00fdch dluhopisech, kter\u00fd by se mohl dostavit v\u00a0souvislosti se zm\u011bnou \u00farokov\u00fdch sazeb na desetilet\u00fdch dluhopisech za dobu jejich t\u0159\u00edt\u00fddenn\u00edho dr\u017een\u00ed, jednodu\u0161e bych sice obdr\u017eel adekv\u00e1tn\u00ed \u010d\u00e1st 4.625% kup\u00f3nu, kter\u00fd mi n\u00e1le\u017e\u00ed, ale cena dluhopisu by se mohla zm\u011bnit natolik (klesnout), \u017ee rozd\u00edl mezi jejich po\u0159izovac\u00ed cenou a prodejn\u00ed cenou by vygeneroval ztr\u00e1tu vy\u0161\u0161\u00ed, ne\u017e je p\u0159ijat\u00e1 kup\u00f3nov\u00e1 platba. Mohla by samoz\u0159ejm\u011b nastat tak\u00e9 opa\u010dn\u00e1 situace, kdy ke kup\u00f3nov\u00e9 platb\u011b bych mohl za stejn\u00e9 obdob\u00ed p\u0159idat tak\u00e9 kapit\u00e1lov\u00fd v\u00fdnos v\u00a0p\u0159\u00edpad\u011b, \u017ee by cena dr\u017een\u00fdch dluhopis\u016f narostla. K\u00a0po\u0159\u00edzen\u00e9mu stotis\u00edcov\u00e9mu dluhopisu tak budu cht\u00edt sou\u010dasn\u011b shortovat desetilet\u00e9 dluhopisov\u00e9 futures (ZNH4)<\/strong>, kter\u00e9 by m\u011blo kompenzovat pohyby \u00farokov\u00fdch sazeb na t\u011bchto desetilet\u00fdch dluhopisech a vyrovn\u00e1vat p\u0159\u00edpadn\u00e9 ztr\u00e1ty fyzick\u00fdch dluhopis\u016f z t\u011bchto pohyb\u016f vypl\u00fdvaj\u00edc\u00edch. Na obr\u00e1zku n\u00ed\u017ee je vyzna\u010dena korelace v\u00fdvoje desetilet\u00fdch v\u00fdnos\u016f (sta\u017eeno ze str\u00e1nky FRED<\/a><\/strong><\/span>) a ceny desetilet\u00e9ho dluhopisov\u00e9ho futures pr\u00e1v\u011b za obdob\u00ed 2.1.2024 a\u017e 26.1.2024, cenov\u00fd v\u00fdvoj shortovan\u00e9ho dluhopisov\u00e9ho futures by pak m\u011blo zaji\u0161\u0165ovat cenov\u00e9 pohyby na nakoupen\u00fdch dluhopisech, zp\u016fsoben\u00e9 pr\u00e1v\u011b zm\u011bnou v\u00fdnos\u016f na desetilet\u00fdch dluhopisech vyzna\u010den\u00fdch v grafu n\u00ed\u017ee zelenou k\u0159ivkou:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 \u00a0Mohu pak tuto korelaci pohybu na desetilet\u00fdch v\u00fdnosech s cenou desetilet\u00e9ho futures zapojit do obchodu s po\u0159\u00edzen\u00edm desetilet\u00e9ho kup\u00f3nov\u00e9ho dluhopisu s CUSIP 91282CHZ7, kter\u00e9 budu cht\u00edt zajistit aktu\u00e1ln\u011b nejbli\u017e\u0161\u00edm desetilet\u00fdm dluhopisov\u00fdm futures kontraktem ZNH4, grafick\u00e9 zn\u00e1zorn\u011bn\u00ed takto strukturovan\u00e9ho obchodu je na obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Cenov\u00fd pr\u016fb\u011bh desetilet\u00e9ho kup\u00f3nov\u00e9ho dluhopisu s CUSIP 91282CHZ7 a desetilet\u00e9ho dluhopisov\u00e9ho futures je \u201et\u00e9m\u011b\u0159\u201c toto\u017en\u00fd. Zobrazen\u00e9 obdob\u00ed dr\u017een\u00ed dluhopis\u016f je p\u0159esn\u011b za obdob\u00ed od 2.1.2024 (n\u00e1kup dluhopis\u016f a short dluhopisov\u00e9ho futures) do 26.1.2024, kdy byl obchod ukon\u010den. Cena dluhopis\u016f s CUSIP 91282CHZ7 i dluhopisov\u00e9ho futures je na historick\u00fdch Close datech z platformy TWS a v p\u0159\u00edpad\u011b dluhopisov\u00e9ho futures se jedn\u00e1 o cenu ZNH4, desetilet\u00e9ho front futures kontraktu.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Mohu pak z\u00a0obr\u00e1zku vypozorovat vstupn\u00ed a v\u00fdstupn\u00ed ceny t\u00e9to operace s\u00a0nakoupen\u00fdmi dluhopisy hed\u017eovan\u00fdmi dluhopisov\u00fdm futures. Dluhopisy<\/strong> bych 2.1.2024<\/strong> nakoupil za -103.869 USD<\/strong>, abych je 26.1.2024<\/strong> prodal za +103.107 USD<\/strong>, na cen\u011b dluhopis\u016f bych tak prod\u011blal a utrp\u011bl bych kapit\u00e1lovou ztr\u00e1tu -762 USD<\/strong><\/span>. Naopak, 2.1.2024<\/strong> bych za shortov\u00e1n\u00ed<\/strong> desetilet\u00e9ho ZNH4<\/strong> dluhopisov\u00e9ho futures obdr\u017eel +112.300 USD<\/strong>, toto bych v\u00a0den likvidace dluhopisov\u00e9 pozice dne 26.1.2024<\/strong> koupil zp\u011bt za -111.030 USD<\/strong>, toto desetilet\u00e9 dluhopisov\u00e9 futures by pak p\u0159ineslo profit +1.270 USD<\/strong><\/span>. Celkov\u011b bych tak ke kup\u00f3nov\u00e9mu p\u0159\u00edjmu +295.47 USD<\/span><\/strong> p\u0159idal ztr\u00e1tu na dluhopisech ve v\u00fd\u0161i -762 USD<\/strong><\/span> a profit +1.270 USD<\/strong><\/span> na dluhopisov\u00e9m futures, abych celkov\u011b profitoval \u010d\u00e1stkou +803.47 USD<\/strong><\/span>. Patrn\u00e1 nesymetrie v\u00fdkonu na fyzick\u00fdch dluhopisech a na dluhopisov\u00e9m futures d\u00e1v\u00e1 tu\u0161it m\u00edrnou nedokonalost takov\u00e9ho zaji\u0161t\u011bn\u00ed, nicm\u00e9n\u011b p\u0159i jak\u00e9mkoliv poklesu ceny dluhopisov\u00e9ho portfolia je n\u00e1r\u016fst ceny dluhopisov\u00e9ho futures bezpochyby velmi v\u00edtanou ochranou p\u0159ed ztr\u00e1tou utrp\u011bnou na t\u011bchto fyzick\u00fdch dluhopisech. Bez jak\u00e9hokoliv zaji\u0161t\u011bn\u00ed by to byl nep\u0159edv\u00eddateln\u00fd a rizikov\u00fd obchod spol\u00e9haj\u00edc\u00ed se pouze na \u201enepohyb\u201c nebo r\u016fst ceny nakoupen\u00fdch dluhopis\u016f.<\/span><\/p>\n

\n

Jak mohu na takov\u00fd obchod nahl\u00ed\u017eet?<\/strong><\/span><\/h2>\n

\u00a0\u00a0 1\/<\/strong> Vypad\u00e1 to, \u017ee p\u0159i alokaci \u010d\u00e1stky 103\u00a0869 USD (po\u0159\u00edzen\u00ed dluhopis\u016f) a marginov\u00e9ho po\u017eadavku 2.128 USD na po\u0159\u00edzen\u00ed short pozice na dluhopisov\u00e9ho futures je v\u00fdnos z\u00a0investice ve v\u00fd\u0161i +803.47 USD za dobu t\u0159\u00ed kalend\u00e1\u0159n\u00edch t\u00fddn\u016f nomin\u00e1ln\u011b mal\u00fd<\/strong>. Nicm\u00e9n\u011b p\u0159evedeno na ro\u010dn\u00ed zhodnocen\u00ed je ji\u017e tento obr\u00e1zek jin\u00fd. V\u00fdnos +803.47 USD<\/strong> jsem z\u00edskal investov\u00e1n\u00edm 105.997 USD<\/strong> do dluhopis\u016f a zaji\u0161\u0165uj\u00edc\u00edho futures (803.47 USD\/105.997 USD = 0.0758) po dobu 365\/23<\/strong> (15.063) roku<\/strong>, potom (0.0758*15.063) = 0.1142, tedy +11.42% p.a. <\/strong>je ro\u010dn\u00ed sazba zhodnocen\u00ed takto proveden\u00e9 investice. P\u0159esto\u017ee jsou nyn\u00ed na trz\u00edch \u00faroky na spo\u0159\u00edc\u00edch \u00fa\u010dtech a term\u00ednovan\u00fdch vkladech celkem vysok\u00e9, investice s mo\u017enost\u00ed ro\u010dn\u00edho v\u00fdnosu 11.42% p.a. nen\u00ed v\u016fbec \u0161patn\u00e1. Mus\u00edm tak\u00e9 zohlednit investi\u010dn\u00ed n\u00e1stroje, jejich\u017e kombinaci jsem pou\u017eil a z tohoto pohledu by se nem\u011blo jednat o v\u00fdznamn\u011b rizikovou investici s mo\u017enost\u00ed z\u00e1vratn\u00fdch prod\u011blk\u016f.<\/span><\/p>\n

\u00a0\u00a0 2\/<\/strong> Vybral jsem n\u00e1hodn\u00fd <\/strong>americk\u00fd vl\u00e1dn\u00ed desetilet\u00fd dluhopis<\/strong> s vysok\u00fdm kup\u00f3nem, kter\u00fd m\u00e1 ur\u010dit\u00e9 vlastnosti (nap\u0159\u00edklad duraci), kter\u00fdmi jsem se nezab\u00fdval a pou\u017eil jsem front<\/strong> dluhopisov\u00e9 desetilet\u00e9 futures<\/strong>, jeho\u017e vlastnostmi jsem se tak\u00e9 nezab\u00fdval. Je tak patrn\u00e9, \u017ee \u00fasp\u011b\u0161nost tohoto typu obchodu by si zaslou\u017eila v\u00edce pozornosti zkoum\u00e1n\u00edm konkr\u00e9tn\u00edch vlastnost\u00ed obou investi\u010dn\u00edch n\u00e1stroj\u016f, kter\u00e9 by vygenerovalo mo\u017enou p\u0159esn\u011bj\u0161\u00ed volbu dluhopisu (nap\u0159\u00edklad jin\u00fd typ, jin\u00e9ho emitenta, s jin\u00fdm ratingem \u010di jin\u00fdm kup\u00f3nem) nebo jin\u00e9ho typu dluhopisov\u00e9ho deriv\u00e1tu.<\/span><\/p>\n

\u00a0\u00a0 Pr\u00e1v\u011b roz\u0161\u00ed\u0159en\u00edm pozorov\u00e1n\u00ed vlastnost\u00ed dluhopisov\u00fdch futures s\u00a0p\u0159ihl\u00e9dnut\u00edm k vlastnostem\u00a0po\u0159\u00edzen\u00e9ho dluhopisov\u00e9ho portfolia, zapracov\u00e1n\u00edm posouzen\u00ed citlivosti dluhopis\u016f na zm\u011bnu \u00farokov\u00fdch sazeb a existenc\u00ed dal\u0161\u00edch dluhopisov\u00fdch deriv\u00e1t\u016f jako mo\u017enosti \u0159\u00edzen\u00ed rizika nebo vlastnost\u00ed dluhopisov\u00e9ho portfolia se pak budu zab\u00fdvat v\u00a0n\u00e1sleduj\u00edc\u00edch \u010dl\u00e1nc\u00edch :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<\/a><\/strong><\/span> :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":6920,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_feature_clip_id":0,"_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},"jetpack_post_was_ever_published":false},"categories":[60],"tags":[61],"class_list":["post-6900","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-dluhopisy","tag-dluhopisy"],"jetpack_publicize_connections":[],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1Ni","jetpack-related-posts":[{"id":6833,"url":"https:\/\/dobretrejdy.com\/?p=6833","url_meta":{"origin":6900,"position":0},"title":"Dluhopisy \u2013 XIV. \u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"7.12.2023","format":false,"excerpt":"\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\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\/12\/OI5.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/12\/OI5.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7097,"url":"https:\/\/dobretrejdy.com\/?p=7097","url_meta":{"origin":6900,"position":1},"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":7175,"url":"https:\/\/dobretrejdy.com\/?p=7175","url_meta":{"origin":6900,"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":7416,"url":"https:\/\/dobretrejdy.com\/?p=7416","url_meta":{"origin":6900,"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":7042,"url":"https:\/\/dobretrejdy.com\/?p=7042","url_meta":{"origin":6900,"position":4},"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":[]},{"id":7650,"url":"https:\/\/dobretrejdy.com\/?p=7650","url_meta":{"origin":6900,"position":5},"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":[]}],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2024\/01\/main.jpg","_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6900","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=6900"}],"version-history":[{"count":15,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6900\/revisions"}],"predecessor-version":[{"id":7327,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/6900\/revisions\/7327"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/6920"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6900"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6900"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6900"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}