{"id":7246,"date":"2024-08-04T18:11:02","date_gmt":"2024-08-04T16:11:02","guid":{"rendered":"https:\/\/dobretrejdy.com\/?p=7246"},"modified":"2024-08-26T06:58:44","modified_gmt":"2024-08-26T04:58:44","slug":"dluhopisy-xxi","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=7246","title":{"rendered":"Dluhopisy \u2013 XXI."},"content":{"rendered":"

\u00a0\u00a0 \u00darokov\u00e9 deriv\u00e1ty nav\u00e1zan\u00e9 nikoliv na dluhov\u00e9 cenn\u00e9 pap\u00edry, ale na \u00farokov\u00e9 sazby vygenerovan\u00e9 na mezibankovn\u00edch trz\u00edch p\u016fj\u010dek zaji\u0161t\u011bn\u00fdch cenn\u00fdmi pap\u00edry (SOFR – Secured Overnight Financial Rate) byly p\u0159edm\u011btem minul\u00e9ho \u010dl\u00e1nku Dluhopisy \u2013 XX.<\/a><\/strong><\/span>. Je zcela z\u0159ejm\u00e9, \u017ee v\u00fd\u0161e t\u011bchto sazeb siln\u011b ovliv\u0148uje dluhopisov\u00e9 trhy, kdy\u017e v\u00fdnosy na t\u011bchto dluhopisov\u00fdch trz\u00edch velmi siln\u011b koreluj\u00ed s v\u00fd\u0161\u00ed aktu\u00e1ln\u00edch tr\u017en\u00edch sazeb dosa\u017een\u00fdch na gigantick\u00fdch trz\u00edch p\u016fj\u010dek finan\u010dn\u00edch instituc\u00ed zaji\u0161t\u011bn\u00fdch cenn\u00fdmi pap\u00edry. P\u0159esto\u017ee je v\u00fdnos dluhopisu odrazem tak\u00e9 dal\u0161\u00edch faktor\u016f, zejm\u00e9na spojen\u00fdch se subjektem jeho emitenta (riziko splacen\u00ed) a strukturou samotn\u00e9ho dluhopisu popisovan\u00fdch v p\u0159edchoz\u00edch \u010dl\u00e1nc\u00edch, z\u00e1kladn\u00edm hybatelem v\u00fdnos\u016f dluhopis\u016f je pak pr\u00e1v\u011b pohyb na \u00farokov\u00fdch trz\u00edch popisovan\u00fdch op\u011bt nap\u0159\u00edklad v minul\u00e9m \u010dl\u00e1nku. P\u0159esto\u017ee z \u010dl\u00e1nku vyplynulo, \u017ee stanoven\u00ed ka\u017edodenn\u00edho SOFR je podlo\u017eeno zna\u010dn\u00fdm objemem t\u011bchto mezibankovn\u00edch p\u016fj\u010dek (aktu\u00e1ln\u011b t\u00e9m\u011b\u0159 dva biliony dolar\u016f denn\u011b) a mohlo by se zd\u00e1t, \u017ee takto z\u00edskan\u00e1 \u00farokov\u00e1 sazba je zalo\u017eena na obrovsk\u00e9m vzorku skute\u010dn\u011b proveden\u00fdch transakc\u00ed, existuje je\u0161t\u011b dal\u0161\u00ed v\u00fdznamn\u00fd \u201egener\u00e1tor\u201c \u00farokov\u00fdch sazeb<\/strong>, na n\u011bj\u017e jsou nav\u00e1z\u00e1ny obdobn\u00e9 deriv\u00e1ty, a to tzv. Federal Funds Market<\/strong> (Feder\u00e1ln\u00ed trh fond\u016f). \u00darokov\u00e9 sazby a na n\u011b nav\u00e1zan\u00e9 futures kontrakty tak (ji\u017e podle sv\u00e9ho n\u00e1zvu) budou odvozeny a siln\u011b spjaty s politikou americk\u00e9 centr\u00e1ln\u00ed banky a budou poskytovat dal\u0161\u00ed obr\u00e1zek o mo\u017en\u00fdch dal\u0161\u00edch sc\u00e9n\u00e1\u0159\u00edch v\u00fdvoje jejich v\u00fd\u0161e s mo\u017enost\u00ed tyto sc\u00e9n\u00e1\u0159e a p\u0159edstavy nakonec tak\u00e9 obchodovat.<\/span><\/p>\n

\u00a0\u00a0 O m\u011bnov\u00fdch n\u00e1stroj\u00edch americk\u00e9 centr\u00e1ln\u00ed banky se mohu do\u010d\u00edst v nep\u0159ebern\u00e9m mno\u017estv\u00ed knih, \u010dl\u00e1nk\u016f \u010di dokument\u016f na v\u00edce \u010di m\u00e9n\u011b odborn\u00fdch \u00farovn\u00edch. Na\u010derpan\u00e9 znalosti b\u011b\u017en\u00e9ho investora jsou pak nej\u010dast\u011bji vt\u011bleny do pozorov\u00e1n\u00ed \u00farovn\u011b aktu\u00e1ln\u00edho cenov\u00e9ho p\u00e1sma \u00farokov\u00fdch sazeb<\/strong> pro „feder\u00e1ln\u00ed fondy“ ve kter\u00e9m se tyto \u00farokov\u00e9 sazby pohybuj\u00ed, toto pozorov\u00e1n\u00ed se pak postupn\u011b je\u0161t\u011b scvrkne na sledov\u00e1n\u00ed, jak FOMC<\/strong> (Federal Open Market Committee \u2013 Feder\u00e1ln\u00ed v\u00fdbor pro otev\u0159en\u00fd trh) na sv\u00fdch zased\u00e1n\u00edch s takov\u00fdm p\u00e1smem nalo\u017e\u00ed. Osm pravideln\u00fdch ro\u010dn\u00edch dvoudenn\u00edch zased\u00e1n\u00ed tohoto v\u00fdboru pak siln\u011b h\u00fdbe trhy v\u0161eho druhu, kdy\u017e s nejv\u011bt\u0161\u00ed volatilitou na trz\u00edch akci\u00ed, dluhopis\u016f a jim p\u0159idru\u017een\u00fdch a odvozen\u00fdch trz\u00edch je mo\u017en\u00e9 se setkat v okam\u017eiku zve\u0159ejn\u011bn\u00ed prohl\u00e1\u0161en\u00ed (statementu), jeho\u017e z\u00e1kladn\u00edm posl\u00e1n\u00edm je sd\u011blit, jestli se \u0161\u00ed\u0159ka p\u00e1sma \u00farokov\u00fdch sazeb americk\u00e9 centr\u00e1ln\u00ed banky (FEDu) zm\u011bn\u00ed \u010di nikoliv. Pozorov\u00e1n\u00ed v\u00fdvoje v\u00fdkonu akciov\u00e9ho portfolia ve 20:00 na\u0161eho \u010dasu v druh\u00fd den zased\u00e1n\u00ed m\u011bnov\u00e9ho v\u00fdboru, tedy v okam\u017eiku zve\u0159ejn\u011bn\u00ed reportu FOMC, je v\u017edy spojeno s v\u00fdrazn\u011bj\u0161\u00edmi pohyby cen akci\u00ed a dluhopis\u016f a m\u016f\u017ee vytv\u00e1\u0159et na \u010delech mnoha obchodn\u00edk\u016f nemal\u00e9 vr\u00e1sky, kdy\u017e investory zaj\u00edm\u00e1 p\u0159edev\u0161\u00edm aktu\u00e1ln\u00ed pohled FOMC na stav p\u00e1sma \u00farokov\u00fdch sazeb. Aktu\u00e1ln\u011b je p\u00e1smo t\u011bchto \u00farokov\u00fdch sazeb tvo\u0159eno intervalem 5.25% – 5.50% p.a. Co ale toto p\u00e1smo vlastn\u011b znamen\u00e1, co mohu ze statementu FOMC d\u00e1le vy\u010d\u00edst, jak zapad\u00e1 tato \u00farokov\u00e1 sazba do arzen\u00e1lu americk\u00e9 centr\u00e1ln\u00ed banky, jak ovliv\u0148uje ceny a sazby na finan\u010dn\u00edch trz\u00edch a jak jsou z tohoto p\u00e1sma odvozeny nazna\u010den\u00e9 Federal Funds Futures kontrakty pak bude p\u0159edm\u011btem tohoto \u010dl\u00e1nku.<\/span><\/p>\n

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\u00a0\u00a0 Federal Reserve System<\/strong> je ofici\u00e1ln\u00ed n\u00e1zev pro americkou centr\u00e1ln\u00ed banku<\/strong>, zkr\u00e1cen\u011b ozna\u010dov\u00e1no jako FED<\/strong>. Nechci papou\u0161kovat fr\u00e1ze z\u00a0ekonomick\u00fdch u\u010debnic o \u00faloh\u00e1ch FEDu, bude m\u011b nyn\u00ed zaj\u00edmat pouze to, \u017ee tato centr\u00e1ln\u00ed banka m\u00e1 t\u0159i z\u00e1kladn\u00ed t\u011blesa \u2013 Board Of Governors<\/strong> (spr\u00e1vn\u00ed radu), dvan\u00e1ct pobo\u010dek FEDu<\/strong> rozm\u00edst\u011bn\u00fdch v r\u016fzn\u00fdch \u010d\u00e1stech USA a FOMC – Federal Open Market Committee<\/strong>, tedy m\u011bnov\u00fd v\u00fdbor, jeho\u017e periodick\u00e9 statementy ohledn\u011b \u00farokov\u00fdch sazeb jsem popsal v\u00fd\u0161e. Federal Reserve Syst\u00e9m (FED) z\u00edskal sv\u00e9 ozna\u010den\u00ed zejm\u00e9na d\u00edky povinnosti p\u0159ij\u00edmat a spravovat povinn\u00e9 rezervy<\/strong> bankovn\u00edch instituc\u00ed operuj\u00edc\u00edch na \u00fazem\u00ed USA. Ka\u017ed\u00e1 bankovn\u00ed instituce tak podle platn\u00e9 legislativy m\u011bla v minulosti povinnost ur\u010ditou \u010d\u00e1st sv\u00fdch dr\u017een\u00fdch prost\u0159edk\u016f ulo\u017eit u FEDu a tato povinn\u00e1 rezerva byla n\u011bjak\u00fdm zp\u016fsobem \u00faro\u010dena. Zbyl\u00e9 pen\u00edze, kter\u00fdmi finan\u010dn\u00ed instituce nad r\u00e1mec ulo\u017een\u00e9 rezervy disponovaly, mohly p\u016fj\u010dovat jin\u00fdm finan\u010dn\u00edm instituc\u00edm na tzv. Federal Funds Market (Feder\u00e1ln\u00edm trhu fond\u016f)<\/strong>. Tento trh nen\u00ed nijak centralizovan\u00fd, proto\u017ee funguje na dohod\u00e1ch jednotliv\u00fdch \u00fa\u010dastn\u00edk\u016f trh\u016f (instituce si mezi sebou domlouvaj\u00ed podm\u00ednky t\u011bchto p\u016fj\u010dek), je to v\u0161ak trh, kde region\u00e1ln\u00ed pobo\u010dky FEDu tyto trhy monitoruj\u00ed a sb\u00edraj\u00ed na n\u011bm pot\u0159ebn\u00e1 data pro regulaci. Z\u00e1kladn\u00edm aktu\u00e1ln\u00edm zji\u0161t\u011bn\u00edm by pak mohlo b\u00fdt konstatov\u00e1n\u00ed, \u017ee pokud si tyto finan\u010dn\u00ed instituce mezi sebou p\u016fj\u010dovaly pen\u00edze, kter\u00e9 pot\u0159ebovaly zejm\u00e9na pro pokryt\u00ed nutnosti m\u00edt pot\u0159ebnou a na\u0159\u00edzenou finan\u010dn\u00ed rezervu, tak tento d\u016fvod ji\u017e nyn\u00ed v\u00fdznamn\u011b pominul, proto\u017ee sou\u010d\u00e1sti covidov\u00fdch opat\u0159en\u00ed byla od b\u0159ezna 2020 stanovena sazba v\u00fd\u0161e povinn\u00e9 minim\u00e1ln\u00ed rezervy pro bankovn\u00ed instituce na \u00farove\u0148 0%. Finan\u010dn\u00ed instituce, kter\u00e9 t\u00e9to povinnosti podl\u00e9haj\u00ed, tak nemaj\u00ed nyn\u00ed \u017e\u00e1dnou povinnost u FEDu rezervu dr\u017eet, toto opat\u0159en\u00ed pak m\u011blo za c\u00edl rozh\u00fdbat ekonomickou aktivitu prost\u0159ednictv\u00edm poskytov\u00e1n\u00ed v\u011bt\u0161\u00edho objemu p\u016fj\u010dek. P\u0159esto\u017ee povinnost dr\u017eet povinnou rezervu u americk\u00e9 centr\u00e1ln\u00ed banky pro komer\u010dn\u00ed finan\u010dn\u00ed instituce odpadla, st\u00e1le je FED velmi v\u00edtan\u00fdm a spolehliv\u00fdm par\u0165\u00e1kem pro finan\u010dn\u00ed transakce a hlavn\u00edm d\u016fvodem je pr\u00e1v\u011b jeho m\u011bnov\u00e1 politika v souvislosti s dal\u0161\u00edmi opat\u0159en\u00edmi, kter\u00e9 s fungov\u00e1n\u00edm t\u011bchto bankovn\u00edch instituc\u00ed souvis\u00ed. Pro zji\u0161t\u011bn\u00ed z\u00e1kladn\u00edho fungov\u00e1n\u00ed \u00farokov\u00fdch sazeb spojen\u00fdch s politikou americk\u00e9 centr\u00e1ln\u00ed banky sm\u011brem k finan\u010dn\u00edm trh\u016fm tak bude zapot\u0159eb\u00ed prozkoumat z\u00e1kladn\u00ed principy spojen\u00e9 s t\u011bmito \u00farokov\u00fdmi sazbami, jako z\u00e1kladem pro pozn\u00e1n\u00ed, kter\u00e1 z nich je pak podkladov\u00fdm aktivem zkouman\u00e9ho Fed futures kontraktu a jak tato sazba funguje jako jeden z m\u011bnov\u00fdch n\u00e1stroj\u016f centr\u00e1ln\u00ed banky.\u00a0 \u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Interest Rate of Reserve Balances (IORB)<\/strong><\/span><\/h1>\n

\u00a0\u00a0 P\u0159esto\u017ee tedy nyn\u00ed ji\u017e nemus\u00ed b\u00fdt u FEDu ulo\u017eeny minim\u00e1ln\u00ed rezervy bankovn\u00edch instituc\u00ed (to se ale m\u016f\u017ee do budoucna zm\u011bnit), banky tak \u010din\u00ed velmi masivn\u011b, FED je toti\u017e jistota pevn\u011b dan\u00e9ho \u00faro\u010den\u00ed a z\u00e1ruky, \u017ee o sv\u00e9 pen\u00edze nep\u0159ijdou. Kolik na pen\u011bz\u00edch sv\u011b\u0159en\u00e9 FEDu depozitn\u00ed instituce vyd\u011blaj\u00ed zjist\u00ed z tzv. Interest Rate of Reserve Balances (IORB)<\/strong>, \u00farokov\u00e9 sazby, kterou jsou tyto \u00falo\u017eky \u00faro\u010deny<\/strong>. Tuto sazbu pak stanovuje hlasov\u00e1n\u00edm Board Of Governors a je do obchodn\u00ed reality implementov\u00e1na prost\u0159ednictv\u00edm statementu FOMC vydan\u00e9ho na konci jeho zased\u00e1n\u00ed. Mohu tak konstatovat, \u017ee v\u00fdsledkem zased\u00e1n\u00ed FOMC je nejen stanoven\u00ed rozp\u011bt\u00ed \u00farokov\u00fdch sazeb pro trh feder\u00e1ln\u00edch fond\u016f, ale tak\u00e9 sazba Interest Rate of Reserve Balances (IORB). Mohu tak na str\u00e1nk\u00e1ch kalend\u00e1\u0159e zased\u00e1n\u00ed FOMC na tomto odkazu<\/a><\/strong><\/span> pozorovat existenci takov\u00e9ho rozhodnut\u00ed:<\/span><\/p>\n

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\u00a0 Po jeho sta\u017een\u00ed pak mohu z tohoto dokumentu platn\u00e9ho pro aktu\u00e1ln\u011b posledn\u00ed konan\u00e9 zased\u00e1n\u00ed v \u010dervenci 2024 vypozorovat tato rozhodnut\u00ed:<\/span><\/p>\n

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\u00a0\u00a0 Mohu vypozorovat, \u017ee v\u00a0hlasov\u00e1n\u00ed Board Of Governors bylo dosa\u017eeno shody na v\u00fd\u0161i Interest Rate of Reserve Balances (IORB)<\/strong> na \u00farovni 5.4 % p.a. (1)<\/span><\/strong>, ka\u017ed\u00e1 \u00falo\u017eka u t\u00e9to centr\u00e1ln\u00ed bankovn\u00ed instituce pak bude \u00faro\u010dena pr\u00e1v\u011b touto \u00farokovou sazbou. Rovn\u011b\u017e bylo stanoveno, \u017ee na trhu Federal Funds Market (Feder\u00e1ln\u00edm trhu fond\u016f)<\/strong> se bude \u00farokov\u00e1 sazba pohybovat v rozp\u011bt\u00ed 5.25% – 5.50% p.a. (2)<\/span><\/strong>, finan\u010dn\u00ed instituce tedy mezi sebou budou na tomto trhu uzav\u00edrat transakce za v\u00fdnos pohybuj\u00edc\u00ed se pr\u00e1v\u011b v tomto p\u00e1smu (o tomto pozd\u011bji v textu).<\/span><\/p>\n

\u00a0\u00a0 Pevn\u011b stanoven\u00e1 Interest Rate of Reserve Balances (IORB)<\/strong> je z\u00e1kladn\u00edm n\u00e1strojem FEDu<\/strong> k ovliv\u0148ov\u00e1n\u00ed finan\u010dn\u00ed aktivity bankovn\u00edch instituc\u00ed<\/strong>. Pokud je nyn\u00ed stanovena na hodnotu 5.40% p.a., tak pro\u010d bych m\u011bl, jako prot\u0159el\u00fd bank\u00e9\u0159, p\u016fj\u010dovat pen\u00edze komukoliv jin\u00e9mu za ni\u017e\u0161\u00ed sazbu, ne\u017e kterou dostanu za pen\u00edze ulo\u017een\u00e9 u americk\u00e9 centr\u00e1ln\u00ed banky? Stanoven\u00e1 IORB tak ur\u010duje spodn\u00ed hranici<\/strong> pro sazby \u00fav\u011brov\u00e9 aktivity<\/strong> bankovn\u00edch dom\u016f, proto\u017ee pen\u00edze ulo\u017een\u00e9 u FEDu se nikdy neztrat\u00ed, a nav\u00edc je tato \u00falo\u017eka vysoce likvidn\u00ed. P\u0159esto\u017ee tedy nemus\u00edm nyn\u00ed m\u00edt u FEDu slo\u017eenou \u017e\u00e1dnou povinnou bankovn\u00ed rezervu, mohu jako komer\u010dn\u00ed banka z\u00edskat solidn\u00ed a bezpe\u010dn\u00fd v\u00fdnos a nemus\u00edm poskytovat rizikov\u00e9 \u00fav\u011bry, kter\u00e9 by mohly z\u016fstat nap\u0159\u00edklad nesplaceny. Stanoven\u00ed sazby IORB tak zcela z\u00e1sadn\u011b ovliv\u0148uje apetit bankovn\u00edch instituc\u00ed poskytovat jak\u00e9koliv komer\u010dn\u00ed p\u016fj\u010dky za sazbu ni\u017e\u0161\u00ed, ne\u017e je jej\u00ed aktu\u00e1ln\u00ed v\u00fd\u0161e (5.40%). Aktu\u00e1ln\u00ed v\u00fd\u0161i Interest Rate of Reserve Balances (IORB) mohu sledovat na str\u00e1nk\u00e1ch FEDu na tomto odkazu<\/a><\/strong><\/span>, aktu\u00e1ln\u00ed pohled na tuto webovou str\u00e1nku nyn\u00ed vypad\u00e1 takto:<\/span><\/p>\n

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\u00a0\u00a0 M\u00e1m tak za potvrzen\u00e9, \u017ee aktu\u00e1ln\u00ed \u00farokov\u00e1 sazba pro ukl\u00e1d\u00e1n\u00ed pen\u011bz u americk\u00e9 centr\u00e1ln\u00ed banky je na \u00farovni 5.40% p.a. Mohu tak\u00e9 prozkoumat jej\u00ed historick\u00fd v\u00fdvoj na str\u00e1nk\u00e1ch St. Louis Fedu (FRED) zde<\/a><\/strong><\/span>, potom bych mohl pozorovat jej\u00ed v\u00fd\u0161i v\u00a0\u010dase nap\u0159\u00edklad takto:<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee aktu\u00e1ln\u00ed sazba IORB<\/strong> na \u00farovni 5.40% p.a.<\/strong> je platn\u00e1 ji\u017e od 27.7.2023<\/strong>\u00a0a \u017ee t\u00e9to sazb\u011b p\u0159edch\u00e1zel r\u016fst ve stejn\u00e9m tempu, jak rostlo rozp\u011bt\u00ed pro \u00farokov\u00e9 sazby vyhla\u0161ovan\u00e9 FOMC pro p\u016fj\u010dov\u00e1n\u00ed na Feder\u00e1ln\u00edm trhu fond\u016f.<\/span><\/p>\n

\u00a0\u00a0Primary Credit Rate (PCR)<\/strong><\/span><\/h1>\n

\u00a0 \u00a0Pokud byla Interest Rate of Reserve Balances (IORB<\/strong>) popisovan\u00e1 v\u00a0p\u0159edchoz\u00edch odstavc\u00edch jako sazba<\/strong>, za kterou mohu jako komer\u010dn\u00ed americk\u00e1 banka ukl\u00e1dat<\/strong> pen\u00edze u americk\u00e9 centr\u00e1ln\u00ed banky<\/strong> (aktu\u00e1ln\u011b 5.40% p.a.), je potom Primary Credit Rate<\/strong> \u00farokovou sazbou, za kterou si mohu jako americk\u00e1 finan\u010dn\u00ed instituce pen\u00edze od americk\u00e9 centr\u00e1ln\u00ed banky vyp\u016fj\u010dit<\/strong>. Tato Primary Credit Rate je nyn\u00ed na \u00farovni 5.50% p.a.<\/strong> a pochopiteln\u011b je vy\u0161\u0161\u00ed ne\u017e aktu\u00e1ln\u00ed v\u00fd\u0161e IORB (5.40% p.a.), jednodu\u0161e proto, aby nebylo mo\u017en\u00e9 si u FEDu pen\u00edze p\u016fj\u010dovat za m\u00e9n\u011b ne\u017e u n\u011bj ukl\u00e1dat. Aktu\u00e1ln\u00ed sazbu Primary Credit Rate op\u011bt stanovuje hlasov\u00e1n\u00edm Board Of Governors a jeho aplikaci do m\u011bnov\u00e9 politiky op\u011bt prov\u00e1d\u00ed pomoc\u00ed rozhodnut\u00ed, kter\u00e9 zve\u0159ej\u0148uje u konce zased\u00e1n\u00ed FOMC stejn\u011b, jako u IORB. Mohu pak op\u011bt prozkoumat rozhodnut\u00ed pro tuto sazbu v dokumentu stejn\u00e9m jako v\u00fd\u0161e v textu:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 V\u00a0dokumentu, rozhodnut\u00ed o implementaci pravidel pro monet\u00e1rn\u00ed politiku FEDu, pak mohu krom\u011b rozhodnut\u00ed o sazb\u011b<\/strong> pro ulo\u017een\u00ed pen\u011bz<\/strong> u americk\u00e9 centr\u00e1ln\u00ed banky (IORB) ve v\u00fd\u0161i 5.40% p.a. (1)<\/span><\/strong> a p\u00e1sma \u00farokov\u00fdch sazeb<\/strong> pro Feder\u00e1ln\u00ed trhu fond\u016f<\/strong> v\u00a0rozmez\u00ed 5.25% – 5.50% p.a. (2)<\/span><\/strong> vypozorovat pr\u00e1v\u011b tak\u00e9 rozhodnut\u00ed o sazb\u011b<\/strong>, za kterou bude americk\u00e1 centr\u00e1ln\u00ed banky pen\u00edze p\u016fj\u010dovat<\/strong> (Primary Credit Rate), kter\u00e1 byla stanovena na \u00farovni 5.50% p.a. (3)<\/span><\/strong>. P\u016fj\u010dovat si za 5.50% p.a. a ukl\u00e1dat za 5.40% p.a. je pak zna\u010dn\u011b nepraktick\u00e9 a postr\u00e1d\u00e1 ekonomick\u00fd smysl, proto jsou bankovn\u00ed instituce nuceny sh\u00e1n\u011bt pen\u00edze jin\u00fdm zp\u016fsobem a z jin\u00fdch zdroj\u016f ne\u017e p\u016fj\u010dov\u00e1n\u00edm od centr\u00e1ln\u00ed banky. T\u00edmto trhem je pak pr\u00e1v\u011b Federal Funds Market (Feder\u00e1ln\u00ed trh fond\u016f)<\/strong>, kde si bankovn\u00ed instituce p\u016fj\u010duj\u00ed pen\u00edze mezi sebou tak, jak pot\u0159ebuj\u00ed a jak se vz\u00e1jemn\u011b dohodly. Tyto p\u016fj\u010dky na tomto trhu jsou FEDem regulov\u00e1ny pr\u00e1v\u011b rozmez\u00edm<\/strong> mo\u017en\u00fdch \u00farokov\u00fdch sazeb<\/strong> dan\u00fdm v rozhodnut\u00ed m\u011bnov\u00e9ho v\u00fdboru (FOMC), kter\u00e9 aktu\u00e1ln\u011b \u010din\u00ed 5.25% – 5.50% p.a.<\/strong> V\u00fdsledkem t\u011bchto transakc\u00ed z tohoto trhu je pak stanoven\u00ed \u00farokov\u00e9 sazby, kter\u00e1 tyto p\u016fj\u010dovac\u00ed transakce oce\u0148uje.<\/span><\/p>\n

Effective Federal Funds Rate (EFFR)<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Bylo ji\u017e uvedeno, \u017ee \u00fa\u010dastn\u00edci finan\u010dn\u00edch trh\u016f si mohou voln\u00e9 a p\u0159ebyte\u010dn\u00e9 pen\u00edze ukl\u00e1dat u centr\u00e1ln\u00ed banky se sazbu IORB, ale tak\u00e9 si u t\u00e9to centr\u00e1ln\u00ed banky mohou pen\u00edze p\u016fj\u010dovat za vy\u0161\u0161\u00ed sazbu PCR, co\u017e nen\u00ed zrovna to \u201eprav\u00e9 o\u0159echov\u00e9\u201c, proto\u017ee si p\u016fj\u010duj\u00ed za v\u00edce ne\u017e za kolik mohou ukl\u00e1dat. Tato skute\u010dnost je pak vede k tomu, \u017ee si komer\u010dn\u00ed finan\u010dn\u00ed subjekty sh\u00e1n\u011bj\u00ed pen\u00edze jin\u00fdm zp\u016fsobem a na jin\u00e9m m\u00edst\u011b a tyto pak p\u0159\u00edpadn\u011b ukl\u00e1daj\u00ed u centr\u00e1ln\u00ed banky za jejich depozitn\u00ed sazbu IORB. Takov\u00fdm m\u00edstem je pak Federal Funds Market<\/strong> (Feder\u00e1ln\u00ed trhu fond\u016f), na kter\u00e9m si tyto finan\u010dn\u00ed instituce mohou mezi sebou vz\u00e1jemn\u011b poskytovat pen\u011b\u017en\u00ed prost\u0159edky za v\u00fdnos<\/strong>, kter\u00fd se pohybuje v\u00a0p\u0159esn\u011b dan\u00e9m p\u00e1smu<\/strong> stanoven\u00e9m ve statementu FOMC, aktu\u00e1ln\u011b tedy s\u00a0v\u00fdnosem, kter\u00fd se pohybuje mezi 5.25% p.a. \u2013 5.50% p.a. V\u0161echny dohodnut\u00e9 finan\u010dn\u00ed transakce na tomto trhu jsou zaznamen\u00e1v\u00e1ny podle sv\u00e9ho objemu a v\u00fdnosu a z\u00a0t\u011bchto transakc\u00ed je pak generov\u00e1na sazba Effective Federal Funds Rate (EFFR)<\/strong>. V\u00fdsledn\u00e1 sazba je stanovov\u00e1na z transakc\u00ed za ub\u011bhl\u00fd obchodn\u00ed den a stejn\u011b tak jako SOFR (Secured Overnight Financial Rate) popisovan\u00e1 v minul\u00e9m \u010dl\u00e1nku<\/a><\/strong><\/span> je tak tato \u00farokov\u00e1 sazba zve\u0159ej\u0148ov\u00e1na ex-post a na z\u00e1klad\u011b skute\u010dn\u011b prob\u011bhl\u00fdch transakc\u00ed. Starost o publikaci t\u00e9to EFFR pak byla op\u011bt p\u0159enech\u00e1na pobo\u010dce New York FEDu<\/strong> a jej\u00ed aktu\u00e1ln\u00ed hodnoty lze vypozorovat na jejich webov\u00fdch str\u00e1nk\u00e1ch na tomto odkazu<\/a><\/strong><\/span>, aktu\u00e1ln\u011b tak mohu vid\u011bt n\u00e1sleduj\u00edc\u00ed zobrazen\u00ed EFFR v tomto um\u00edst\u011bn\u00ed takto:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Z\u00a0obr\u00e1zku mohu vy\u010d\u00edst, \u017ee dne 1.8.2024<\/strong> byla Effective Federal Funds Rate<\/strong> (EFFR)<\/strong> na \u00farovni 5.33% p.a. (1)<\/span><\/strong> a tato sazba pak byla odvozena s\u00a0transakc\u00ed p\u0159edch\u00e1zej\u00edc\u00edho obchodn\u00edho dne v\u00a0objemu 83 miliard USD (2)<\/span><\/strong> za aktu\u00e1ln\u011b schv\u00e1len\u00e9ho p\u00e1sma kde se tato sazba m\u016f\u017ee pohybovat v rozmez\u00ed 5.25% p.a. \u2013 5.50% p.a. (3)<\/span><\/strong>. Sazba EFFR je pak stanovena (obdobn\u011b jako SOFR) jako medi\u00e1n <\/strong>sazby v\u00e1\u017een\u00e9 podle sv\u00e9ho objemu<\/strong> z uskute\u010dn\u011bn\u00fdch transakc\u00ed, tedy v\u0161echny transakce jsou se\u0159azeny vzestupn\u011b podle v\u00fd\u0161e sv\u00e9 sazby a je vyhled\u00e1na sazba, kde je polovina objemu uskute\u010dn\u011bn\u00fdch transakc\u00ed za hodnotu ni\u017e\u0161\u00ed je tato sazba a polovina objemu obchod\u016f byla uskute\u010dn\u011bna za vy\u0161\u0161\u00ed sazbu, ne\u017e je tato \u201est\u0159edn\u00ed\u201c sazba, tato je tak medi\u00e1nem t\u011bchto sazeb<\/strong> a je ozna\u010dena za aktu\u00e1ln\u00ed Effective Federal Funds Rate (EFFR)<\/strong> zve\u0159ejn\u011bnou na str\u00e1nk\u00e1ch New York Fedu.<\/span><\/p>\n

\u00a0\u00a0 V z\u00e1kladn\u00edm mechanismu m\u011bnov\u00e9 politiky americk\u00e9 centr\u00e1ln\u00ed banky tak mohu pozorovat, \u017ee si na trhu mezibankovn\u00edch transakc\u00ed mohu p\u016fj\u010dit pen\u00edze za tuto sazbu 5.33% p.a. a n\u00e1sledn\u011b je pak nap\u0159\u00edklad ulo\u017eit u americk\u00e9 centr\u00e1ln\u00ed banky za Interest Rate of Reserve Balances (IORB), tedy depozitn\u00ed sazby FEDu ve v\u00fd\u0161i 5.40% p.a. a \u010derpat tak z jednoduch\u00e9 finan\u010dn\u00ed arbitr\u00e1\u017ee. Tato arbitr\u00e1\u017e je pak jednou ze z\u00e1kladn\u00edch metod, jak m\u016f\u017ee americk\u00e1 centr\u00e1ln\u00ed banka regulovat finan\u010dn\u00ed trh. Pokud je EFFR n\u00ed\u017ee<\/strong>, ne\u017e je depozitn\u00ed sazba FEDu (IORB<\/strong>), co\u017e je nyn\u00ed aktu\u00e1ln\u00ed stav, tak finan\u010dn\u00ed instituce maj\u00ed tendenci z\u00edsk\u00e1vat pen\u00edze na Feder\u00e1ln\u00edm trhu fond\u016f za m\u00e9n\u011b (EFFR je 5.33 % p.a.) a ukl\u00e1dat je za u americk\u00e9 centr\u00e1ln\u00ed banky za jej\u00ed aktu\u00e1ln\u00ed depozitn\u00ed sazbu (IORB je 5.40% p.a.), t\u00edm roste popt\u00e1vka po t\u011bchto fondech, co\u017e vede k r\u016fstu EFFR sm\u011brem k IORB. Naopak, pokud by byla depozitn\u00ed sazba IORB ni\u017e\u0161\u00ed<\/strong>, ne\u017e je aktu\u00e1ln\u00ed sazba EFFR<\/strong>, tak by komer\u010dn\u00ed \u00fav\u011brov\u00e9 a depozitn\u00ed finan\u010dn\u00ed subjekty ztratili z\u00e1jem ukl\u00e1dat u centr\u00e1ln\u00ed banky za IORB a rad\u011bji by sv\u00e9 pen\u00edze p\u016fj\u010dovaly za vy\u0161\u0161\u00ed \u00farok na Feder\u00e1ln\u00edm trhu fond\u016f za EFFR, toto pak vede k poklesu sazby EFFR, proto\u017ee je na ni vyv\u00edjen pochopiteln\u00fd tr\u017en\u00ed tlak nab\u00eddky a popt\u00e1vky.<\/span><\/p>\n

\u00a0\u00a0 Mohu tak sumarizovat z\u00e1kladn\u00ed poznatky. Interest Rate of Reserve Balances (IORB) je \u00farokovou sazbou, za kterou mohou finan\u010dn\u00ed subjekty ukl\u00e1dat pen\u00edze u americk\u00e9 centr\u00e1ln\u00ed banky a Primary Credit Rate (PCR) je \u00farokov\u00e1 sazba, za kterou si mohou tyto subjekty pen\u00edze p\u016fj\u010dovat od americk\u00e9 centr\u00e1ln\u00ed banky. Mimo tyto transakce ukl\u00e1d\u00e1n\u00ed a p\u016fj\u010dov\u00e1n\u00ed s v\u00fdnosem stanoven\u00fdm hlasov\u00e1n\u00edm Board Of Governors FEDu mohou tyto subjekty vyu\u017e\u00edvat Federal Funds Market (Feder\u00e1ln\u00ed trh fond\u016f), tedy jak\u00e9si tr\u017ei\u0161t\u011b, kde si mohou tyto instituce p\u0159el\u00e9vat pen\u00edze mezi sebou na z\u00e1klad\u011b sv\u00fdch intern\u00edch pot\u0159eb za \u00farokovou sazbu danou p\u00e1smem stanoven\u00fdm FOMC, tedy m\u011bnov\u00fdm v\u00fdborem americk\u00e9 centr\u00e1ln\u00ed banky. Skute\u010dn\u00e1 cena t\u011bchto transakc\u00ed v r\u00e1mci tohoto p\u00e1sma odvozen\u00e1 od medi\u00e1nu t\u011bchto transakc\u00ed je pak ozna\u010dena jako Effective Federal Funds Rate (EFFR). Pr\u00e1v\u011b tato sazba je pak podkladem pro 30-ti denn\u00ed Fed Funds futures kontrakt.<\/span><\/p>\n

\n

30-Day Fed Futures<\/strong><\/span><\/h1>\n

\u00a0\u00a0 30-ti denn\u00ed Fed Futures<\/strong> kontrakt je term\u00ednovan\u00fdm kontraktem<\/strong>, jeho\u017e podkladem<\/strong> je sazba Effective Federal Funds Rate (EFFR)<\/strong> popisovan\u00e1 v p\u0159edchoz\u00edch odstavc\u00edch. P\u0159edstavu, \u017ee jde o n\u011bjak\u00fd exotick\u00fd a nelikvidn\u00ed deriv\u00e1t je mo\u017en\u00e9 vyvr\u00e1tit pozorov\u00e1n\u00edm obr\u00e1zku n\u00ed\u017ee:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Denn\u00ed objem obchod\u016f v \u0159\u00e1dech stovek tis\u00edc kontrakt\u016f (modr\u00e9 sloupce) a Open Interest v ni\u017e\u0161\u00edch jednotk\u00e1ch milion\u016f kontrakt\u016f (sv\u011btle modr\u00e1 k\u0159ivka) pak d\u00e1vaj\u00ed tu\u0161it, \u017ee tyto futures kontrakty nach\u00e1z\u00ed v\u00fdznamn\u00e9ho obchodn\u00edho vyu\u017eit\u00ed a slou\u017e\u00ed bu\u010f k p\u0159\u00edm\u00fdm nebo spreadov\u00fdm obchod\u016fm \u010di k zaji\u0161\u0165ov\u00e1n\u00ed finan\u010dn\u00edch transakc\u00ed. Nakoupit a prodat tento futures kontrakt tak nebude \u017e\u00e1dn\u00fd probl\u00e9m a z m\u00e9ho u\u017eivatelsk\u00e9ho pohledu pak mohu nav\u00edc vypozorovat, \u017ee tyto 30-Day Fed Futures mohu tak\u00e9 pohodln\u011b obchodovat tak\u00e9 u m\u00e9ho brokera Interactive Brokers:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 30-Day Fed Futures<\/strong> nese v\u00a0obchodn\u00ed platform\u011b ticker ZQ<\/strong> a ve sv\u00e9 platform\u011b a sou\u010dasn\u011b tak\u00e9 ze specifikace tohoto futures kontraktu mohu vysledovat, \u017ee je listov\u00e1no v\u017edy \u0161edes\u00e1t m\u011bs\u00ed\u010dn\u00edch futures<\/strong>. Mohu tak nyn\u00ed aktu\u00e1ln\u011b v srpnu roku 2024 vypozorovat, \u017ee posledn\u00edm listovan\u00fdm nejvzd\u00e1len\u011bj\u0161\u00edm kontraktn\u00edm m\u011bs\u00edcem, do kter\u00e9ho bych mohl vstoupit, by byl ZQN29, tedy \u010dervencov\u00e9 futures s expirac\u00ed<\/strong> v \u010dervenci 2029<\/strong>. Aktu\u00e1ln\u00ed pohled na v\u0161echny listovan\u00e9 futures na burze CME v\u010detn\u011b v\u0161ech kritick\u00fdch datum\u016f jejich existence lze vypozorovat zde<\/a><\/strong><\/span>. Mohu pak nap\u0159\u00edklad pozorovat aktu\u00e1ln\u00ed nab\u00eddku nejbli\u017e\u0161\u00edch 30-Day Fed Futures takto:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 30-Day Fed Futures s\u00a0expiraci v\u00a0z\u00e1\u0159\u00ed 2024 (1)<\/span><\/strong> kon\u010d\u00ed sv\u00e9 obchodov\u00e1n\u00ed posledn\u00ed obchodn\u00ed den z\u00e1\u0159\u00ed 2024, konkr\u00e9tn\u011b v p\u00e1tek 30.9.2024 (2)<\/span><\/strong> a je vypo\u0159\u00e1d\u00e1no<\/strong> n\u00e1sleduj\u00edc\u00ed pracovn\u00ed den 1.10.2024 (3)<\/span><\/strong>.<\/span><\/p>\n

Settlement<\/strong><\/span><\/h2>\n

\u00a0 Pro\u010d se 30-Day Fed Futures ozna\u010duje pr\u00e1v\u011b \u201e30-Day\u201c a co vlastn\u011b p\u0159esn\u011b toto futures sleduje vych\u00e1z\u00ed z principu jeho vypo\u0159\u00e1d\u00e1n\u00ed. Jeho konstrukce je velmi podobn\u00e1 zp\u016fsobu vypo\u0159\u00e1d\u00e1n\u00ed One-Month SOFR futures popisovan\u00e9mu v p\u0159edchoz\u00edm \u010dl\u00e1nku<\/a><\/strong><\/span>, tedy jednom\u011bs\u00ed\u010dn\u00edmu SOFR futures. Settlement cena<\/strong> 30-Day Fed Futures kontraktu vych\u00e1z\u00ed z aritmetick\u00e9ho pr\u016fm\u011bru<\/strong> pro Effective Federal Funds Rate (EFFR)<\/strong> zve\u0159ej\u0148ovan\u00e9 v m\u011bs\u00edci, kdy doch\u00e1z\u00ed k expiraci<\/strong> tohoto kontraktu<\/strong>. Tento aritmetick\u00fd pr\u016fm\u011br \u201eR<\/strong><\/span><\/em>\u201c zve\u0159ej\u0148ovan\u00fdch sazeb EFFR je pak op\u011bt ode\u010dten od hodnoty 100 a takto vypo\u010d\u00edtan\u00e1 hodnota (100 – R) je pak settlement cenou pro expirovan\u00fd kontrakt. Mohu tak konstatovat, \u017ee pokud vid\u00edm ve sv\u00e9 obchodn\u00ed platform\u011b 30-Day Fed Futures s ozna\u010den\u00edm ZQAUG27 s expirac\u00ed 31.8.2027 s cenou 96.44, tak to znamen\u00e1, \u017ee trhy aktu\u00e1ln\u011b oce\u0148uj\u00ed aritmetick\u00fd pr\u016fm\u011br \u00farokov\u00e9 sazby EFFR pro m\u011bs\u00edc srpen 2027 (za t\u0159i roky) na hodnotu (100 \u2013 96.44) na \u00farovni 3.56% p.a.<\/span><\/p>\n

\u00a0\u00a0 Spr\u00e1vnost postupu stanoven\u00ed settlement ceny mohu ov\u011b\u0159it na pr\u00e1v\u011b expirovan\u00e9m \u010dervencov\u00e9m 30-Day Fed Futures kontraktu s ozna\u010den\u00edm ZQN24, se kter\u00fdm se p\u0159estalo obchodovat posledn\u00ed den v m\u011bs\u00edci \u010dervenec 2024 (31.7.2024) a n\u00e1sleduj\u00edc\u00ed pracovn\u00ed den (1.8.2024) bylo vypo\u0159\u00e1d\u00e1no. Hodnoty setllement mohu z\u00edsk\u00e1vat na str\u00e1nk\u00e1ch CME na tomto m\u00edst\u011b<\/a><\/strong><\/span> a na obr\u00e1zku n\u00ed\u017ee mohu vid\u011bt, za jakou cenu se tak stalo:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Mohu z\u00a0obr\u00e1zku konstatovat, \u017ee 1.8.2024 (1)<\/span><\/strong> p\u0159edstavovala pro \u010dervencov\u00fd 30-Day Fed Futures kontrakt (2)<\/span><\/strong> vypo\u0159\u00e1dac\u00ed cena (settlement) hodnotu 94.67 bodu (3)<\/span><\/strong>. Tato hodnota pak indikuje, \u017ee aritmetick\u00fd pr\u016fm\u011br EFFR<\/strong> za m\u011bs\u00edc \u010dervenec 2024 byl (100 \u2013 94.67) na vypo\u010d\u00edtan\u00e9 \u00farovni 5.33% p.a.<\/strong><\/span><\/p>\n

\u00a0 \u00a0Kontroln\u00ed v\u00fdpo\u010det settlement ceny mohu prov\u00e9st pomoc\u00ed excelu, kdy data o EFFR za po\u017eadovan\u00e9 obdob\u00ed (kalend\u00e1\u0159n\u00ed m\u011bs\u00edc \u010dervenec 2024) st\u00e1hnu ze str\u00e1nek New York Fedu<\/a><\/strong><\/span>:<\/span><\/p>\n

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\u00a0\u00a0 Na\u00a0odkazu \u201eHistorical Search<\/strong>\u201c pak mohu vyb\u00edrat po\u017eadovan\u00e9 obdob\u00ed pro vyhled\u00e1n\u00ed jednotliv\u00fdch denn\u00edch sazeb EFFR:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 V\u00fdsledek je pak mo\u017en\u00e9 st\u00e1hnout ve form\u00e1tu *csv a tento pak v\u00a0Excelu d\u00e1le zpracovat. Mus\u00edm si b\u00fdt op\u011bt v\u011bdom skute\u010dnosti, \u017ee o v\u00edkendech a ve sv\u00e1tky se na burz\u00e1ch neobchoduje a sazby EFFR jsou tak zve\u0159ej\u0148ov\u00e1ny pouze pro pracovn\u00ed dny. Plat\u00ed, \u017ee pro tyto voln\u00e9 dny<\/strong> je platn\u00e1 sazba<\/strong> pro nejbl\u00ed\u017ee p\u0159edch\u00e1zej\u00edc\u00ed pracovn\u00ed den<\/strong>, tak\u017ee pro v\u0161echny soboty a ned\u011ble v m\u011bs\u00edci plat\u00ed sazba EFFR platn\u00e1 pro p\u00e1tek p\u0159edch\u00e1zej\u00edc\u00ed t\u011bmto v\u00edkend\u016fm, takto pak mus\u00edm mou tabulku se sta\u017een\u00fdmi denn\u00edmi sazbami EFFR tak\u00e9 doplnit (stejn\u011b toto plat\u00ed pro pracovn\u00ed dny, na kter\u00e9 p\u0159ipadnou burzovn\u00ed pr\u00e1zdniny). V\u00fdsledkem by mohla b\u00fdt pro m\u011bs\u00edc \u010dervenec 2024 takto upraven\u00e1 tabulka:<\/span><\/p>\n

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\u00a0\u00a0 \u010cervenec 2024 nebyl na v\u00fdpo\u010det settlement ceny nijak n\u00e1ro\u010dn\u00fd, proto\u017ee v\u00a0cel\u00e9m m\u011bs\u00edci sazba EFFR byla na stejn\u00e9 hodnot\u011b 5.33%<\/strong>, tak\u017ee tak\u00e9 pr\u016fm\u011br t\u011bchto sazeb \u010dinil tuto hodnotu. Dosazen\u00edm do v\u00fdpo\u010dtu 100 \u2013 R pak obdr\u017e\u00edm settlement cenu<\/strong> (100 – 5.33) s\u00a0hodnotou 94.67 bodu<\/strong>, tedy hodnotou stejnou, jakou mi ukazuje obr\u00e1zek se settlementem v\u00fd\u0161e v\u00a0textu.<\/span><\/p>\n

\u00a0\u00a0 Hodnota pohybu jednoho bazick\u00e9ho bodu<\/strong> 30-Day Fed Futures kontraktu je stanovena na +\/-<\/strong> 41.67 USD<\/strong>. Pokud bych nakoupil \u010dervencov\u00fd futures kontrakt ZQN24 za cenu 94.61 bodu a nyn\u00ed p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed by byla stanovena jeho settlement cena na hodnot\u011b 94.67 bodu, \u010dinil by rozd\u00edl +6 bazick\u00fdch bod\u016f a tato investice by p\u0159inesla profit (+6*41.67 USD) ve v\u00fd\u0161i +250.02 USD.<\/span><\/p>\n

\n

\u00a0\u00a0 Z\u00a0napsan\u00fdch \u0159\u00e1dk\u016f si mohu odn\u00e9st zejm\u00e9na pov\u011bdom\u00ed o dal\u0161\u00edm \u00farokov\u00e9m deriv\u00e1tu, kter\u00fd si zcela jist\u011b zaslou\u017e\u00ed svou d\u00e1vku pozornosti. Konstrukc\u00ed sv\u00e9 ceny a mechanikou v\u00fdpo\u010dtu settlement ceny mohu z\u00a0jeho jednotliv\u00fdch hodnot vypozorovat, jak\u00fd maj\u00ed trhy n\u00e1hled<\/strong> na v\u00fdvoj<\/strong> t\u00e9to v\u00fdznamn\u00e9 \u00farokov\u00e9 sazby<\/strong>. Nemus\u00edm tedy nutn\u011b prov\u00e1d\u011bt \u017e\u00e1dn\u00e9 obchody s\u00a0t\u00edmto \u00farokov\u00fdm deriv\u00e1tem, mohu pouze z\u00a0jeho \u010dasov\u00e9 struktury nap\u0159\u00edklad usuzovat, jak trhy oce\u0148uj\u00ed v\u00fd\u0161i t\u00e9to \u00farokov\u00e9 sazby v\u00a0n\u00e1sleduj\u00edc\u00edm obdob\u00ed. \u010casovou strukturu t\u011bchto 30-Day Fed Futures kontrakt\u016f nap\u0159\u00edklad um\u00ed vykreslit m\u016fj broker aktu\u00e1ln\u011b takto:<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Z tvaru k\u0159ivky \u010dasov\u00e9 struktury 30-Day Fed Futures kontrakt\u016f mohu nyn\u00ed odhadovat jejich budouc\u00ed cenu tak, jak ji vid\u00ed \u00fa\u010dastn\u00edci t\u011bchto deriv\u00e1tov\u00fdch trh\u016f. Aktu\u00e1ln\u011b ve chv\u00edli, kdy p\u00ed\u0161u tyto \u0159\u00e1dky je jist\u00e9, \u017ee p\u00e1smo pro EFFR je nastaveno na rozmez\u00ed 5.25% – 5.50% p.a. a v tomto p\u00e1smu se nyn\u00ed pohybuje tak\u00e9 EFFR s aktu\u00e1ln\u00ed denn\u00ed hodnotou na \u00farovni 5.33% p.a. Z \u010dasov\u00e9 struktury ale mohu dovodit, \u017ee toto p\u00e1smo nyn\u00ed trh oce\u0148uje na ni\u017e\u0161\u00ed hodnoty a o\u010dek\u00e1v\u00e1<\/strong>, \u017ee na nejbli\u017e\u0161\u00edm z\u00e1\u0159ijov\u00e9m zased\u00e1n\u00ed FOMC bude toto p\u00e1smo upraveno tak, \u017ee budou sazby<\/strong>, kter\u00e9 jej tvo\u0159\u00ed sn\u00ed\u017eeny<\/strong>. Je pak nyn\u00ed trhy ocen\u011bno, \u017ee EFFR s expirac\u00ed v \u0159\u00edjnu 2024 (\u017elut\u00e9 \u0161ipky) se bude pohybovat v tomto ni\u017e\u0161\u00edm p\u00e1smu a jeho aritmetick\u00fd pr\u016fm\u011br za m\u011bs\u00edc \u0159\u00edjen bude 4.88 % p.a. (graf zobrazuje na ose\u201cy\u201c ji\u017e ode\u010dten\u00e9 hodnoty sazby od stovky). Tento n\u00e1zor trhu se pak mohu pokusit zobchodovat nap\u0159\u00edklad tak, \u017ee budu p\u0159edpokl\u00e1dat jin\u00fd v\u00fdvoj EFFR. Pokud je nyn\u00ed srpen a o\u010dek\u00e1van\u00e9 sn\u00ed\u017een\u00ed bude potvrzeno na nejbli\u017e\u0161\u00edm zased\u00e1n\u00ed FOMC konan\u00e9m v z\u00e1\u0159\u00ed, mohu p\u0159edpokl\u00e1dat, \u017ee toto sn\u00ed\u017een\u00ed bude o -25 bazick\u00fdch bod\u016f a nov\u011b se pak p\u00e1smo pro sazbu EFFR bude pohybovat nap\u0159\u00edklad mezi 5.00% – 5.25%. V \u0159\u00edjnu, kdy expiruje \u017elut\u011b zobrazen\u00e9 30-Day Fed Futures s ozna\u010den\u00edm ZQV24, se \u017e\u00e1dn\u00e9 zased\u00e1n\u00ed FOMC nekon\u00e1, tak\u017ee sazby p\u0159\u00edpadn\u011b zm\u011bn\u011bn\u00e9 na z\u00e1\u0159ijov\u00e9m zased\u00e1n\u00ed z\u016fstanou n\u00e1sledn\u011b do konce \u0159\u00edjna nezm\u011bn\u011bny a bude zna\u010dn\u011b pravd\u011bpodobn\u00e9, \u017ee tak\u00e9 v tomto nov\u00e9m p\u00e1smu 5.00% – 5.25% z\u016fstanou. Uvnit\u0159 tohoto intervalu se pak bude nach\u00e1zet sazba EFFR. 30-Day Fed Futures ZQV24 se aktu\u00e1ln\u011b obchoduje za 95.12 bodu, co\u017e opravdu indikuje sazbu EFFR na \u00farovni 4.88% p.a. ode\u010dtenou z grafu ke dni sv\u00e9 expirace na konci \u0159\u00edjna 2024. Mohu pak ve sv\u00e9m teoretick\u00e9m obchodu s po\u0159\u00edzen\u00edm Long ZQV24 kontraktem p\u0159edpokl\u00e1dat, \u017ee: 1\/<\/strong> EFFR se bude nach\u00e1zet na hodnot\u011b za\u010d\u00ednaj\u00edc\u00ed 5.00 %<\/strong> a v\u00edce, pokud FOMC na z\u00e1\u0159ijov\u00e9m zased\u00e1n\u00ed sn\u00ed\u017e\u00ed sazbu o -0.25 %<\/strong><\/span> a profitovat z rozd\u00edlu po\u0159izovac\u00ed a settlement ceny, kter\u00e1 by se m\u011bla nach\u00e1zet v p\u00e1smu 5.00% – 5.25% p.a. 2\/ EFFR se bude nach\u00e1zet<\/strong> opravdu na hodnot\u011b n\u011bkde kolem 4.88% p.a.<\/strong> v p\u0159\u00edpad\u011b, \u017ee FOMC na z\u00e1\u0159ijov\u00e9m zased\u00e1n\u00ed sn\u00ed\u017e\u00ed sazbu o -0.50%<\/strong><\/span> a cenov\u00e9 p\u00e1smo pro tyto sazby se bude pohybovat v rozmez\u00ed 4.75% – 5.00% p.a. nebo 3\/ EFFR z\u016fstane na stejn\u00e9 hodnot\u011b +\/-5.33% p.a.<\/strong>, pokud FOMC na z\u00e1\u0159ijov\u00e9m zased\u00e1n\u00ed sazbu nesn\u00ed\u017e\u00ed a ponech\u00e1 interval sazeb \u00farok\u016f z p\u016fj\u010dek na Feder\u00e1ln\u00edm trhu fond\u016f na stejn\u00e9 \u00farovni<\/strong><\/span> jako nyn\u00ed, tedy 5.25% – 5.50% p.a\u2026.:c)\u00a0 \u00a0 \u00a0 \u00a0\u00a0<\/span><\/p>\n

\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\u00a0 \u00darokov\u00e9 deriv\u00e1ty nav\u00e1zan\u00e9 nikoliv na dluhov\u00e9 cenn\u00e9 pap\u00edry, ale na \u00farokov\u00e9 sazby vygenerovan\u00e9 na mezibankovn\u00edch trz\u00edch p\u016fj\u010dek zaji\u0161t\u011bn\u00fdch cenn\u00fdmi pap\u00edry (SOFR – Secured Overnight Financial Rate) byly p\u0159edm\u011btem minul\u00e9ho \u010dl\u00e1nku Dluhopisy \u2013 XX.. Je zcela z\u0159ejm\u00e9, \u017ee v\u00fd\u0161e t\u011bchto sazeb siln\u011b ovliv\u0148uje dluhopisov\u00e9 trhy, kdy\u017e v\u00fdnosy na t\u011bchto dluhopisov\u00fdch Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":7247,"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_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-7246","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\/2024\/08\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1SS","jetpack-related-posts":[{"id":6439,"url":"https:\/\/dobretrejdy.com\/?p=6439","url_meta":{"origin":7246,"position":0},"title":"Dluhopisy – X. \u00a0","author":"dobretrejdy :c)","date":"24.6.2023","format":false,"excerpt":"\u00a0 \u00a0Z\u00edskat z\u00e1kladn\u00ed p\u0159ehled o dluhopisov\u00fdch trz\u00edch, pochopit a popsat z\u00e1kladn\u00ed pojmy spojen\u00e9 s\u00a0dluhov\u00fdmi cenn\u00fdmi pap\u00edry, zamyslet se nad v\u00fdpo\u010dtem v\u00fdnosu dluhopisu nebo prozkoumat mo\u017enost obchodovat tyto cenn\u00e9 pap\u00edry u brokera Interactive Brokers bylo, mimo dal\u0161\u00ed drobnosti, p\u0159edm\u011btem p\u0159edch\u00e1zej\u00edc\u00edch text\u016f dluhopisov\u00e9ho seri\u00e1lu. Co se aktu\u00e1ln\u011b na dluhopisov\u00fdch trz\u00edch d\u011bje a\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\/06\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/06\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/06\/main.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":6234,"url":"https:\/\/dobretrejdy.com\/?p=6234","url_meta":{"origin":7246,"position":1},"title":"Dluhopisy \u2013 VII.","author":"dobretrejdy :c)","date":"22.3.2023","format":false,"excerpt":"\u00a0 Vypad\u00e1 to doposud, jakoby obchodov\u00e1n\u00ed s\u00a0dluhopisy bylo bezpe\u010dnou proch\u00e1zkou les\u00edkem, sta\u010d\u00ed m\u00edt pouze p\u0159im\u011b\u0159en\u00e9 oble\u010den\u00ed, hezk\u00e9 po\u010das\u00ed a dobrou n\u00e1ladu a pocit celkov\u00e9ho \u0161t\u011bst\u00ed m\u011b pot\u00e9 nem\u016f\u017ee minout. Stejn\u011b jako u jin\u00fdch obchodovan\u00fdch t\u0159\u00edd aktiv plat\u00ed, \u017ee v\u00fd\u0161e podstupovan\u00e9ho rizika je odm\u011b\u0148ov\u00e1na adekv\u00e1tn\u00ed porc\u00ed mo\u017en\u00e9ho profitu, je takto formulovan\u00e1\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/03\/F2.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6292,"url":"https:\/\/dobretrejdy.com\/?p=6292","url_meta":{"origin":7246,"position":2},"title":"Dluhopisy – VIII.","author":"dobretrejdy :c)","date":"10.4.2023","format":false,"excerpt":"\u00a0 \u00a0Lep\u0161\u00ed okam\u017eik pro naps\u00e1n\u00ed tohoto \u010dl\u00e1nku jsem si ani nemohl p\u0159\u00e1t. Lehk\u00e9 n\u00e1znaky bankovn\u00ed krize vypl\u00fdvaj\u00edc\u00ed z podivn\u00e9 likvidity speci\u00e1ln\u00edch bankovn\u00edch dom\u016f opep\u0159en\u00e9 koment\u00e1\u0159i jejich v\u00edce \u010di m\u00e9n\u011b schopn\u00fdch p\u0159edstavitel\u016f p\u0159in\u00e1\u0161ej\u00ed na p\u0159elomu m\u011bs\u00edce b\u0159ezna a dubna 2023 skv\u011bl\u00fd r\u00e1mec pro t\u00e9ma tohoto \u010dl\u00e1nku. Jakou roli v t\u00e9to \u0161lamastyce\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/F1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/F1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2023\/04\/F1.jpg?resize=525%2C300 1.5x"},"classes":[]},{"id":6010,"url":"https:\/\/dobretrejdy.com\/?p=6010","url_meta":{"origin":7246,"position":3},"title":"Dluhopisy \u2013 III.","author":"dobretrejdy :c)","date":"14.12.2022","format":false,"excerpt":"\u00a0\u00a0N\u00e1kupem dluhopisu p\u016fj\u010duji pen\u00edze. Nejjednodu\u0161\u0161\u00ed definice, kterou by si mohla zaslou\u017eit odpov\u011b\u010f na ot\u00e1zku, co to vlastn\u011b dluhopis je. Emitent dluhopisu \u2013 dlu\u017en\u00edk - vstupuje do pr\u00e1vn\u00edho svazku s v\u011b\u0159itelem (t\u0159eba se mnou), kter\u00fd je zalo\u017een na z\u00e1vazku dlu\u017en\u00edka platit v\u011b\u0159iteli periodick\u00fd \u00farok ve form\u011b kup\u00f3nu a splatit celou p\u016fvodn\u011b\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2022\/12\/main.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":6987,"url":"https:\/\/dobretrejdy.com\/?p=6987","url_meta":{"origin":7246,"position":4},"title":"Dluhopisy \u2013 XVI. \u00a0\u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"10.3.2024","format":false,"excerpt":"\u00a0 \u00a0V posledn\u00edm \u010dl\u00e1nku dluhopisov\u00e9 minis\u00e9rie Dluhopisy \u2013 XV. jsem popsal jednoduch\u00fd obchod s n\u00e1kupem dluhopisu a jeho zaji\u0161t\u011bn\u00ed pomoc\u00ed odpov\u00eddaj\u00edc\u00edho dluhopisov\u00e9ho futures. 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