| 摘要: | 從2006年3月至2007年12月每季底我國央行理監事會議錄中不斷的重複：「由於國際油價居高不下、原物料及商品價格持續漲升，國內與石油相關產品價格仍有上漲壓力，國內通膨風險升高，且實質利率偏低，在當前國內經濟穩定成長之情況下，貨幣政策宜逐步回歸中性立場，以維持物價穩定，並促進資金合理配置及長期金融穩定。因此，本行理事會決議調升本行三種貼放利率各0.125個百分點」。進而影響台債10年期公債殖利率不斷揚升，而造成銀行公債庫存部位評價的未實現損失持續擴大。就銀行投資管道有限下，公債投資擁有安全性、流動性及獲利性佳的優點，是銀行最佳的投資標的之ㄧ，因而引發個人想進一步探討何種公債投資策略是銀行最適方法。 經本文探討分析後，銀行在投資公債操作策略上，係以買進持有策略搭配避險策略同時運用才能獲取最適報酬與降低風險。主要考量銀行建購公債時都有考慮業務延續性，實務上銀行庫存公債部位都運用在承作公債附條件買回（R/P）業務，係維持分行客戶的業務需求，但遇公債殖利率上揚時，惟囿於國內債券市場之淺碟特性，短期內不易大量處分債券，以及承作附買回（R/P）之公債是被限制處置，而無法適時處分，故只能透過避險策略，以降低利率上揚所造成資本損失。綜述，在考量銀行餘裕資金之配置、充當流動準備項目及配合分行維持附條件(RP)交易量之業務需求下，仍須以買進持有策略建置適量之債券部位，並建置存續期間較短天期的公債搭配附條件(RP)交易業務量。如此，銀行在投資公債業務上才能達到最適報酬及最低風險之目標。 “As the oil price keeps staying at a high level and that of commodities continues to rise, the prices of domestic oil-related products still have an upward pressure. The inflationary risk goes up and the real interest rate remains low. Under the circumstance of solid economic growth, the monetary policy should return to a neutral position, which can stabilize the prices of commodities, facilitate the reasonable capital allocation, and stabilize the long-term finance. As a result, the board decided to raise the discount rate, the rate on accommodations with collateral, and the rate on accommodations without collateral by 12.5 basis points respectively.” is constantly repeated in the quarterly minutes of board meeting of the Central Bank of Republic of China from March 2006 to December 2007. All of these facts cause the YTM of 10 years keeping rising, which enlarge the unrealized loss for the government bond positions in the banks. The investment opportunities for banks are quite limited, and the government bond becomes one of the best targets because of its advantages of safety, liquidity, and profit-taking. Therefore, I would like to discuss which kind of investing strategy of government bond is the best for banks. After the analysis in this dissertation, banks should have the buy-hold strategy but use the hedging one at the same time to optimize the profits and reduce the risks. The main concern for the buy-hold strategy is for the businesses related with the government bonds. Government bonds positions of banks are usually used to do the R/P business. When the YTM goes up, we cannot sell most of these government bonds because the bond market is very shallow in Taiwan. As a result, we can only use the hedging strategy to lower the losses. Overall, after considering the excess capital allocation in the banks, the government bonds’ being used as the liquid reserve requirement, and the businesses of R/P with branches clients, banks still need to have the buy-hold strategy but use the short-term positions of government bonds to do the R/P businesses. As a result, banks can achieve the goal of optimizing the profits and lowering the risks in the government bond investment. |
