Understanding Fixed-Income Arbitrage

原文在此

Fixed-income arbitrage is an investment strategy that exploits pricing differentials between fixed-income securities.

固定收益套利是利用固定收益證券之間的價格差異投資策略。

Before we explain that, let’s review the concept of arbitrage. Arbitrage, at its most simplest, involves buying securities on one market for immediate resale on another market in order to profit from a price discrepancy. But in the hedge fund world, arbitrage more commonly refers to the simultaneous purchase and sale of two similar securities whose prices, in the opinion of the trader, are not in sync with what the trader believes to be their “true value.” Acting on the assumption that prices will revert to true value over time, the trader will sell short the overpriced security and buy the underpriced security. Once prices revert to true value, the trade can be liquidated at a profit. (Remember, short selling is simply borrowing a security you don’t own, selling it, then hoping it declines in value, at which time you can buy it back at a lower price than you paid for it and return the borrowed securities.) Arbitrage can also be used to buy and sell two stocks, two commodities and many other securities.

在我們解釋前，讓我們回顧一下套利的概念。套利，最簡單的，包括在一個市場上購買有價證券，在另一個市場上立即做空，為了從價格的矛盾中獲利。但在對沖基金的世界裡，套利更常見的是指同時買入和賣出兩個類似的證券，其真實的價格在交易者的眼中是不同步的。在這個假設得前提下行動，價格隨著時間過去，最終會回到真實價值的價格，因此交易者可以作多低估的股票，做空高估的股票。一旦價格回歸真實的價值，投資者將能在獲利下出清持股。(做空是簡單的借一張你不曾擁有的股票，然後賣掉它，並且期望它的價格下跌，然後將它用比較低的價格買回來，並且還回去 ) ，套利也可以被使用來買及賣兩隻股票、兩個商品及許多其他類型的股票。

Although many investors are unfamiliar with the term “fixed-income arbitrage” most have heard of one of its major users: Long Term Capital Management, a hedge fund that in the 1990s realized average annual returns of greater than 40%, then had to be bailed out by several Wall Street firms at the encouragement of the U.S. Federal Reserve Board.

雖然很多投資者不熟悉的術語“固定收益套利”大部分都聽過它的主要用戶之一：長期資本管理公司，在20世紀90年代實現了超過40％的年均回報率對沖基金，現在在美國聯邦儲備委員會的鼓勵下，透過幾個華爾街的大型機構保釋在外。

To understand fixed-income arbitrage, it is important to have some familiarity with fixed-income securities. At their most basic level, fixed-income securities are simply debt instruments, issued by private companies or public entities, which promise a fixed stream of income. U.S. Treasuries, corporate bonds and municipal bonds bonds are examples. There are, however, more sophisticated fixed-income securities, such as credit default swaps.

為了了解固定收益套利，對固定收益證券有一定的了解是很重要的。在他們最基本的層面上，固定收益證券是簡單的債務工具，由私人公司或公共實體，保證收益的固定流，美國國庫債券，公司債券和市政債券的債券就是例子。但是，更複雜的固定收益證券，如信貸違約交換。

Credit default swaps are complex financial instruments similar to insurance contracts in that they provide the buyer with protection against specific risks. So, for example, say you buy a corporate bond from Company ABC. You think the company will pay you back with interest, but it might default, and you invested a lot of money, so you want some added protection. So, you call your insurance company and ask it to sell you insurance against the possible default of Company ABC’s bonds. Your insurance company charges you a fee for that insurance, just as it would if you were buying car insurance or homeowner’s insurance. But here’s the catch: When it comes to credit default swaps, you don’t have to actually own the asset in order to insure it. Your insurance company is selling insurance on Company ABC’s stock to anyone. In other words, it’s selling pieces of paper—securities that fall into the “derivatives” category—called credit default swaps. And these pieces of paper are traded over-the-counter by sophisticated investors.

信用違約交換是複雜的金融工具類似保險合約，因為它們提供買方保護，防止特定風險。因此，舉例來說，假設你購買從ABC公司公司債券。你認為公司會還給你有興趣，但也可能違約，以及你投入了很多錢，所以你需要一些額外的保護。所以，你打電話給你的保險公司，並要求它賣給你投保的公司ABC的債券可能違約。您的保險公司會向您收取一定的費用保險，就像它，如果你買了汽車保險或房屋保險。但這裡的陷阱：當涉及到信用違約掉期，你不必實際擁有的資產，以確保它。您的保險公司對ABC公司的股票賣保險給任何人。換句話說，它是賣紙的證券碎片落入了“衍生產品”的範疇，稱為信用違約掉期。而這些紙片被交易過的非處方由經驗豐富的投資者。

The reason for that detailed explanation of credit default swaps, as you might have guessed, is that they are often used in fixed-income arbitrage. In fact, one of the most popular fixed-income arbitrage strategies is called “swap-spread arbitrage.” While swap-spread arbitrage is too complex a topic to explain in full here, it involves taking a bet on the direction of credit default swap rates and other interest rates, such as the interest rate of U.S. Treasuries or the London Interbank Offered Rate (LIBOR, which is the interest rate banks charge each other for loans).

究其原因，在信用違約交換的詳細解釋，可能你已經猜到了，就是他們經常使用固定收益套利。事實上，最流行的固定收益套利策略被稱為“互換價差套利(swap-spread arbitrage)。”雖然交換利差套利是一個非常複雜的主題而無法在這裡充分且完全的解釋，它包含下注在信用違約交換的利率上，以及其他利率，像是美國國債利率或者倫敦同業拆放利率（LIBOR，這是銀行間貸款利率）。

There are many other fixed-income arbitrage strategies, however. Another is called yield curve arbitrage. The yield curve is a graphical representation of how yields on bonds of different maturities compare. When the yield curve is flat, shorter- and longer-term yields are close. When the yield curve is heavily sloped, there is a greater gap between short- and long-term yields. Yield-curve arbitrageurs seek to profit from shifts in the yield curve by taking long and short positions in Treasuries of various maturities.

然而，還有許多其他的固定收益套利策略。另一種是所謂的收益曲線套利。收益率曲線是收益率在不同期限債券的比較用圖形化表示。當收益曲線是平的，短期和長期的收益率接近。當收益率曲線嚴重傾斜，有短期和長期收益率之間存在較大的差距。收益曲線套利尋求從收益率曲線的變化藉著各種期限的美國國債多頭和空頭頭寸獲利。

Another fixed-income arbitrage strategy is capital structure arbitrage, which seeks to profit from the pricing differentials between various claims on a company, such as its debt and stock. For example, a capital structure arbitrageur who believes a company’s debt is overpriced relative to its stock might short the company’s debt and buy the company’s stock.

另外固定收益套利策略是資本結構套利，它從公司不同的宣告或發言中找出價格的不同而獲利，比如它的債務和股票之間的價格差異中獲利。例如，資本結構套利相信一個公司的債務相對於它的股票被高估，可能可以放空公司債務和作多公司的股票。

Fixed-income arbitrageurs must be willing to accept significant risk. That’s because fixed-income arbitrage typically provides relatively small returns, but can potentially lead to huge losses. In fact, many people refer to fixed-income arbitrage as "picking up nickels in front of a steamroller."

固定收益套利者必須願意接受顯著風險。這是因為固定收益套利通常會提供比較小的回報，但也可能導致巨大的損失。事實上，很多人把固定收益套利看作“在壓路機前撿銅板。”

Because of the limited returns and huge risks involved, large institutional investors with significant assets—such as hedge funds, private equity firms and investment banks—are the major users of fixed-income arbitrage.

因為有限的回報及巨大的風險被大型的組織且有龐大資產的投資者使用，如對沖基金，私募基金及投資銀行。他們都是固定收入套利的主要用戶。

In summary, then, fixed-income arbitrage could be a good investment option, but it is best used by institutional investors who have significant assets and are willing to accept the risks.

綜上所述，然後，固定收益套利可能是一個很好的投資選擇，但最好是被具有龐大資產的機構投資者和接受這樣風險的人使用。