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redskins44

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11# 跳转到 »
发表于 2011-7-22 19:15 | 只看该作者
There are lots of credit upside trades to be done in the floating rate sector. There are a few active strategies.

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cv4cfa

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12#
发表于 2011-7-22 19:30 | 只看该作者
Paraguay Wrote:
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> There are lots of credit upside trades to be done
> in the floating rate sector.

Care to elaborate?

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cfalevel2011

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13#
发表于 2011-7-22 19:45 | 只看该作者
Hmm. I guess a lot of floating rate bonds pay a reference rate plus some spread, like libor + 20 bp. So, there would be some non-negligible duration from the spread part.

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Zestt

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14#
发表于 2011-7-22 20:00 | 只看该作者
Yes you're right, there would be... taken to the extreme, if the spread was 1000 bps over LIBOR, you would have an almost fixed coupon. In this case, would the price be stable? Probably not.

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LPoulin133

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15#
发表于 2011-7-22 20:15 | 只看该作者
Dreary Wrote:
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> Conclusion: don't trade these kinds of bonds for
> capital gains. Do so only for income and only if
> you expect rates to rise.


False. When credit spreads blow out and there are liquidity driven dislocations, the floating rate asset class can be very attractive from a capital gain perspective.

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