XCCY swap實證計算與投資收益率分析

Abstract

本研究從Cross Currency Basis Swap（XCCY swap）的合約介紹開始，接著從遠期匯率交換的理論－利率平價理論去解釋XCCY basis存在的意義，以及透過理論去計算XCCY basis的數值，並與Bloomberg所提供的報價做比較，同時用合成XCCY swap的方法去計算XCCY basis的數值，再與前一個方法的結果與實際數值做比較，發現合成XCCY swap的計算方式得到的數值比較接近Bloomberg所提供的報價。最後分析XCCY swap應用於投資中的二種方法，分別為一般的滾動匯率避險與XCCY ASW投資，用實際資料去計算避險後收益率，探討是否能比其他投資方式得到較高的收益率，而本研究主要使用日圓與日本公債作為例子，發現用XCCY swap做匯率避險與用FX swap做匯率避險的避險成本其實相差不大，而XCCY ASW的收益率就表面呈現的數值其實比直接避險的收益率來得高。

This paper starts with the introduction of the contract of Cross Currency Basis Swap (XCCY swap), and then explains the significance of the existence of XCCY basis from the interest rate parity theory, and calculates the value of XCCY basis through the theory. In addition, use the method of synthetic XCCY swap to calculate the value of XCCY basis, and then compare the result of the previous method and the real value from Bloomberg. It is found that the value obtained by the calculation method of synthetic XCCY swap is closer to the real XCCY basis provided by Bloomberg. Finally, this paper analyzes the two methods used by XCCY swap in investment, the rolling FX hedging and XCCY ASW, using actual data to calculate the rate of return after hedging, and discussing whether it can get a higher rate of return than other investment methods. This part mainly uses Japanese Yen and Japanese government bonds as examples, and finds that the hedging cost of using XCCY swap and FX swap for FX hedging is actually not much different. And the yield of XCCY ASW is higher than the rate of return after direct FX hedging.