第二章 利率及利率期限结构
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第二章 利率及利率期 限结构
闫 妍
yanyan@
1 Interest Rate
Deposit
rate, lending rate Short-term rate, medium-term rate, long-term interest rate Nominal interest rate, real interest rate Fixed interest rate, adjusted interest rate Simple interest rate, compound interest rate Market interest rate, official interest rate
%
10 12 0 2 4 6 8
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
2000
CPI
130 125 120 115 110 105 100 95 90
资料：
为进一步推动利率市场化，培育中国货币市场基准利率体系，提高金融机 构自主定价能力，指导货币市场产品定价，完善货币政策传导机制，上海银 行间同业拆放利率（Shanghai Interbank Offered Rate，简称Shibor）自2007年1 月4日起开始运行。 中国人民银行副行长吴晓灵表示， Shibor将被培育成为中国的基准利率 。 上海银行间同业拆放利率，以位于上海的全国银行间同业拆借中心为技 术平台计算、发布并命名，是由信用等级较高的银行组成报价团自主报出的 人民币同业拆出利率计算确定的算术平均利率，是单利、无担保、批发性利 率。目前对社会公布的Shibor品种包括隔夜、1周、2周、1个月、3个月、6个 月、9个月及1年。 Shibor报价银行团现由16家商业银行组成。报价行是公开市场一级交易商 或外汇市场做市商，在中国货币市场上人民币交易相对活跃、信息披露比较 充分的银行。 Shibor的形成机制：每个交易日全国银行间同业拆借中心根据各报价行的 报价，剔除最高、最低各2家报价，对其余报价进行算术平均计算后，得出每 一期限品种的Shibor，并于11:30通过上海银行间同业拆放利率网 （）对外发布。
项 目 人民银行对金融机构存款利率 法定准备金 超额准备金 人民银行对金融机构贷款利率 二十天 三个月 六个月 一 年 再贴现 金融机构人民币存款基准利率 活期存款 三个月 半 年 一 年 二 年 三 年 五 年 金融机构人民币贷款基准利率 六个月以内（含六个月） 六个月至一年（含一年） 一至三年（含三年）
主讲人：中国科学院研究生管理学院 闫妍
The TED spread is now calculated as the difference between the three-month T-bill interest rate and three-month LIBOR. A higher spread indicates banks perceive each other riskier counterparties.
3个月利差
2013
2 Bond
A bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest (the coupon) and/or to repay the principal at a later date, termed maturity. A bond is a formal contract to repay borrowed money with interest at fixed intervals. Bonds are issued by public authorities, credit institutions, companies and supranational institutions in the primary markets.
利率水平 1.62 0.72
调整日期 2008.11.27
2010.12.26 3.25
单位：年利率 %
3.55 3.75 3.85 2.25 205 4.4 5 5.5 2011.07.07 6.1 6.56
主讲人：中国科学院研究生管理学院 闫妍
6.65
主讲人：中国科学院研究生管理学院 闫妍
%
20
0 1 2 3 4 5 -1 美元泰德利差 欧元泰德利差 英镑泰德利差
01 20 -1 01 20 -7 02 20 -1 02 20 -7 03 20 -1 03 20 -7 04 20 -1 04 20 -7 05 20 -1 05 20 -7 06 20 -1 06 20 -7 07 20 -1 07 20 -7 08 20 -1 08 20 -7 09 20 -1 09 20 -7 10 20 -1 10 20 -7 11 20 -1 11 20 -7 12 -1
2000
0
泰德利差
道琼斯工业平均指数
道琼斯指数
3.0
10000
The LIBOR–OIS is the difference between LIBOR and the overnight indexed swap (OIS) rates. The spread between the two rates is considered to be a measure of health of the banking system. An overnight indexed swap (OIS) is an interest rate swap where the periodic floating rate of the swap is equal to the geometric average of an overnight index over every day of the payment period. In the United States, OIS rates are calculated by reference to daily federal funds rate.
5 4 3 泰德利差 2 1 0
美国泰 德利差
% 1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
3
中国3个月 SHIBOR-固定 利率国债到期 收益率
2
%
2012年11－ 12月
1
0
2006- 2007- 2007- 2008- 2008- 2009- 2009- 2010- 2010- 2011- 2011- 2012- 2012- 201310 04 10 04 10 04 10 04 10 04 10 04 10 04
The Fed Funds Rate
The rate at which American banks borrow overnight funds from each other, via one of the 12 regional Federal Reserve banks. The Fed sets a target for the fed funds rate, and it is this target that serves as the main benchmark interest rate for the United States. The target for the fed funds rate influences other key financial market indexes, both domestic and global, like the U.S. Prime Rate and the London Interbank Offered Rates (LIBOR).
5.0 4.5 4.0
16000
14000
12000 3.5
泰德利差（%）
2.5 2.0 1.5
8000
6000
4000 1.0 0.5 0.0
2005-1 2005-7 2006-1 2006-7 2007-1 2007-7 2008-1 2008-7 2009-1 2009-7 2010-1 2010-7 2011-1 2011-7 2012-1
The U.S. Prime Rate
A benchmark, short-term interest rate used in the banking system of the United States. The Prime Rate serves as an index or base rate for many types of loans and credit products for both businesses and consumers. The Prime Rate is invariably 3.00 percentage points (300 basis points) above the benchmark Fed Funds Target Rate. The U.S. Prime Rate is also known as the Wall Street Journal (WSJ) Prime Rate, the Fed Prime Rate and the national Prime Rate.
Features of a bond
Nominal principal Issue price maturity date Coupon
Usually this rate is fixed throughout the life of the bond. It can also vary with a money market index, such as LIBOR.
1990 1992 1994 1996 1998
1-year time deposit rate
2010
2002 2004 2006 2008 2010
2011
LIBOR(London InterBank Offered Rate)
LIBOR is the average interest rate charged when banks in the London interbank market borrow unsecured funds from each other. There are many different LIBOR rates (maturities range from overnight to 12 months) for numerous currencies, including U.S. dollars. The LIBOR is the world's most widely used benchmark for shortterm interest rates. It's important because it is the rate at which the world's most preferred borrowers are able to borrow money. It is also the rate upon which rates for less preferred borrowers are based. For example, a multinational corporation with a very good credit rating may be able to borrow money for one year at LIBOR plus four or five points.
闫 妍
yanyan@
1 Interest Rate
Deposit
rate, lending rate Short-term rate, medium-term rate, long-term interest rate Nominal interest rate, real interest rate Fixed interest rate, adjusted interest rate Simple interest rate, compound interest rate Market interest rate, official interest rate
%
10 12 0 2 4 6 8
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
2000
CPI
130 125 120 115 110 105 100 95 90
资料：
为进一步推动利率市场化，培育中国货币市场基准利率体系，提高金融机 构自主定价能力，指导货币市场产品定价，完善货币政策传导机制，上海银 行间同业拆放利率（Shanghai Interbank Offered Rate，简称Shibor）自2007年1 月4日起开始运行。 中国人民银行副行长吴晓灵表示， Shibor将被培育成为中国的基准利率 。 上海银行间同业拆放利率，以位于上海的全国银行间同业拆借中心为技 术平台计算、发布并命名，是由信用等级较高的银行组成报价团自主报出的 人民币同业拆出利率计算确定的算术平均利率，是单利、无担保、批发性利 率。目前对社会公布的Shibor品种包括隔夜、1周、2周、1个月、3个月、6个 月、9个月及1年。 Shibor报价银行团现由16家商业银行组成。报价行是公开市场一级交易商 或外汇市场做市商，在中国货币市场上人民币交易相对活跃、信息披露比较 充分的银行。 Shibor的形成机制：每个交易日全国银行间同业拆借中心根据各报价行的 报价，剔除最高、最低各2家报价，对其余报价进行算术平均计算后，得出每 一期限品种的Shibor，并于11:30通过上海银行间同业拆放利率网 （）对外发布。
项 目 人民银行对金融机构存款利率 法定准备金 超额准备金 人民银行对金融机构贷款利率 二十天 三个月 六个月 一 年 再贴现 金融机构人民币存款基准利率 活期存款 三个月 半 年 一 年 二 年 三 年 五 年 金融机构人民币贷款基准利率 六个月以内（含六个月） 六个月至一年（含一年） 一至三年（含三年）
主讲人：中国科学院研究生管理学院 闫妍
The TED spread is now calculated as the difference between the three-month T-bill interest rate and three-month LIBOR. A higher spread indicates banks perceive each other riskier counterparties.
3个月利差
2013
2 Bond
A bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest (the coupon) and/or to repay the principal at a later date, termed maturity. A bond is a formal contract to repay borrowed money with interest at fixed intervals. Bonds are issued by public authorities, credit institutions, companies and supranational institutions in the primary markets.
利率水平 1.62 0.72
调整日期 2008.11.27
2010.12.26 3.25
单位：年利率 %
3.55 3.75 3.85 2.25 205 4.4 5 5.5 2011.07.07 6.1 6.56
主讲人：中国科学院研究生管理学院 闫妍
6.65
主讲人：中国科学院研究生管理学院 闫妍
%
20
0 1 2 3 4 5 -1 美元泰德利差 欧元泰德利差 英镑泰德利差
01 20 -1 01 20 -7 02 20 -1 02 20 -7 03 20 -1 03 20 -7 04 20 -1 04 20 -7 05 20 -1 05 20 -7 06 20 -1 06 20 -7 07 20 -1 07 20 -7 08 20 -1 08 20 -7 09 20 -1 09 20 -7 10 20 -1 10 20 -7 11 20 -1 11 20 -7 12 -1
2000
0
泰德利差
道琼斯工业平均指数
道琼斯指数
3.0
10000
The LIBOR–OIS is the difference between LIBOR and the overnight indexed swap (OIS) rates. The spread between the two rates is considered to be a measure of health of the banking system. An overnight indexed swap (OIS) is an interest rate swap where the periodic floating rate of the swap is equal to the geometric average of an overnight index over every day of the payment period. In the United States, OIS rates are calculated by reference to daily federal funds rate.
5 4 3 泰德利差 2 1 0
美国泰 德利差
% 1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
3
中国3个月 SHIBOR-固定 利率国债到期 收益率
2
%
2012年11－ 12月
1
0
2006- 2007- 2007- 2008- 2008- 2009- 2009- 2010- 2010- 2011- 2011- 2012- 2012- 201310 04 10 04 10 04 10 04 10 04 10 04 10 04
The Fed Funds Rate
The rate at which American banks borrow overnight funds from each other, via one of the 12 regional Federal Reserve banks. The Fed sets a target for the fed funds rate, and it is this target that serves as the main benchmark interest rate for the United States. The target for the fed funds rate influences other key financial market indexes, both domestic and global, like the U.S. Prime Rate and the London Interbank Offered Rates (LIBOR).
5.0 4.5 4.0
16000
14000
12000 3.5
泰德利差（%）
2.5 2.0 1.5
8000
6000
4000 1.0 0.5 0.0
2005-1 2005-7 2006-1 2006-7 2007-1 2007-7 2008-1 2008-7 2009-1 2009-7 2010-1 2010-7 2011-1 2011-7 2012-1
The U.S. Prime Rate
A benchmark, short-term interest rate used in the banking system of the United States. The Prime Rate serves as an index or base rate for many types of loans and credit products for both businesses and consumers. The Prime Rate is invariably 3.00 percentage points (300 basis points) above the benchmark Fed Funds Target Rate. The U.S. Prime Rate is also known as the Wall Street Journal (WSJ) Prime Rate, the Fed Prime Rate and the national Prime Rate.
Features of a bond
Nominal principal Issue price maturity date Coupon
Usually this rate is fixed throughout the life of the bond. It can also vary with a money market index, such as LIBOR.
1990 1992 1994 1996 1998
1-year time deposit rate
2010
2002 2004 2006 2008 2010
2011
LIBOR(London InterBank Offered Rate)
LIBOR is the average interest rate charged when banks in the London interbank market borrow unsecured funds from each other. There are many different LIBOR rates (maturities range from overnight to 12 months) for numerous currencies, including U.S. dollars. The LIBOR is the world's most widely used benchmark for shortterm interest rates. It's important because it is the rate at which the world's most preferred borrowers are able to borrow money. It is also the rate upon which rates for less preferred borrowers are based. For example, a multinational corporation with a very good credit rating may be able to borrow money for one year at LIBOR plus four or five points.