中英双语介绍：当利率上升时，债券价格为什么会下降（Relationship Between Interest Rates and Bond Prices）

本文链接：https://blog.csdn.net/shizheng_Li/article/details/141303305

今天在The Economist杂志 2024年8月17日这期，一篇文章中这样描述：

What explains the approach? There are three possible answers, each
somewhat flawed in its reasoning. Mr Pan has said he is worried about a
repeat on China’s shores of last year’s Silicon Valley Bank debacle in
America. If financial institutions buy too many bonds, will they be able to
withstand the losses when interest rates rise and bond prices drop? But the
prospect of rate hikes in China is so distant that this danger seems remote.
And the threat would be best resolved through bank regulation, not bondmarket manipulation.

when interest rates rise and bond prices drop这里的逻辑关系是什么呢？于是问询GPT4o大模型，下面是解释：

中文版

当利率上升时，债券价格通常会下降，这是债券市场的基本原理。原因如下：

利率与债券价格的关系

现有债券的固定利率：
- 当一个债券发行时，它会有一个固定的票面利率。例如，如果你持有一个票面利率为5%的债券，当时的市场利率也是5%，那么这个债券在市场上是公平定价的。
利率上升的影响：
- 如果市场利率上升到6%，那么新发行的债券会提供更高的收益（6%），比你持有的旧债券（5%）更具吸引力。
- 因此，为了使旧债券仍然具有吸引力，其价格必须下降，使得购买旧债券的投资者的有效收益率（收益与购买价格的比率）与新发行的债券相当。
债券价格的调整：
- 假设你持有的债券每年支付50美元的利息（5%的票面利率），如果市场利率升至6%，新债券每年支付60美元的利息。
- 为了使你的债券也能提供相似的收益率，市场会将你的债券价格调低。例如，如果你的债券价格降到833.33美元（而不是1000美元的面值），那么50美元的年利息相对于833.33美元的投资金额相当于6%的收益率。

金融机构的风险

金融机构如果持有大量债券，当利率上升时会面临以下风险：

账面损失：
- 债券价格下降意味着账面上的债券资产价值减少。如果这些债券在市场上卖出，他们会实际亏损。
流动性风险：
- 如果金融机构需要快速变现债券以满足资金需求，可能不得不在价格低迷时卖出，导致实际损失。
资本充足率：
- 金融机构需要维持一定的资本充足率。如果债券价格大幅下跌，可能会影响他们的资本水平，导致监管压力。

例子

假设某银行持有大量10年期国债，当前市场利率为2.1%，而这些债券的票面利率是2.6%。如果市场利率上升到3%，这些旧债券的价格会下降，因为新发行的3%票面利率的债券更有吸引力。银行持有的旧债券价值下降，会导致账面损失和可能的实际损失。

总结

金融机构在利率上升时需要面对债券价格下跌带来的风险。为了管理这种风险，他们通常会进行利率对冲、资产多样化和保持流动性等策略。然而，过多的债券持有量确实会在利率上升时增加他们的财务压力。

英文版

When interest rates rise, bond prices typically fall. Here’s why this happens and how it affects financial institutions:

Relationship Between Interest Rates and Bond Prices

Fixed Interest Rate on Existing Bonds:
- When a bond is issued, it comes with a fixed coupon rate. For example, if you hold a bond with a 5% coupon rate and the market interest rate is also 5%, the bond is fairly priced.
Impact of Rising Interest Rates:
- If market interest rates rise to 6%, new bonds are issued with a 6% yield, making them more attractive than your existing 5% bond.
- Consequently, to make the older bond competitive, its price must drop so that the yield matches the new market rate.
Bond Price Adjustment:
- Suppose you have a bond paying $50 annually (5% of $1,000 face value). If market rates rise to 6%, new bonds pay $60 annually.
- To offer a similar yield, the price of your bond must decrease. For instance, if your bond’s price falls to approximately $833.33, the $50 annual interest on that investment is effectively a 6% yield.

Risks for Financial Institutions

When financial institutions hold large amounts of bonds, rising interest rates present several risks:

Book Losses:
- The market value of bond holdings declines, causing unrealized losses on their balance sheets. If they need to sell bonds, they might incur actual losses.
Liquidity Risk:
- If institutions need to sell bonds quickly to meet cash requirements, they might have to sell at lower prices, realizing losses.
Capital Adequacy:
- Financial institutions must maintain certain capital levels. A significant drop in bond prices can reduce their capital, triggering regulatory concerns and potentially requiring them to raise additional capital.

Example

Suppose a bank holds a large portfolio of 10-year government bonds with a coupon rate of 2.6%, and the current market yield is 2.1%. If the market yield rises to 3%, the price of these bonds will drop because new bonds offer higher yields. This devaluation means the bank’s bond portfolio loses value, leading to potential losses.

Summary

Financial institutions face risks when interest rates rise, primarily due to the inverse relationship between bond prices and interest rates. They typically use strategies like interest rate hedging, diversification, and maintaining liquidity to manage these risks. However, holding too many bonds can indeed increase financial pressure during periods of rising interest rates.